can anyone share your US stock trading experience? attached is a screen capture on the order fillings from all exchanges for stock PENN at market open 22:30pm of 28/2/2024 (note that it is my asia time and indeed it is US market open in the morning 9:30am). from the picture, there is 39354 shares filled from Island exchange. i am curious about it 1) you can see the volume of this 39354 shares is extremely huge compared with other exchange like ARAC or BATS. the price is 17.38 and it is comparable with other exchange (like 17.40 or 17.41). i wonder why there is no slippage on it? 2) in this pre market open price filling, we know that it should be based on all of the bid/ask order submitted to exchange and the exchange would find a best execution price (Open price) to match all of the orders. can anyone tell how large this volume could be (say, 10000 shares or 50000 shares)? or can anyone share me some links or study for investigating the pre-market open volume size?
%% LOOKING for pattern anywhere; let see\ Hollywood casino\ LOL\ underperformer to the max\ lousy EPS\ bottom of 52 month range\ in a super/ strong bull market[SPY + most any] Some buyers in hi teen$ Pre+ post market;, low liquidity strange =moves not so strange. That volume is not huge @ all; except in low liquidity post-premarket.......................
This is the official open from Nasdaq, I can confirm with my own data. It is NOT a VWAP, as an earlier poster had speculated (a good guess, but wrong in this case). Nasdaq bought Island like 20 years ago, and apparently your data feed is still using the old Island name (confusingly). The open auction itself is complicated and pretty different from regular-hours trading. If you want to understand that (even at a rudimentary level), you have a long (and probably fruitless) road ahead. Note also that the NOII (which is a major piece of pre-open auction data) is only published with the full-blown TotalView data product from Nasdaq. (Yes they "have to" make their money somehow, even if it means selling our own data back to us!) https://nasdaqtrader.com/Trader.aspx?id=OpenClose
hi occam, thanks for your information. yes, it is pre market auction. do you know why the transaction volume is that huge on Island compared with other exchanges? and, i don't know whether it is my data feed problem. for example, i tried to extract the volume at this point but i found that suddenly (only a few) only 1 or 10 shares on some days while they are normally 10000 to 50000 shares. based on your experience, the pre market auction on Island(Nasdaq) should be huge everyday, right? And, as far as i know, vwap is just a volume weight average price. do you know why people said filling with VWAP price? is it just an algo to place a limited order (using vwap price) using latest VWAP and update in a pre defined period?(like 1 or 2 mins)
The exchange is not Island now -- it is Nasdaq, and that is the primary exchange for that security -- that is also why its volume is so high at the open compared with the other exchanges. Volume at open seems consistently high for PENN -- 33648 on Feb 27, 33914 on Feb 26, etc. If your feed is missing this volume, it is grossly incomplete. The data feed you are using appears to be incomplete and poorly maintained. If you are trying to study these phenomena using it, you are probably wasting your time. As far as VWAP is concerned, I don't know much about its implementation -- but I think it can be either broker- or exchange-implemented, and that its reporting to the quote tape can be pretty inconsistent; I think many brokers, etc. would probably just as soon never report these if it weren't required by law, so they just do the bare minimum (if even that), similar to internalization.