Maybe this belongs in the first steps forum I'm not sure - apologies if so, anyway I'll take a chance with the general forum for now..
Basically have a question about Market on Open (MOO) orders, as I've been using them for some time to trade a 100% mechanical system, on the basis that:
- 100% mechanical so I want in no matter what, even if there's a gap up
- Better liquidity on-open than at any given moment during the day
- don't want to chase prices
- have a day job, would rather set-and-forget than have trading screens open at work
- seems more repeatable and much closer to what the system was backtested against (open/close prices)
Now this has worked great for the last couple of years or so, very small deviations from the previous close usually, and generally all in line with overall market moves; but yesterday, for the first time, I got stung by a huge instantaneous move just during the opening auction.
Ticker was TPCG, routed to ISLAND ECN, trade went through at 14:30:00 UK time so exactly on the open, but at a price of 90.99 rather than the $15-16 prevailing price of the previous close and immediately after (by the time the position appeared on my trading screen I was already down 80% on the trade
) I managed to get it busted without any issues, but I'm left wondering what happened there, hence this post..
So my question is mainly, can any of you tell me what probably happened (was it just a very short-lived lack of liquidity, or maybe a timing issue? or maybe someone saw my order and did something deliberate to make this happen?), was this a very rare occurrence or have I been incredibly lucky (and stupid) to trade MOO orders thus far? And if I am using them inappropriately, what are they usually for?
And presumably I should learn from this and only use limit-on-open from now on? (but this presumably means depending on where I set the limits, I might have to miss out on trades where there's a gap up, or an overall market move upwards etc?)
Thanks all!
Dan
Basically have a question about Market on Open (MOO) orders, as I've been using them for some time to trade a 100% mechanical system, on the basis that:
- 100% mechanical so I want in no matter what, even if there's a gap up
- Better liquidity on-open than at any given moment during the day
- don't want to chase prices
- have a day job, would rather set-and-forget than have trading screens open at work
- seems more repeatable and much closer to what the system was backtested against (open/close prices)
Now this has worked great for the last couple of years or so, very small deviations from the previous close usually, and generally all in line with overall market moves; but yesterday, for the first time, I got stung by a huge instantaneous move just during the opening auction.
Ticker was TPCG, routed to ISLAND ECN, trade went through at 14:30:00 UK time so exactly on the open, but at a price of 90.99 rather than the $15-16 prevailing price of the previous close and immediately after (by the time the position appeared on my trading screen I was already down 80% on the trade
) I managed to get it busted without any issues, but I'm left wondering what happened there, hence this post..So my question is mainly, can any of you tell me what probably happened (was it just a very short-lived lack of liquidity, or maybe a timing issue? or maybe someone saw my order and did something deliberate to make this happen?), was this a very rare occurrence or have I been incredibly lucky (and stupid) to trade MOO orders thus far? And if I am using them inappropriately, what are they usually for?
And presumably I should learn from this and only use limit-on-open from now on? (but this presumably means depending on where I set the limits, I might have to miss out on trades where there's a gap up, or an overall market move upwards etc?)
Thanks all!
Dan
