Dear Elitetraders I'm currently looking for historical auction prices, also referred to by "Market center opening trade" The data is available through IBKR TWS, however it only dates a year back when looking up manually. Other providers I can find online only seem to have the "official opening price" which is not the auction price itself, but rather the consolidated or taped version. Can't seem to find any place. Any help would be appreciated Regards, Paulies
For illiquid stocks especially, where there is no resulting trade on the listing exchange opening auction, the "opening trade" might be several hours later, but there are other trade(s) on other exchanges/venues prior to that. The first trade on that exchange will be deemed to be the "opening trade" for that market center but not particularly indicative of the market action. Perhaps you could describe what/why you're interested in your metric?
Dear Richard, Thank you very much for your reply. As I'm looking through Time & sales data through IBKR, I am able to determine the primary opening price from the primary exchange (which also the only thing I'm interested in), set by auction. This price sometimes differs from the taped version/consolidated open price of a certain, sometimes it is also the same price. I need the data for backtesting purposes. Regards, Paulies
If your backtest participates in the auction, it might have had a material effect on the auction price anyway. Most traders I know just use the consolidated tape open and factor in slippage. If I recall correctly, Marsten Parker (featured in Unknown Market Wizards by Jack Schwager) did an analysis on his trades and found he had slippage of 0.04% for longs and 0.08% for shorts (which has the uptick rule in play of course) - I understand he trades the liquid end of the market.