Is it possible for the official Nasdaq opening print to trade through a more aggressively priced regular hours limit order entered at 9:29am? For example, say there is an opening buy imbalance and at 9:29 I enter a limit DAY order to buy at $101 -- could the opening cross print at $100 without me getting filled there? I've read through the Nasdaq website and (to me at least) it looks like there is conflicting information (Q&A below). Does anyone know how this works in practice? --------------------------------------------------------------------------------- Q: What happens if I enter an order after 9:28 a.m.? A: Orders entered after 9:28 a.m., but before the Opening Cross, will be handled in the following manner: Regular hours orders are entered into the Opening Cross book as IO orders. After the cross is executed, remaining unexecuted shares will be returned to the entering party. Q: For orders on the continuous book and quotes priced more aggressively than the Opening Cross price, how does time affect execution priority? A: These orders and quotes are executed in price/time priority. Orders priced more aggressively than the crossing price should be filled. --------------------------------------------------------------------------------- Would an order entered at 9:29 not be considered part of the continuous book? After re-reading this, it seems like it would not be, but if anyone could confirm that it would be appreciated. Thanks
I believe in that first QA they are saying, What if I enter a "regular hours" order after 9:28 before 9:30. The answer is, they will treat it as an Imbalance Offset order and it will not be on the book. If you have placed "extended hours" orders at 9:29 which are still on the book at the time of the cross, those would be considered part of the continuous book and could become part of the cross.
Thanks for you input - thats what I figured as well. Anyone know where I can find opening imbalance data for Nasdaq? IB tells me that they don't provide it (NYSE only). I want to try and roughly quantify the effects of buying/selling against the imbalance in the opening cross.
Hello, You can subscribe to Nasdaq "Net Order Imbalance Indicator" https://data.nasdaq.com/NOII.aspx Mostar
I looked at this a couple of years ago. The NSDQ tool is interactive so it cant be easily automated. I wasnt able to find a good data feed or historical data. If anyone knows of a feed that provides this information, I would love to hear about it.
You can use any automated tool like AutoHotkey or AutoIt to press on the export to excel bottom and then you got all the information on the clipboard