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Issues with MOC orders
Last Activity 9/24/2021 12:01 PM
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kmcintyre

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Subject : Issues with MOC orders
Posted : 8/15/2020 3:06 PM
Post #31198

I am trying to implement a really simple strategy.

on Thursday, BTO MOC
on Friday, STC MOC

I want to run the ToDo list Wednesday evening. I want OT to submit the MOC order Wednesday night, so the broker can process the order Thursday morning. Since it is a MOC order, I expect the stock to be bought at the close on Thursday.

So Problem 1 - MOC orders appear to only be "accepted" for the current bar. The Orders block is pretty explicit that MOC orders are filled based on the close of the Signal day. This implies hindsight is available. Signals generated after the market close are filled before they are generated. (I wish I could do that in real life.)

Trade Plans appear to have the same logic. A signal generated on Wednesday is entered at the close on the same day the signal is generated. This is not possible for EOD traders that run ToDO after the market closes.

Ok. So there is probably nothing I can do about this. I accept that I will need to run ToDo on Thursday morning even though I am an EOD trader...

Problem 2 - The N-Bar Stop is exiting my trades on Monday, not Friday.

The N-Bar setting is set to 1. In both the Orders block and the Trade Plan, the trade entered Thursday MOC is exiting Monday MOC. To get a 1 bar exit, I need to set the N-Bar Value to 0.

Again, there is probably nothing I can do about this either.

So I seem to have a workaround. Run the ToDo in the morning and specify a 0-bar exit.

I wonder if this is going to work in the real world? If I upload this to OmniVest, am I going to get Thursday MOC entries and Friday MOC exits? (I guess time will tell.)

If anyone knows of a better way to make this work I would appreciate being schooled.

To me this just seems really kludgy.

Cheers




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Barry Cohen

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Subject : RE: Issues with MOC orders
Posted : 8/15/2020 4:35 PM
Post #31199 - In reply to #31198

Regarding your first issue, MoC orders are not supposed to execute the next morning. They are supposed to execute at the close of the current bar. The brokers will allow MoC orders up to a certain point during market hours & execute those orders at the end of at day, not the next morning. OT does it's best to simulate that, so it will execute MoC orders at the current bar at that bar's close price. Additionally, brokers won't accept MoC orders passed a certain time, so you can't submit them at night or any time after market close like you mentioned.

To use MoC in EOD with live trading requires the ToDo List to be ran during market hours so that MoC orders can submit properly.

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kmcintyre

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Subject : RE: Issues with MOC orders
Posted : 8/15/2020 9:26 PM
Post #31200 - In reply to #31199

Barry

Thanks for confirming.

I will make sure to run TODo sometime THursday morning.

(actually I have a bundle of these seasonal and single day of week orders. So it will be every morning to queue up the MOC orders for that day...)

Keith

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SteveL

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Subject : RE: Issues with MOC orders
Posted : 8/18/2020 9:13 AM
Post #31204 - In reply to #31198

Keith,
See this thread in OT Forum: https://www.omnitrader.com/currentclients/otforum/thread-view.asp?threadid=15866

I use AutoTrade to run analysis "near" the close and issue orders before the close. In my case, I've configured AutoTrade to start 45min prior to market close. I use MKT orders "in case" analysis doesn't complete before market close (happens occasionally due to unexpected OT data updates taking longer than expected), in which case the MKT orders get executed at market open. I believe this produces a result that is "close" to the results produced with PortSim using MOC orders.

I have AutoTrade configured to update the portfolio 1 hour before market open. Occasionally, this finds another exit condition as a result of last hour changes, and causes a TP to issue a position close order. So, this is another reason I use MKT orders, rather than MOC.
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kmcintyre

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Subject : RE: Issues with MOC orders
Posted : 8/18/2020 2:21 PM
Post #31205 - In reply to #31198

Thanks for the heads up!!


keith

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