trade volume for auction on OPEN

[NutFlush]

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

[NinjaTrader_Brandon]

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.

[NutFlush]

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

[NinjaTrader_Brandon]

Hello NutFlush,

Thanks for your reply.

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