calculation of equity indicis

in the case of nyse it is considered but by no means final....

a lot of players don't show their hand untill the last second....
 
Most data services use #2 to calculate just about all cash data indexes. Also, some introduce a 15 sec to 5 min delay on the quotes depending on which index, hence the ''opening'' exactly at yesterdays close in many cases. None of those opening quotes/prices are tradable btw!


Quote from killATwill:

the index data seem to open at the previous close more consistently with some data providers than others, and I'm wondering why.

Here are some additional possibilities for the differences of the opening price when looking at different data vendors. There are several methods to receive the opening price for indices:

1. Only calculate the opening price if all stocks in the index experienced a traded price.

2. Take the opening price of the stocks who have traded already and the previous day closing price of the stocks that haven’t.

3. Take the opening price of stocks traded and the bid/ask of the stocks that haven’t.

Which providers calculate which ways? Any providers give quotes for way #1, in real time?

thank you
More...
 
risktaker, thanks. the odd thing is the data shows the open the same as the prev close about 90% of the time for almost every index ...except when large gap ups and gap downs occur. what would be the cause?
 
Why not simply take the futures price since they always trade at open and calculate the anticipated cash index value by looking at fair value?
 
I never trust open prices too much on cash indices for backtesting for the reasons you mentioned. Try your same system on QQQQ or SPY data. They won't have the same problems.
 
thanks opm. with the index data set i'm looking at, the open pricing seems to be an indicator in its own right. i am just wondering if it is selection bias.
 
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