I want to measure the impact different order sizes would have on the opening and closing cross price. For example, the opening cross volume for JCP has ranged from 5,400 to 177,500 in the last 60 days. What would the price have been if I had sold 10,000 on the 5,400 day? On the 177,500 day? One possibility I see is to use NYSE's OpenBook data, but I'm not sure how well that would work. Would OpenBook accurately reflect what's used in determining the cross price? Is it possible to identify the OpenBook state used for the cross? Any thoughts?