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trade volume for auction on OPEN

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    trade volume for auction on OPEN

    Hi,

    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

    #2
    Hello,

    Thanks for your post.

    It would not be able to receive information about opening auction trades. Only trades during the session would be able to be displayed. I am unaware of any data provider who is able to offer opening auction data.
    BrandonNinjaTrader Customer Service

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      #3
      Hi Brandon,

      if I look at daily bars rather than intraday bars: will the volume in the daily bars INCLUDE the auction at the OPEN (using Kinetick data)?

      Thanks,
      NutFlush

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        #4
        Hello NutFlush,

        Thanks for your reply.

        I do not believe so however I would recommend contacting your data provider to verify.
        BrandonNinjaTrader Customer Service

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