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HockeyPlayer


Total Posts: 125
Joined: Nov 2005
 
Posted: 2016-11-10 20:11

I need to sell 10,000 shares of a $100 stock. BATS shows their market is $.11 wide, only 100 shares up, next bid is $.05 behind the best bid.

I'm not a US equities guy, the fragmentation is crazy. Should I send it as a Market on Close? If so, do I pick an exchange to submit to? I'm using TD Ameritrade.

goldorak


Total Posts: 1000
Joined: Nov 2004
 
Posted: 2016-11-10 20:54
You can count around 3-5% of median daily volume is treated in the close auction. Try to limit yourself to 10% of that amount.

Of course check that TD Ameritrade actually sends your order for the auction rather than executing the order themselves around 4pm.

I am not familiar with TD Ameritrade cost structure, but cutting your order in a number of smaller orders appears to be a good idea.

If you are not living on the edge you are taking up too much space.

katastrofa


Total Posts: 369
Joined: Jul 2008
 
Posted: 2016-11-11 01:24
If they manage to get a better price for HP by trading just before the auction.... why should he/she bother?

goldorak


Total Posts: 1000
Joined: Nov 2004
 
Posted: 2016-11-11 08:32
Because what most of these brokers used to do is just to send a plain market order at the open or at the close to "simulate" the open or the close.

If you are not living on the edge you are taking up too much space.

HockeyPlayer


Total Posts: 125
Joined: Nov 2005
 
Posted: 2016-11-11 15:09

My initial research suggests that TD's ThinkOrSwim platform allows a true MOC to be submitted to NYSE or NASDAQ.
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