The Target Close strategy tries to copy a Market-On-Close (MOC) order, for exchanges which do not allow such order types. At NYSE and NASDAQ, a MOC order should be submitted by 3:45 pm and 3:50 pm respectively and is executed at market close time (4 pm). The MOC trade price is decided by the Exchange based on availability of buyers and sellers. The Target Close strategy tries to trade the order at Closing price of the stock for the day, by using a predictive algo to trade the order quantity in slices towards market close time.
The NSE conducts a Closing Session after market hours at 3:40 PM – 4:00 PM, but the auction volumes are low and session is not very active.
When & Why to choose Target Close?
- If, as per your decision logic, the order should be traded at the closing price of the day
- To minimize the impact cost when trading a large order at market close
- To minimize the market price risk at specified time
(Given below are some general parameters to help you decide what is essential for you; the actual strategy parameters will depend upon your broker)
Start Time: Any orders are not sent to market even if the decision logic generates buy/sell signal before Start Time.
%Volume: The strategy automatically adjusts the participation rate to limit it to the percentage of stocks total traded volume. Example, if the stock trades 100,000 shares in one minute and %Volume is 10, the strategy will trade 10,000 shares in the same minute.
%Close Volume: The participation rate will be limited to a fraction of volume traded during last few minutes of market