sounds like one of these 2 packages could have that data... they're not free though... this one has the MOC/LOC imbalances, among other data.... http://www.nyxdata.com/Data-Products/NYSE-Alerts-History this one has the official close prices for nyse http://www.nyxdata.com/Data-Products/NYSE-Closing-Prices
Thank you. It seems thath this only concerns the close or am I missing something? IMO the real open price is more important = NASE or NASDAQ auction price. I wonder if Bloomberg uses it?
not sure mate, maybe you can find a better fit on the NYX site... Im pretty sure that information is included on the TAQ data (but that's 3k per month....) I guess the hard part is getting the data in a way that is cost effective for a limited number of stocks, crawling the NYSE's website may do the trick... http://www.nyse.com/about/listed/lcddata.html?ticker=C
I am looking for almost the exact same thing. Except I am specifically looking for opening/closing crosses for specific tick data. Any help would be most appreciated as the data providers we have used in the past have been quite silent in getting back to us on this question.
You can extract the auction trades (time, price, volume) from tick data. see polygon.io, activetick, nxcore, etc.