Dear team,
I would appreciate if you could help me understand trade execution during pre-market and Post-market trading better. I have listed down a few points based on my current understanding. Please feel free to refute these and educate me on what is correct:
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During pre-market trading, orders are matched just as in the normal market i.e. bids are matched against offers depending upon the order timestamp and quantity. The last order matched at 9.07am is considered the open price for the day, and not the weighted average trade price during 9.00am and 9.07am.
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OHLC for the day doesn’t take into account the pre-market trading levels. OHLC only represents levels in normal trading hours i.e. between 9.15am and 3.30pm.
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Close price for the day includes any transaction during the daily auction that takes place after 3.30 pm on exchanges. Hence, at times it is different from the last traded price at 3.30pm
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The best way to capture the Open price of a security is to place an order just before 9.07am (ideally at 9:06:59 am)