Historic DJI opening

J

jj_jere@hotmail

I've been doing a study using the opening price vs the previous close for the DJI. I thought that the opening value was the average of the opening of the 30 stocks. Now, after watching the opening price, I'm not so sure. Starting in 1977 they had a different value than the previous close. Signal used to have two symbols for the DJI and the opening value, High and Low kept changing for one of them.
Doe's anyone know how the opening price is set by the data vendors?
JJ
 
The opening price has nothing to do with the closing price - since it is the opening price for that day.

It is the opening price from the exchange and therefore the data vendors just supply what they are given.
 
each day the open price is determined by supply and demand for THAT day. so indeed there is no relationship with the previous day's close. your question is really surprising. we must have missed something.
by the way, that's why there are GAPS.

also there is always a difference between the open of the index and the open of all stocks. because stocks do not get an open price at the same time. this difference can't be easily resolved but the exchange have a settled closing and open price anyway. and that's what data vendors will give you.

tntneo
 
A bit confusing, I meant the DJI INDEX, not the futures.
I have data feeds from DTN and YAHOO, they are the same numbers, but I don't think they are the true opening of the all 30 stocks averaged.
Doe's anyone know how the data vendors calculate the index's opening value.
Thank's jj
 
When the CBOT began trading futures contracts based on the Dow in 1997, Dow Jones authorized the CBOT as the single distribution point for the indices. They needed a fair playing field for calculation of the underlying indices now that they had derivative instruments based off of their indices. Since then all data vendors are supposed to distribute the DJ index using the CBOT as the source.

But if you're doing a historical study (i.e., pre-1997), I believe you're on your own to find out how a given vendor calculated their index. Different sampling time intervals will easily produce different values at a given point in time.

The index 'open' is usually very close to the previous close, since the stocks that open first usually have the least order imbalance and are easiest to open. Then as more and more stocks finally open, the index calculation gets more balanced out. That's why it sometimes takes several minutes for the indices to 'ramp up' to where the futures are already trading, especially the broader ones like spx.
 
The data provided for the DJI30 can be confusing: I'm using Pinnacle Data for EOD data and they provide four different data series for the DJI30,
- the close
- after the first hour
- at start of the last hour
- a high/low/close series (but no open).

The high/low provided in the last series is not the real high/low of the DJI30, but the theoretical high/low. I.e. these values are computed as if all stocks had made their high/low at the same time, which they rarely do. It is intended to be a kind aof volatility measure.

regards

Bernd Kuerbs
 
I use Reuters and it's pretty good. The open/high/low/close data are very accurate and recorded as they take place. I strongly recommend Reuters for its reliability and rich historical database.
 
Originally posted by stevet
BKuerbs

What is comfusing about that?
More...

If you know it, nothing. I did not know it (in the beginning) and mistook the theoretical high/low for the real high/low.

regards

Bernd Kuerbs
 
You must log in or register to reply here.
Back
Top