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Peter Xu (guest)
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| 11/07/2008 3:57 PM |
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Hi,
I am trying to identify closing auctions for NYSE listed stocks. I know trade with condition code "L" is official NYSE closing auction, but in following example: GM 11/06, I see two prints at the closing price:
2008.11.06 GM 16:01:11.063 4.8 96600 0 N
2008.11.06 GM 16:01:19.675 4.8 456000 1 L N
What's the significance of each print? What is the total auction volume?
Another example: IBM 11/06, also two prints at the closing price, but none of them has code "L"
2008.11.06 IBM 16:01:14.424 85.15 29800 0 N
2008.11.06 IBM 16:01:18.445 85.15 824200 1 N
What's the complete logic to get NYSE closing auction data?
Thanks,
Peter |
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Verona
Posts:59
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| 11/17/2008 4:19 PM |
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The L you are referring to is:
L = Sold Last (late reporting). For the NYSE you should just look at the last print of the day. Therefore, in the samples you sent:
2008.11.06 GM 16:01:11.063 4.8 96600 0 N
2008.11.06 GM 16:01:19.675 4.8 456000 1 L N - This is the last auction, 456,000 shares at $4.80
Another example: IBM 11/06, also two prints at the closing price, but none of them has code "L"
2008.11.06 IBM 16:01:14.424 85.15 29800 0 N
2008.11.06 IBM 16:01:18.445 85.15 824200 1 N - This is the last auction, 824,200 shares at $85.15 |
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