Jim,
Consolidated data is known as the "tape". By law, all trades that occur
on the actual listed exchange, a regional exchange, an ECN, an internal
trade or a dark pool must be reported within I think 90 seconds to the tape.
What you are after is "primary exchange" trades only which for NYSE
stocks is specialist orders only.
This is something we provide to our commercial clients but is not
available to retail clients. If you're after this on a commercial basis
please let me know.
Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net
-------- Original Message --------
Subject: [amibroker] Re: Official NYSE open
From: [email protected] <[email protected]>
To: [email protected]
Date: mon, 23 feb 2009 18:30:24 -0000
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 [email protected] <mailto:amibroker%40yahoogroups.com>,
"kiasap" <alllo...@...> 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.
>
