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The opening price calculation of all the cash indexes
suffer the same problem - some components are opened,
while some are "adjusting" the bid/ask before they are
opened. Thus the opening value is always off comparing
among many different vendors.
You can try using the 9:45 or 10:00 price instead,
there used to be a data vendor who provide the 10 am
price of DJ.
Anyone remember who that was?
Lawrence
--- Alex Matulich <alex@xxxxxxxxxxxxxx> wrote:
> >Just following up on my last post, here are a few recent quote.com
> >numbers for SPX. Obviously that open (and the high or low if it's the
> >same) can't be trusted.
> >
> >3/1/2002 1106.73 1131.78
> >3/4/2002 1131.78 1153.84
> >3/5/2002 1153.84 1146.14
>
> etc.
>
> I know, yahoo quotes does the same thing. The data I'm using was
> provided to me by a person using a 'clean' source, so the opens reflect
> the actual open at the beginning of the U.S. trading day, not the
> previous close.
>
> However as you said, the only reliable number there is the close.
>
> I still think there might be some arbitrage opportunity somehow, since
> the SPX options *are* based on the calculated index, whether right or
> wrong, and the SPY seems to follow its own drummer.
>
> --
> ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> // +__> Director of Research and Development
> // \
> //___) Unicorn Research Corporation -- http://unicorn.us.com
>
=====
Lawrence Chan http://www.tickquest.com
Transform market data into opportunities
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