Don't know of a free source where you can get it on a historical basis, but on the same day you can get the info from the primary exchange's website. And not that you asked, but I don't see the value of you measuring other people's slippage...too much variance in position size, stock liquidity, etc.. If I were you, I'd spend time on something else...this is likely to be a near-zero wash.
If you have esignal or qharts enter a symbol with the =n after it. Just to show you the difference, IBM opened at 163.56 on new york. The open(meaning the first price that prints the moment it hits 9:30) was 163.70 For whatever I test I always consider any prints made before the official nyse or nasdaq open to be premarket prints. The MOO order type made before 9:28 will deliver that 163.56 every time.
The open is a very volatile time to trade. The best way to get filled at the open is to use a limit on open order such as IB has available. Lacking that, price tends to jump around a lot at the open and if you are using market orders or giving a lot of leeway on limits you can experience a lot of slippage. I trade mostly at the open, I always use limit orders, and when the stock is moving in my direction I often find I am filled at a better price. There are times the stock moves against me and so at some point I have to adjust these orders. If you want to measure your slippage, XLQ can import historical data into an Excel spreadsheet. If you track your trades in Excel as I do this tool makes it easy to do comparison. With it you can measure your slippage against the final adjusted open.
Thanks, guys. I am testing out exiting with a limit order (such as yesterday's close) instead of MOO. Most of the time it seems to help, although there will be times where stocks gap and continue against me which will make it a lot worse. What mechanical, non-discretionary exit rules in place of MOO have you tested and ended up using?
Do you trade lower liquidity stocks? What are the quantity/number of shares traded in order to get the primary exchange official opening price?
The size doesnt matter. The specialist (cpu or human) matches limit on open orders, limit orders, orders in the book and market orders and determines the open price.