| Author |
Messages |
|
Brett (guest)
 |
| 11/22/2008 9:59 PM |
 Quote
 Reply
 Alert
|
We are system developers. We have a system that relies on accurate market open data. Our current data provider provides us historical data with a FLAW. It turns out all the data providers have the same FLAW. On NYSE/AMEX stocks they report the open as the first tic after the bell. However most specialist are not the first tic. The first tic almost always comes off the ECN (No Liquidity).
There is NO record of the Specialists open, which on NYSE stocks is the real open. I spoke to NYSE they are aware of the issue and suggested they are trying to put the technology in place to enable the specialist open to have its own code so it can be recorded. (hmmm does not seem that difficul,t curious why this is not in place) In the meantime NO open market data provider seems to have access to the historical "REAL" NYSE open data.. We need this data.
Any idea on how to get the "Real NYSE/AMEX open price" Or any firm out there that could use their Time and sales to find the Open price through a daily Query of the T&S NYSE first print.
|
|
|
|
|
Christina
Posts:24
|
| 12/08/2008 4:50 PM |
Quote
Reply
Alert
|
In the Daily Trades and Quotes (TAQ) product that is available through NYXData.com the opening price is always the first print on NYSE. Rarely does the NYSE mark the opening print with a sales condition, but other markets will. The sales condition will have either an 'O'or 'Q'. The 'O' represents the actual trade (a cross or auction...use this if you want the actual execution time). The 'Q' represents a summary which is entirely informational and just gives the opening price. The trades are also marked with the exchange on which it was executed, thus with the sales condition and the exchange indicator you are able to decipher the NYSE real open and the opening prints from the other markets.
I hope this helps.
Thank you,
NYXData |
|
|
|
|
|