Can you please set me straight?
Imagine I sell a share of XXX from account 1 and buy a share of XXX from account 2, all "at the same time" (left intentionally vague) and "at the market price", I would imagine that I would be losing a bit of money because the sell price would be lower than the purchase price. I've been programmed to expect this because it is the "spread" as set by a "market maker". If that is true, then fine -- someone is doing something so I would expect a cut to be taken.
But what happens if I do the same thing... but this time I specify that the orders are supposed to be filled "market on close"? Then presumably the buy and sell prices will be identical (would they?). Seems like a nifty way to "avoid the spread". If I spent my entire investing career buying/selling "market on close", could I claim that I've "never paid the spread"?
I suppose the key to understanding this is to figure out how the "closing price" is agreed upon by all market makers with "market on close" orders -- particularly when there are not an identical number of buyers and sellers... which would be the case most/all of the time.
Thank you!
