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exchange auction period and transaction costs

A friend of mine told me that transaction costs do not apply if your trades are executed during opening or closing auction. Does that apply to US markets as well?

2 responses

http://www.itg.com/wp-content/uploads/2009/11/MOOandMOC_11_6_09.pdf

Note that Quantopian doesn't currently support market-on-open nor market-on-close orders. Typically they are good ways to cross big orders, especially if you are an agent being evaluated on your execution quality vs the daily closing price.

Thanks Simon.