This was the first print >= 09:30:00, occurred on an ECN, and is apparently what a lot of quote vendors are using nowdays for "the open". FWIW, my consolidated tape (from Track Data) shows that this trade was subsequently cancelled.
The trade immediately after it was 2000@52.70, which appears to be what several other quote sites that I checked are showing.
Generally, the opening print will be very big in most liquid NYSE stocks - at least 100K shares. If your tape doesn't show you the exchange, that's the easiest way to find it. Track's tape does show all the indicators, so I can see that the first NYSE trade was 1473000 shares at 53.25 at 09:45 (I don't have the seconds for tapes from before today).
I started to write that for most purposes, it doesn't really matter whether it's the price at 09:30 or the NYSE opening, but even that's not true. For stocks that aren't really unusually delayed, and are not trading much pre-market, the first tick after 09:30 could be anything. It could be 10% or more off the "real" market depending on the bust rules of the ECN it occurred on, how convincing the guy on the wrong end of the trade was, the phase of the moon, etc.
Case in point: AWE NYSE open was 1036000 shares @ 9.53 at 09:36, yet everyone is reporting the open as 9.60, which was a 100 share ECN trade at 09:32.
Another one: TYC NYSE was 34.40. Open is reported as 34.89.
Certainly, for the purposes of this thread, the NYSE open is an important piece of information. I was planning on doing some back testing on OO orders this weekend, but without the ability to easily get the opening prints for a large number of stocks, it's going to be tough. Having to hunt through the tapes is going to suck, and I only have 5 days history available on those anyway.
Can anyone find a site that gives the correct NYSE open price (e.g. 53.25 for MER on 2002-03-07)?
I've tried pcquote, phlx.com, amex.com, pacificex.com, bigcharts, cnet, multex, cbs.marketwatch.com, pfquotes.netscape.com, abcnews, esignal. csfbdirect.
(hours later...)
Hey - I found one that's right:
http://www.tdwaterhouse.com/quotes/index.html
It says the quotes come from Reuters. If you go to reuters.com, you can also get the correct opening price as long as you choose NYSE from the list of exchanges at the right instead of the default "all".
Also, Track Data's (myTrack) AIQ intra-day charts are right, but not the historical charts. If you set it for 30 minute bars, you can get 30 days of history.
So, now the question for someone to research is:
What other quote vendors use Reuters (correctly, specifying NYSE only), and can we get historical data from them in machine-readable format?
