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Jeff Young

Fascinating work - thanks so much for sharing it. Have you ever looked at slippage associated with Market on Close orders?

Yuval Taylor

No, I have not. I've actually never used one. What's your experience with them?

Jeff Young

I use them, but I can't say that I have enough data to perform a systematic analysis. Supposedly, placing a MOC order benefits from the increased liquidity that results from aggregating a large number of buy and sell orders. I like them because (a) they are convenient, i.e. "set it and forget it": and (b) I get the closing price, which eliminates slippage (my trading strategies are benchmarked off of the closing price) - but my experience has been that when using them on more thinly traded stocks, I sometimes get a price that is unfavorable relative to the price just before the close; so I only use them on the most heavily traded stocks.

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