At what price do Market on Close orders fill? The price doesn't seem to be the official market close. So is it the last traded price— similar to the daily close bars?
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At what price do Market on Close orders fill? The price doesn't seem to be the official market close. So is it the last traded price— similar to the daily close bars?
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Rahul Chowdhury
Hey Kyle,
Assuming you are trading equities with minute resolution, the market on close price is the close price of the 15:59-16:00 bar. While, the official market closing price is the close price of after-hours trading.
You can learn more about closing prices here:
https://www.sec.gov/fast-answers/answerscloseprhtm.html
The market on close fill price should be as close to the market close price as we have available while accounting for slippage.
If I haven't addressed your question or if you have further questions. Please don't hesitate to clarify further.
Best
Rahul
Kyle Benton
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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