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On Open: Market on Open, Limit on Open. When can you enter the orders?

td753764td753764 Posts: 67
in Trade Expression

Is there a deadline for when market on open or limit on open orders have to be entered?

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Comments

  • tdraughontdraughon Posts: 14

    Nasdaq says:
    OPENING ORDER TYPES /
    Regular Hours Orders: Executable from 9:30 a.m. to 4:00 p.m., Eastern Time
    * (ET), including during the cross.
    * Includes Day, GTC and IOC orders.
    * Limit Orders placed after 9:28 a.m. are treated as Imbalance-Only (IO) orders for the Opening Cross.
    * Market Orders placed after 9:28 a.m. will be held until the market opens and will not participate in the opening cross.

    On-Open (OO) Orders: Executable only during the cross.
    * Market-on-open (MOO) must be received prior to 9:28 a.m.
    * Limit-on-open (LOO) received after 9:28 a.m. are treated as Imbalance-Only orders.

    For more information see:
    https://www.nasdaqtrader.com/content/TechnicalSupport/UserGuides/TradingProducts/crosses/openclosequickguide.pdf

  • rf8459rf8459 Posts: 2

    NASD LOO:
    For LOO Imbalance-Only (IO) orders, do the logic/rules above work in CloudQuant?
    If I place a NASD LOO IO order after 9:28am and before the open and I am offsetting the imbalance, will the order execute in CloudQuant? Does this work for plain LOO (not-LOO IO order types but LOO).

  • ptunneyptunney Posts: 246

    CQ defines two different behaviors, and there are two different voodoo guids for each case.

    The normal NASDAQ moo/loo has a 9:28am cutoff no matter what.

    If using a NASDAQ moo/loo IO algorithm, the order is accepted after 9:28 if it offsets the imbalance.

    Documentation for NASDAQ Algos and fill logic for Lite and Elite...
    https://app.cloudquant.com/#/glossary/409

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