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I am running a quant hedge fund, and i use a lot of market on open orders, which i execute with a MKT+OPG qualifier. However, my broker often fails to deliver me the official price, which is shown on finance.yahoo or google. The logs are also showing a delay in execution anywhere from 1 to 6 seconds. The broker is saying that the markets might not be open at 9:30 exactly, that the opening starts a few seconds later, and that's when they fill my orders. Responding to my previous broker's ability to get the official prices they said that finance.yahoo doesn't post the official opening price, and the brokers who execute at 9:30 sharp are actually trading preopen market.Is anyone familiar with the problem, and how can i obtain the official opening price?

Do the logs show which exchanges the new broker is executing on? For NYSE listed? and NASDAQ?It is possible to get the official opening print for NYSE listed stocks as long as your order is with the NYSE specialist in sufficient time. The specialist does often open the stocks later than 9:30. Other exchanges can and do trade in NYSE listed names prior to the NYSE opening print, but the bid offer spread at those times tends to be wide. For NASDAQ listed stocks it is more problematic due to the competing market maker nature of the exchange. You can, however, be assured of the opening range. If you look at CSCO on Yahoo Finance they show an open of 21.48 while the NASDAQ website has the open listed as 21.44 and the NYSE website lists it as 21.47. Effectively, there is no real official open.

Yes, I've seen this too. The problem is all the ECNs, minor technicalities with how your order is routed, who's executed order defines the opening print, how different data services report the open, and the general scrum between pre-market and official opening.I know of no way to ensure you get execution at the opening price. So far, my solution has been to track the discrepancy between execution price and official price and then adjust the trading algorithms to reflect that.

the other question (besides what type of listings you are trading and where) is hwat size you are trading at the open? Do you know the %ADV you are attempting to trade at the open? It can have a significant impact.

QuoteOriginally posted by: pdaley2the other question (besides what type of listings you are trading and where) is hwat size you are trading at the open? Do you know the %ADV you are attempting to trade at the open? It can have a significant impact.If that was the problem, it would have shown that a portion of the order executes at the official opening price, and the rest of it go for a worse deal. But that's not the case. Our orders get executed in chunks, and at a mismatched price. Sometimes in our favor, but mostly against.

are they NASDAQ names?