Market On Close orders : minimum volume for good fills on small / med caps?

Announcements & Discussions Off-Topic
1

Hello guys,

I'm wondering if any of you has used MOC orders intensively on small / medium caps and if he has found a daily minimum volume that he recommends?

I suppose we could get pretty ugly fills sometimes with illiquid stocks but how illiquid is simply too much for MOC...??

Thanks a lot,

2

Hi Ben, this is an issue that I'm facing as well. I talked to a trader on TD Ameritrade's institutional block trading desk. He said that average daily volume is the single biggest factor when it comes to him being able to place trades without moving the market too much. We asked him about float, market cap, etc. He said all of that is a far second to daily volume. So what we do is we run a screen across the entire Russell 1000 that ranks the entire universe by ma(close,5)*ma(volume,21), then we run our momentum screen on just the top quarter of that universe for our selections. Hope that helps.
Tony R

3 Likes
3

As a former institutional trader, I would agree that daily volume would be a good indicator of MOC liquidity, but, unfortunately, I think it's more complicated. Institutional orders will dictate the close, and those traders are going to have a better understanding of the supply and demand at the close. Based on that information they receive (which changes quickly), an institutional trader may or may not participate on the close. A decent size MOC order could end up with a pretty ugly fill if there is no participation from the institutions to provide more liquidity.

1 Like
4

Thank you for this insight! Please post more, and I'm sure I'll (we'll) have plenty of more questions for you.
Kindest Regards,
Tony Roylance

1 Like