I am using MOC orders and about half of them are getting canceled at the end of the day. I suspect there could be a number of legitimate reasons for it (shares not available, initial margin exceeded, etc). I would like to identify the causes and log them though. Does someone know how I can do that? Thank you.
I am seeing a similar issue sokol11. As far as I can tell, the trades are not getting filled and so the system cancels them at the close. I am using a paper account at the moment so it could be related to some logic in the matching engine.
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Yes. I can pull the orders by id at the end of the day. Unfortunately, there doesn’t seem to be much info attached to these orders (like warning, or error logs). They are just marked as cancelled with the time of the order update given (at the close).
We have found potential issues regarding the MOC/LOC in paper trading that may miss fills. We are going to fix it.
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I am new to Alpaca and likewise will be executing MOC orders on multiple equities in S&P index. Has this issue been fixed?
My order size will eventually be in the $100K - $250K range for very liquid equities in the S&P500 (will start with much smaller size for sure). I am hoping that Alpaca / its market makers can fill larger size when I scale the strategy.
Are larger MOC orders routed to an exchange or are these routed to market makers? Should I expect to get the same liquidity (degree of fill) as I would with direct routing to NYSE or NASDAQ for high volume stocks?