I have been trading the financial markets for multiple years now, started out with day trading futures and now switching to swing trading stocks since i want to spent less time in front of my computer. The strategy i have developed is doing very well, 70% win rate, 1:1,3 actual risk:reward with an expectancy of 0,61. I do open my positions at the close using MOC orders, i also close 95% of my positions at the close with MOC orders. I do understand how MOC orders work yet i feel there is still some stuff i need more knowledge about, mainly the volume of MOC orders and the influence on the closing price. Other people have warned me about MOC orders and having slippage. Yet in my personal experience so far the slippage of the closing price versus the last traded price is very minimal, most of the time just a few cents. Even when the market on close volume is around 3 million of which 2,6 million where sell orders and the total daily volume was 19 million, the slippage was just 2 cents. I am not trading a large size yet, however i am planning on scaling up quickly since the system is doing so well, before i do i would like to understand more about the impact of MOC orders and the relation to the closing price. A Google search gives me little information so i am hoping to get some more information here. Why is it that other people have told me to not go over a few percentage of the daily traded volume while there are daily examples of huge market on close orders with huge imbalances which represents a huge part of the daily volume, without having an impact on the closing price versus the last traded price?
