Interactive Brokers - How to execute market on open

[BarrenWuffet]

My algorithm relies on entering at the market open price. Interactive Brokers says you do this by submitting a MKT order with OPG time.

However, with this I often get fills >7 minutes after the market has opened. These are liquid stocks with more than 1 million shares traded per day.

My question is does anyone know of a better way to get fills closer to the market open price? My order size is not that big either so I don’t see why this is happening.

 

[valeryn]

Sounds strange. How bad is your slippage? Are you using SMART routing?

I trade a lot at the open and getting <1 cent slippage per share compared with official open price, orders are mostly filled within a few seconds of the open, occasionally within a couple of minutes. This is based on 100+ orders stats.

At some point, I had a bug due to which those orders were always sent directly to NASDAQ - that's the only time when I was seeing nasty slippage with trading at the open.

 

[pstrusi]

- Change your Algo logic to work with tick data.
- Review the Order settings.