I have been working on and testing a strategy that involves sending limit OPG orders on open, the type that gets filled only if you bet more aggressive than the actual opening price, and will not be carried to regular trading hours. The orders are sent through NSDQ OPG regardless of which exchange that stock trades. The backtesting of this strategy is currently done with importing historical yahoo open/hi/low/close prices. However, most of the orders that supposed to get filled according to the backtest do not get filled and this had troubled me a lot. There were so many instances everyday I bet more aggressively than the opening price and got no fill. After reading tons of ET posts on this matter, I found the yahoo historical prices were consolidated, and the ones that I did not get a fill (even bet more aggressively) was due to the fact there's no opening print on that particular day. And yahoo seems to use the first print of the day (on regular ECNs) as the opening price. This makes my current backtest less accurate. I am wondering if anyone here knows another source of historical opening data (I backtest stocks on all three U.S. equity markets, but mostly nasdaq, then amex, and a few nyse) that only considers opening print? I only need the most recent year data. Preferable it is free and easy to import to excel systematically and automatically like the yahoo ones. Any advise/help is greatly appreciated. Thanks. --------------------------------------------------------------------------------------- P.S. people asked similar questions before but did not get any real answer, some of the more frequent answers I found were replies like "use a MOO order". However, I am trying to send LOO longs and shorts at prices that I believe will be favorable to me, if getting filled, great, if not, nevermind. Using a more accurate opening price helps to backtest the frequency of LOO orders getting filled at the desired price more accurately. P.S.S. It would be even better if that source also has real closing prices instead of consolidated closing. But this matters much much less than having the real opening data.
Bloomberg Terminal. I don't know how you would export that data to whatever you use to backtest data. But they have specific data and even display level 1 (and I think level 2) at the time of the print along with the size printed at that price.