My strategies rely on buying and selling ETFs at close prices. Lets say I am 100% long SPY but want to switch to QQQ at the end of the day and place orders sell all SPY MOC and buy QQQ MOC. If the buy order is executed first without selling, then I will not have the funds to execute the buy order. Is there a way to avoid this problem? Does the order in which the orders are entered matter? If I enter the sell order first and then the buy order then will I have this problem?
Don't see how that would work as you can't cancel MOC after the respective exchange deadlines. https://www.investopedia.com/terms/m/marketonclose.asp What is a Market-On-Close Order or MOC A market-on-close order or MOC is a non-limit market order. A traderexecutes an MOC order as close to the end of the market day as possible. On the New York Stock Exchange, a trader must submit an MOC order by 3:45 p.m. EST and 3:50 p.m. EST on the Nasdaq, as both exchanges close at 4 p.m. EST. Neither exchange allows for the modification or cancellation of MOC orders after those times.
IB has conditional sell-at-time orders. Sell your holding at 15:59:50 and buy your new at MOC. Over time, it will all average out because you`re trading indexes.
If you're using a margin account, don't use leverage and you won't have a problem. Both orders will get filled. If you're using leverage then definitely you can run into an issue. Since the orders need to be in prior to market close I don't think order will make any difference.
There are 2 solutions, margin account without using leverage or closing your position a few seconds before the market close right before the new MOC order would be executed.