Where do you get that from? Also, where do you get your official/native opening price information? If it's the "open" field in TWS then that displays the first trade after 9:30:00 ET, can be on ARCA or any of the ECNs so it can't be used to verify. Compare your fill price with the opening price from T&S, almost always the largest block trade in the first 10 minutes after open.
Ok. I will look at the T&S and compare. By opening price, I meant what Yahoo would post as "open" 20 minutes after the opening. I understand it does not mean anything but still that open is what lots of people use to backtest strategies.
I compare my opening fill vs Yahoo Finance and I'd say on average IB comes real close. As long as it's a liquid market you are trading. Sometimes I get negative slippage, other times it's positives. With ETFs it's typically just a penny one way or the other. I use market orders with Smart routing. For ARCA ETFs I have to specify a start time, or else my order can get canceled (since IB submits them as limit based on pre-market price action). Hope this helps.
iggy9807, Thanks for sharing the info. That has been my experience, too. IB gets me real close to the yahoo opening using market OPG orders.
everybody can "develop" a system with great backtesting results,where open price is used as entry. but you right about "the catch". i didn't read what others are saying,but like you,i tried to get filled at open many many times. open price cannot be not guarantee in any way. end of story. you can read about on IB site or talk to their customer support. they will say same. execution cannot be guaranteed. specially with current market structure,where we have 80+ market centers,dark pools included. go figure where trade, used as open takes place.
Your order is in early enough. You should get the open. If you didnt you should call for an adjustment. There may be some cases in obscure securities where it wont go off. It doesnt matter how many shares there are to buy/sell, whatever the opening price is, thats what you will get. If there is still an imbalance at 9:30 maybe the stock wont open on the NYSE. On Nasdaq it should almost always open at 930. On crazy rebalance days or triple/quad witch its not a bad idea to throw out far LOO away from the market in case there's a huge imbalance they have to price. I was an MM for over 13 years. Sometimes stuff doesnt work right or execute properly. I have gotten dozens of calls for orders in before the open that didnt get the open that I had to adjust. If your order is in before 9:25 you get the open bottom line. Doesnt matter the order type. If its marketable its due a fill.
He was comparing the Yahoo opening price to the ARCA/NASDAQ open. For NYSE stocks, first trade can be on Direct Edge or BATS or any other ECN, that registers as open in the Yahoo data stream. In my experience, at least during the last few years - you always get the opening price so there really are no cases for adjustments, rarely the auction can take up to 20 minutes though.