US stocks - Opening auction live feed

Discussion in 'Data Sets and Feeds' started by Japan_trader, May 22, 2021.

  1. It seems to me the 'indicative open price', based on the real-time open book, is only public from 9:28am, after which it's already too late to submit LOO orders. Am I correct?

    Say I have a pair-wise trading strategy with FB and GOOG in the opening auction, I want to submit an LOO order on FB, based on where the 'indicative open price' of GOOG (a reasonably accurate prediction of the actual open price).

    If this is actually possible, what are some good providers of this information?

  2. d08


    Not too late for offsetting LOO but too late for MOO. MOO seems to work on NYSE after 9:28.
    Japan_trader likes this.
  3. Yup indeed it works for NYSE before 9:29:55 I believe, placed order at 9:29:10 today and it went through.

    On another note, has anyone managed to set up auction data feed via IB api? It doesn't seem to be fed, even though their documentation suggests auction data is supported?
  4. qlai


    You need to subscribe to individual symbols, can't get all activity as far as I know.
  5. I'm all set up for the 'standard' feed via reqMktData, but the auction data doesn't seem to come?
  6. qlai


    You need to subscribe to below and then when you request individual market data, add below tags to the request.


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  7. FB and GOOG are both NASDAQ listed. On NASDAQ after 9:28am, LOO orders are treated as "IO" (imbalance only) orders, which only fill if the auction happens at the NASDAQ inside price. It's quite difficult to backtest this type of strategy because you will need historical data for NASDAQ Totalview, and even then you can only guess at fill quantity.
    Japan_trader likes this.
  8. Yup indeed, thanks for the insight. I was confusing NASDAQ and NYSE rules!