US stocks - Opening auction live feed

[Japan_trader]

It seems to me the 'indicative open price', based on the real-time open book, is only public from 9:28am, after which it's already too late to submit LOO orders. Am I correct?

Say I have a pair-wise trading strategy with FB and GOOG in the opening auction, I want to submit an LOO order on FB, based on where the 'indicative open price' of GOOG (a reasonably accurate prediction of the actual open price).

If this is actually possible, what are some good providers of this information?

Thanks

 

[d08]

Not too late for offsetting LOO but too late for MOO. MOO seems to work on NYSE after 9:28.

 

[Japan_trader]

Yup indeed it works for NYSE before 9:29:55 I believe, placed order at 9:29:10 today and it went through.

On another note, has anyone managed to set up auction data feed via IB api? It doesn't seem to be fed, even though their documentation suggests auction data is supported?

 

[qlai]

has anyone managed to set up auction data feed via IB api?

You need to subscribe to individual symbols, can't get all activity as far as I know.

 

[Japan_trader]

You need to subscribe to individual symbols, can't get all activity as far as I know.

I'm all set up for the 'standard' feed via reqMktData, but the auction data doesn't seem to come?

 

[qlai]

I'm all set up for the 'standard' feed via reqMktData, but the auction data doesn't seem to come?

You need to subscribe to below and then when you request individual market data, add below tags to the request.

 

[Japan_trader]

You need to subscribe to below and then when you request individual market data, add below tags to the request.

View attachment 259509

View attachment 259508

thanks! I'll try it out

 

[cruisecontrol]

It seems to me the 'indicative open price', based on the real-time open book, is only public from 9:28am, after which it's already too late to submit LOO orders. Am I correct?

Say I have a pair-wise trading strategy with FB and GOOG in the opening auction, I want to submit an LOO order on FB, based on where the 'indicative open price' of GOOG (a reasonably accurate prediction of the actual open price).

If this is actually possible, what are some good providers of this information?

Thanks

FB and GOOG are both NASDAQ listed. On NASDAQ after 9:28am, LOO orders are treated as "IO" (imbalance only) orders, which only fill if the auction happens at the NASDAQ inside price. It's quite difficult to backtest this type of strategy because you will need historical data for NASDAQ Totalview, and even then you can only guess at fill quantity.

https://www.nasdaqtrader.com/conten...adingProducts/crosses/openclosequickguide.pdf

 

[Japan_trader]

FB and GOOG are both NASDAQ listed. On NASDAQ after 9:28am, LOO orders are treated as "IO" (imbalance only) orders, which only fill if the auction happens at the NASDAQ inside price. It's quite difficult to backtest this type of strategy because you will need historical data for NASDAQ Totalview, and even then you can only guess at fill quantity.

https://www.nasdaqtrader.com/conten...adingProducts/crosses/openclosequickguide.pdf

Yup indeed, thanks for the insight. I was confusing NASDAQ and NYSE rules!