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Why am I not getting filled on my MOC orders?

superquantsuperquant Posts: 28
edited March 2017 in Under The Hood

By default CloudQuant does not include extended market trade and quote activity. Since Market On Close auctions typically occur post-close you will not get filled unless you select the "Core + Extended Hours" under the advanced simulation options. Occasionally, due to Short Sale Restrictions or stock halts there may be no closing auction print. Also make sure to send the order to the primary exchange for the symbol as other exchanges my not conduct an auction.

A good example of this can be found here https://cloudquant.com/application/#/glossary/docs?version=9664&group=knowledge&path=9664%7Cknowledge%7Clessons%7Corders%7Cmoc

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