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?
No way to accurately estimate this. If you could hold everything else constant and then add your order then perhaps. Only thing you can know is that your sell might have more effect on small vol open that large. 10,000 in the grand scheme of things is not that big.
That's what I'm trying to understand. If I can get a snapshot of the order book as it existed at the time of the cross and if that snapshot represents the full basis on which the cross is based, then I should be able calculate an accurate price. If the snapshot doesn't represent the full basis, then I should still be able to calculate the worst possible price. Even small price movements can be significant. I understand that because of order imbalance handling and perhaps other factors, it is not truly knowable, but perhaps it can be reasonably estimated.
I did a little work on this. There seems to be a price impact when you make up too much of the cross volume, but how much is hard to gage. Also hard to estimate the cross volume, as you have noticed it can vary widly from day to day. Both NADAQ and NYSE issue open imbalance messages leading up to the cross. These can be used to gage the likely open price and volume during the pre market. I found a very low correlation between cross vol and average daily volume.
It does vary wildly. Some times there's big volume with little price movement from close to open, which I assume is some sort of prearranged cross. Other times there's big price movement and small volume followed by a quick reversion towards the previous close, which presumably indicates a thin book.