calculation of equity indicis

K

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
 
thanks for the response, chiguy. although it may seem strange, i like the way one of my brokers usually defaults opening prices to the previous close. works really well in my backtesting. i'm want to know why and how i can replicatie their methodology for calculating the opening prices.
 
i use midpoint of opening indication and if no indication then i use the prior close.

on nasdaq stocks in the dow i use premarket midpoint of bid and ask...
 
chi,
I'm aware that because some stocks open later than others, some idexes must provide Special Opening Quotations (SOQ). SOQs use a methodology that defaults individual equity opening prices to the previous close price if there is no volume on that stock during whatever initial time interval the index uses.

I would like to know if a standard methodology exists for defaulting an index's open to its previous close, based on the components's activity at market.
 
i am not sure if this is what you mean...

i have excel look at a midpoint indication value in a particular cell...

if this value is absent it defaults to the previous close....

i know nothing of s.o.q.
 
i turn on the system at around 7:15 am cst and it picks up indications or defaults to prior close or (current mkt price for nasdaq pre open ) once indications come out around 8:15 am cst....

once the stocks open it replaces the indicated or prior close price with the actual opening price....

i save the indicated or prior close price so i then can see where the index actually opened as compared to the indicated price...

the process is complete once indexes are 100% open and won't reset untill over night system flush...
 
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