Trading On The Open and Accurate Open/High/Low

C

ChadZ1

When I trade "on the open", I've noticed that the opening price I get is often substantially off from the day's open as reported by most sources, such as yahoo finance. It seems the reason for this is that a stock's commonly reported open is drawn from the first trade after 9:30, often on some smaller exchange like Bats, while the larger exchange that sets the actual price that I get, such as the NYSE, has yet to actually open. In similar fashion this leads to potentially misleading daily high and lows as the trade prices before the main exchange has opened are quite volatile.

Does anyone know where I could find open/high/low data that does not include trades from before the main exchange opens? Also, what is the proper term for what I referred to above as the "main exchange"?
 
I see, thanks for the terminology. I have some opening price data for the primary exchanges and used it to check whether nasdaq.com and nyse.com were reporting their primary market opens or consolidated opens and unfortunately it seems as though they are reporting consolidated data.

For example, on 2013-02-22 ticker "B" opened on NYSE at 25.56, but has a consolidated open price that's reported as 29.11 at all of my usual data sources. Similarly, on 2011-01-26 "USAP" opened on the Nasdaq at 28.68, but has a consolidated open price of 25.43. If someone knows of a data source with 25.56 and 28.68 as the open prices, I'd be very grateful.
 
http://www.nasdaqtrader.com/content/productsservices/trading/crosses/openclose_faqs.pdf

This may help define whats going on. But also looking at USAP, it had a 90 day MA Volume of 30 000ish and a daily volume of 50 000ish. When liquidity isn't there anything is possible. The exchanges report the opening cross it appears from what I understand.

Just curious as to why you'd be searching for those openings. I think it'd be hard to base any system off some weird lot that was traded on the non-primary exchange.

I'd be curious if anyone has some large databases of tick data as with IQFeed I only have access to 120 days back and store it going forward.

I could be way off here, and someone with some good market micro structure knowledge could chime in.
 
Metamega said:
Just curious as to why you'd be searching for those openings. I think it'd be hard to base any system off some weird lot that was traded on the non-primary exchange.
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Exactly, except I'm actually trying to avoid trading based on a weird lot from a non-primary exchange. The problem with many of the opening prices that you might get on common data sources such as yahoo finance for example is that often the opening price and sometimes the high and low as well are based on trades on non-primary exchanges before the primary has opened, and often when the primary does open it will open at a very different price that completely shifts where the stock is trading. So I'm trying to find a data source that avoids this problem by only getting the open price from the primary exchange, but most public sources I find don't do this.

The USAP example I gave is not a great one. I gave it because I only have limited data to pull the example from and most of it is for NYSE stocks, not Nasdaq.

If your IQFeed data's daily open consistently matches Yahoo finance for NYSE stocks then I'd guess it's getting a consolidated price and not taking the open from the primary exchange.
 
I specialize in the open in Futures and stocks... futures are much easier to pin to exact open because they have a premarket and are traded on one location. For my US stocks for example I just use the NYSE feed... the bid/ask starts off wide once the Market makers have marked the stock for the opening... but after around 25-30 seconds it all becomes more reasonable. DO NOT enter stocks at the open with a market order.. use limit only for the first 30 seconds or so. I use IB.... not great for tape readers but more than adequate for my needs. Regards and good trading
 
If you can provide some examples within the past couple months, I'd like to check this against my level II data.

ChadZ1 said:
I see, thanks for the terminology. I have some opening price data for the primary exchanges and used it to check whether nasdaq.com and nyse.com were reporting their primary market opens or consolidated opens and unfortunately it seems as though they are reporting consolidated data.

For example, on 2013-02-22 ticker "B" opened on NYSE at 25.56, but has a consolidated open price that's reported as 29.11 at all of my usual data sources. Similarly, on 2011-01-26 "USAP" opened on the Nasdaq at 28.68, but has a consolidated open price of 25.43. If someone knows of a data source with 25.56 and 28.68 as the open prices, I'd be very grateful.
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bellman said:
If you can provide some examples within the past couple months, I'd like to check this against my level II data.
More...

Unfortunately the most recent primary market open data I have is 2014, thus my search for a data source.
 
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