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Data Insights

Post Opening Auction Filling Behaviors: Opportunities Early in the Day

Choey Li
Quantitative Research Lead, NYSE

December 2, 2021

Increased retail activity in the equities market has affected which stocks are trading the most, and when and where those stocks trade. We’ve previously highlighted retail’s impact on pre- and post-market volume and the opening auction, and now focus on the period immediately after the opening auction. Market participants often avoid this time of day due to higher volatility, an approach worth re-evaluating given current trends.

Shifting Volume Curve

The traditional “smile” shape used to describe equity market volume patterns shifted to the right over the last several years, as the closing auction and the minutes leading to the close became more important. As market volume composition has changed, we’ve seen some reversion to the smile shape, with the first half hour accounting for 11.0% to 12.6% of total volume.

Total Equity Market Volume Chart

The volume curve change has coincided with a large increase in retail activity, so it is important to determine how accessible this increased early volume is to all market participants.

  • As 9:30-10:00 AM has become a large share of market volume, we also see trading activity shifting back to the primary exchange and away from off-exchange facilities.
  • This trend is even more pronounced with a like-for-like comparison removing prints above 10,000 shares.
    • For such fills, TRF share in NYSE-listed stocks peaked at 43.6% in December 2020 before dropping to 36.4% in October 2021; TRF share in NYSE Arca-listed ETPs similarly dropped from 30.5% to 22.2%.
    • At the same time, the primary exchanges have increased share, suggesting more of this early volume is broadly accessible.

9:30 - 10:00am NYSE and TRF Intra-Day Share in NYSE-Listed (<=10K Market Shares)

9:30 - 10:00am ARCA and TRF Intra-Day Share in ARCA-Listed (<=10K Market Shares)

9:30 - 10:00am NYSE and TRF Intra-Day Share in NYSE-Listed (All Market Shares)

9:30 - 10:00am Arca and TRF Intra-Day Share in Arca-Listed (All Market Shares)

Passive Fill Experience

The higher volatility early in the day has traditionally made many market participants reluctant to participate for the first 15 to 30 minutes (or more), but with higher volumes at this time such participants will now be missing a greater share of market liquidity. One approach to balance liquidity needs with volatility concerns is to participate at very opportunistic prices, taking advantage of the greater price movement and smaller quote size.

To help illustrate the passive fill experience early in the day, we measured the median time to fill a displayed limit order in different time windows throughout the day, both at or near the NBBO and away from the NBBO.

  • We define at or near the NBBO as a limit price less than 2 times the stock’s average daily spread away from the NBB/NBO, and away from the NBBO as a limit price between 2 and 5 times the stock’s average daily spread.
  • Median fill times are shortest in the first 15 minutes of the day, whether near the NBBO or away from the NBBO.
    • This difference is especially pronounced in S&P 500 stocks, where passive orders more than double their median fill times in the next 15 minutes.
    • There is a similar trend for orders placed near the NBBO, but with a less dramatic increase.
  • Limit pricing away from the NBBO is fairly consistent throughout the day for S&P 500 stocks, but more passive early for non-S&P 500 stocks
    • This tighter pricing for S&P 500 stocks could contribute to the large relative difference in median fill times in the first 15 minutes

Time to Fill Throughout a Day Outside of NBBO

Outside of NBBO Median Limit Price Distance from NBB/NBO

Time to Fill Throughout a Day Inside of NBBO


  • The market’s volume curve has shifted towards the period after the opening auction, reducing the share of volume late in the day.
  • This activity change initially increased off-exchange trading early in the day, but recently primary exchanges have regained share and off-exchange activity has dropped.
  • The first 15 minutes of the day has the fastest time to fill for limit orders, whether near or away from the NBBO.
  • The higher volatility early in the morning can be leveraged to achieve faster fill times when pricing orders far away (2X-5X the average spread) from the NBB/NBO.

1 All data on 9:30-10:00 AM trading excludes opening auction volume
2 Volume curve charts based on April - October activity in each year, to avoid distortive effects of January 2021 and March 2020.

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