Historical MOO/LOO quotes

Discussion in 'Automated Trading' started by kubilai, Jun 23, 2009.

  1. kubilai


    Does anyone know how to get historical quotes for market-on-open/limit-on-open orders? This is the quote for the day's open at the listed exchange of the stock (usually NYSE or NASDAQ). It used to be easy to get from opentick because you can download data restricted to an exchange. Now that opentick is gone, I tried getting it from IQFeed, but I'd have to process the tick data and pick out the opening trade. And their tick data only goes back one month. Is there another data source where this is easily available. If I can get historical 1-minute data restricted to NYSE or NASDAQ NM, it'll do the job. Thanks all.
  2. CBuster


    bloomberg terminal let's you filter by exchange. intraday data only goes back a little way (maybe 100 days?) but if you only want the open, you can pull out daily OHLC data as far back as you want and used the open from that
  3. kubilai


    That's a great tip. Thanks!