to my knowledge for US equity exchanges there is an order matching process (auction) to determine the price for the OPEN at the session start. Details here: http://www.nyse.com/equities/nysearc...623605117.html
Is there a way to get the volume information for all the matched orders that traded at the official opening price?
I am using Kinetick and when I look at the tick by tick information the initial tick(s) at the session start can have rather low volume (i.e., 200 to 1000 shares for SPY). I would expect a much larger volume to come from the auction process.
Thanks for any help or insights,
NutFlush
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