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Identifying US Stock Opening Auction Prices in Historical Data

Article Quant Q&A · Author: ladidalimey
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Summary

The document discusses how to obtain historical opening auction prices for S&P 500 stocks, distinguishing the auction print from a generic first trade. It describes primary exchange price data as a source of opening and closing auction prices, since the primary exchange’s opening and closing crosses produce those prints. Tick-level feeds can also identify auction trades through trade condition flags, though that level of detail may be excessive for end-of-day research.

The answers caution that the first trade of the day often is the opening auction, but auction behavior varies. On some exchanges, the opening may produce multiple prints, stocks may open after the regular session begins, and some may not open that day. Intraday trade and quote sources or consolidated tape data can help identify auction prints through condition codes. The discussion names data source categories and examples but does not compare coverage, historical depth, licensing, or costs.

Key ideas

  • Primary exchange prices can include the opening and closing auction prints.
  • Trade condition codes in tick-level feeds can identify trades associated with auction crosses.
  • The first trade is often an auction print, but a stock may open late or produce multiple auction-related prints.
  • End-of-day researchers may find tick-level data more detailed than necessary.
  • The document does not evaluate vendors by cost, coverage, or historical availability.

Tags

EquitiesMarket microstructureExecutionBacktesting
Full text
# Daily US stock price data provider with opening Auction prices


# Daily US stock price data provider with opening Auction prices












I'm looking for a data provider with historical open auction prices (i.e. not opening trade as found on most providers) for SP500 stocks. This is the price obtained by a MOO order.

Thanks.

## Answer by Brian from QuantRocket (score 1)

https://quant.stackexchange.com/a/57300

QuantRocket's Data Library offers two data providers, Interactive Brokers and EDI, that publish primary exchange prices rather than consolidated prices. Primary exchange prices will give you the opening and closing auctions prices, since the opening and closing cross is the first and last trade, respectively, on the primary exchange. More information on primary exchange vs consolidated prices can be found in QuantRocket's usage guide.

Many tick-level data feeds will provide condition flags which indicate which trades are the auction crosses, so that is also an option but likely overkill if you're just looking for EOD-level data.

Disclaimer: I'm affiliated with QuantRocket.

## Answer by kurtosis (score 1)

https://quant.stackexchange.com/a/57303

I think you should be careful in looking at your data. You say you want the auction print and not the first trade. On the US and many other exchanges with an opening auction, the first trade often does result from the opening auction.

On the NYSE and AMEX, the opening auction may yield two prints: the crossing auction trade and then the imbalance trade which traded against the specialist. Furthermore, the opening auction is how trading starts so it may not occur right at 9:30 am NY time; some stocks open later and some do not open at all. If the stock opened at 2:00 pm, there would be an opening auction held at 2:00 and that would yield the first print(s) of the trading day.

Typically, I have seen auction prints from intraday sources like TAQ or Nastraq (Nasdaq trade and quote data) or possibly from the Consolidated Tape (CT) feeds. With these sources, you can see which trades came from the opening auction by looking at condition codes on the trade.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.