Do any of you know where the volume of the entire opening and closing auction can be viewed? I would be interested to know what percentage of the daily volume is transacted there on average. I have only found general statements such as “20-30%” in the opening and closing auction together. The turnover in the opening auction would be particularly interesting.
Rename
I guess you are interested in historical data for use in a backtest.
You'll have to use a data Provider for intraday historical data, get 1-Minute bars and look at the 9:30 Bar.
While not 100% correct (The volume will also contain all trades in the first minute) this will give you a rather good esrimate.
You'll have to use a data Provider for intraday historical data, get 1-Minute bars and look at the 9:30 Bar.
While not 100% correct (The volume will also contain all trades in the first minute) this will give you a rather good esrimate.
You need a custom app that extracted the open and closing auction trades by their "trade codes" from an IQFeed tick feed, for example.
Send your requirements to our Concierge Service.
Or, if it's just idle curiosity and you want to work for it, you can view/find these trades using IQFeed's IQTimeAndSales.exe app.
Send your requirements to our Concierge Service.
Or, if it's just idle curiosity and you want to work for it, you can view/find these trades using IQFeed's IQTimeAndSales.exe app.
Thank you Dr. Koch and Cone!
I don't need the data for a backtest. I am only interested in how large the volume usually/average is. At some point you start to negatively influence the entry with your orders. I don't trade such large positions by far, but I would still be interested. Just out of curiosity :-)
I don't need the data for a backtest. I am only interested in how large the volume usually/average is. At some point you start to negatively influence the entry with your orders. I don't trade such large positions by far, but I would still be interested. Just out of curiosity :-)
This thread reminded me of a somewhat relevant post by Earnest Chan.
https://epchan.blogspot.com/search?q=auction
In this post, he discusses the potential errors when trading at the open and closing auction. It's an older post so maybe the issues he points out are resolved in today's data providers. I have never done a deep dive into this issue but i find it interesting.
https://epchan.blogspot.com/search?q=auction
In this post, he discusses the potential errors when trading at the open and closing auction. It's an older post so maybe the issues he points out are resolved in today's data providers. I have never done a deep dive into this issue but i find it interesting.
Very interesting. Thank you very much!
That is also interesting:
https://www.nyse.com/data-insights/opening-auction-filling-behaviors-opportunities-early-in-the-day
Less than expected. This means that only around 1% of the volume is transacted in the opening auction. I would have thought it would be more.
That is also interesting:
https://www.nyse.com/data-insights/opening-auction-filling-behaviors-opportunities-early-in-the-day
Less than expected. This means that only around 1% of the volume is transacted in the opening auction. I would have thought it would be more.
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