Finding Bloomberg Fields for Closing Auction Prices
Summary
The document discusses finding daily stock prices associated with auction trading in Bloomberg. Its central practical point is that Bloomberg provides a field for the official closing auction price, along with a separate real-time field. The response also identifies general auction-price and theoretical uncrossing-price fields, which cover different auction types or show indicative values during an auction. These distinctions matter when choosing data for a study of prices around the close.
The response suggests using Bloomberg’s field search for a selected security to check whether a field is available historically or in real time. It also warns indirectly against using the opening-auction field for a closing-auction study: the named field in the answer refers to the opening auction, while a different field is given for the close. The discussion does not establish that a field captures the last continuous-market trade immediately before the auction begins, nor does it compare external data vendors. Researchers should verify field definitions and historical coverage for their market and security.
Key ideas
- Bloomberg distinguishes official opening-auction and closing-auction price fields.
- A general official auction price field can apply across auction types.
- Theoretical price and volume fields describe indicative auction outcomes and may persist after the auction.
- Field search can show whether a field is available historically or in real time.
- The closing auction price is not necessarily the last trade before the auction begins.
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Full text
# Bloomberg code for last trade price before the closing auction # Bloomberg code for last trade price before the closing auction I would like to run a study on stock prices before the closing auction. I would like the study to look at prices once a day for each stock. I do not currently have access to a Bloomberg terminal so does anyone know if the Bloomberg download wizard has a field that will return the last trade price before the closing auction starts For example say for Vodafone (VOD LN) traded in London England the auction starts at 4:30pm so I would like to download a timeseries for the last trade price just before 4:30pm for a number of days. If it is not possible to systematically retrieve these prices from Bloomberg does anyone know of a data vendor where this data is available. If anyone could assist it would be much appreciated Thanks ## Answer by nicktids (score 1) https://quant.stackexchange.com/a/50468 Sorry if I'm slightly wrong on this did the IMC a long long time ago, but before the closing auction price which is the EOD close there is the opening auction price. The code is OFFICIAL_OPEN_AUCTION_PRICE or PQ814 Tip for searching in Bloomberg when you do get to use one is to load up the security you require and then type FLDS, then use this to search for what your after, the FLDS screen shows all Fields available for the ticker entered, and if they are historical or realtime and the name of the field. ``` PQ814 - Official Open Auction Price (OFFICIAL_OPEN_AUCTION_PRICE) Official open auction price represents the price at which at which all orders had been executed upon conclusion of the opening auction call trading phase. The associated executed volume is available in the accompanying field Official Open Auction Volume (PQ815, OFFICIAL_OPEN_AUCTION_VOLUME) and Official Open Auction Volume Realtime (RQ815, OFFICIAL_OPEN_AUCTION_VOLUME_RT). Only the opening auction call is represented by this field. For other auction calls, the Official Auction Price (PQ049, PX_OFFICIAL_AUCTION) and Official Auction Price (Realtime) (RQ443, PX_OFFICIAL_AUCTION_RT) field (for all types of auction call) and Official Close Auction Price (PQ816, OFFICIAL_CLOSE_AUCTION_PRICE) and Official Close Auction Price Realtime (RQ816, OFFICIAL_CLOSE_AUCTION_PRICE_RT) (for the closing auction call) are available. The price and size at which orders would be executed were the auction call to conclude at the current time, otherwise known as the indicative or theoretical uncrossing price/size, are available during the auction call in Theoretical Price (PR089, PX_THEO) and Theoretical Price (RQ089, THEO_PRICE) and Theoretical Volume (PR160, PX_VOLUME_THEO) and Theoretical Volume (RQ160, VOLUME_THEO) respectively. These field values may also persist upon the actual conclusion of the auction call. The field is cleared upon receipt of the new market day event, i.e. at the beginning of each new trading day (typically several hours before market open). API: current value available, historical values available ```
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