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Where do you get the NYSE specialist price from?
What is the print price and how does that differ from the
consolidated price?
Have you tried comparing premarket RT data with the NYSE specialist
price.
US markets around the open are very active and arbitrage action seems
to keep things pretty correlated.
Perhaps the ES moves around that time are correlated to the NYSE
moves.
Also, have you looked at making your own composite of the NYSE stock
moves in the pre ... just for the high vol stock ... the NYSE open
might be highly correlated to a handful of stocks and what they are
doing.
So far I am a but suspicious of any reported open ... it seems to me
that price action and market mechanisms are bound to result in a
certain amount of approximation to reality?
--- In amibroker@xxxxxxxxxxxxxxx, "hydroblue@xxx" <hydroblue@xxx>
wrote:
>
> I also looked (without success) for a data provider with the correct
> NYSE opening price. FWIW, Quotes Plus and Norgate Premium Data are
> reporting the consolidated price, not the NYSE specialist price from
> the floor of the exchange.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "kiasap" <alllovem@> wrote:
> >
> > I am looking for data services that provide true official NYSE
open
> > prices (the price you get if you use MOO orders). I have tried
standard
> > data providers and they publish the first print as the Open Price
as
> > most brokers do. The difference between between the first print
and the
> > official NYSE open prices (for NYSE stocks) could be so large
that
> > makes backtesting worthless if I use open prices to open
positions.
> > Maybe I should not use MOO orders but Market (Day) orders (placed
> > before the market opens)
> > Thank you for your time.
> >
>
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