historical data sets with delayed price changes?

Discussion in 'Data Sets and Feeds' started by TD877, Oct 3, 2015.

  1. TD877

    TD877

    I've noticed from my data set that when looking back at old data from mid-2000's, a few stocks often won't have any trade volume for early minutes, and then 4-5 minutes into the trading day have their initial spike (~25,000). Example below:

    Time: volume
    9:30: 0
    9:31: 0
    9:32: 0
    9:33: 0
    9:34: 25,000
    9:35: 6,000
    ...

    Is this because my data source was delayed in it's collection of data? Or is there something else that can explain this? I know sometimes a stock's opening will be delayed and not occur immediately at 9:30, but patterns like the above are occurring on about 50% of days for some stocks back in the mid-2000s. I hardly see it occur past 2010. Has my source's data acquisition improved with time, or can this be explained another way?
     
  2. jharmon

    jharmon

    Depends upon whether you are looking at consolidated tape or primary exchange. Particularly on AMEX (NYSE Mkt) and NYSE stocks, the don't officially open for trading on the primary exchange until the designated market maker decides to do so.

    This still happens today.