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Historical NYSE open prices

Posted: Sun Aug 02, 2009 12:20 am
by techtrade89
Trade what you test and test what you trade. I’m a believer – but I’m having an issue that seems a bit surprising.

If a buy a NYSE stock on the open, I buy it on the exchange itself (on the NYSE) and get the NYSE opening price for my trade. All as expected.

The surprise comes in when I look at historical data. It turns out that nearly all sources of historical data that seem to be available do not actually provide the true opening price for NYSE stocks! Instead the “openingâ€

Re: Historical NYSE open prices

Posted: Sun Aug 02, 2009 12:59 pm
by sluggo
techtrade89 wrote:It’s hard to believe it isn’t widely available.
Maybe that's the key insight.

Maybe the customers of the data vendors you surveyed, actually prefer the data in its current form. Maybe these data customers (many of whom are traders, presumably) have discovered ways to trade which matches this data beautifully, and are grateful to the vendors for supplying data in exactly this form. Maybe they don't want the change you advocate, and say so to their vendors, loudly and frequently. Thousands and thousands of them.

Perhaps a second question to ask is, "How do other stock traders deal with the data as it is currently supplied, and are they happy with it, and why or why not?" Perhaps there is a trick or a stunt or a point of view, which they posses, that one of them might be willing to share with you.

Or, alternatively, perhaps by raising the issue with customers of data vendors, you may lead them to discover that although they think they are happy now, they would be even happier if the vendors made the change you seek. Then they will add their voices to yours, proclaiming "Data Customers Want Something That You Don't Sell". The bigger the coalition, the greater likelihood of getting results.

Posted: Sun Aug 02, 2009 1:39 pm
by RedRock
IB offers SMART routing. An order at the "open" time would be routed to the best price available at all ecns as well as NYSE. Perhaps your fills would on average beat your data points. hmmmm

Posted: Sun Aug 02, 2009 3:18 pm
by ecritt
I've been using market on open orders for 6 years now. I've done over 10,000 stock trades using Interactive Brokers. I compare my fill price to the opening price reported by CSI. It's very rare that these two prices disagree in any kind of material way. In other words, the relationship between the "real" opening price and the "reported" opening price has been tight and consistent for me.

Posted: Mon Aug 03, 2009 12:52 pm
by techtrade89
Thanks for the quick feedback! Let’s see if I can elaborate:

1. I’m a big fan of long term trend following. But my stock trading is generally shorter term – say a week on average holding time. On that time frame, a difference between the fill price and the opening price which might not be material for some may be material for me. For example, there could be 0.1% difference on the open or 0.2% round trip. For me that is not fatal, but I notice it.

2. SMART order routing, I think, can only route to the best price which is available. Thus, for example, there might be trades near/at the open on an ECN at 49 when the NYSE opening cross trade is 50. I trade at 50 at the open because there were no trades available for me at the ECN at 49 (perhaps someone else, maybe with larger size, got filled and the ECN market then moved to 51). The open in the historical data is 49.5 and my fill is at 50. Sometimes this does work in my favor, so it does seem to average out over time, but on any particular trade the result is uncertain.

3. I suspect (but can’t be sure) that most customers are not advocating for the current format. I spoke about this once to a data vendor and they suggested they had not heard of the issue before. My rough understanding is that the NYSE provides its official “openingâ€

Posted: Mon Aug 03, 2009 1:07 pm
by AbsoluteReturn

are the stocks you trade listed at NYSE or Nasdaq? May be there is a difference in execution the orders at the open.

Posted: Mon Aug 03, 2009 2:57 pm
by ecritt
AbsoluteReturn wrote:Eric,

are the stocks you trade listed at NYSE or Nasdaq? May be there is a difference in execution the orders at the open.
Depends on market environment. Last few years we were mostly in NYSE stocks; currently our exposure is tilted towards NASDAQ stocks.