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Is there a source of historical US stock end-of-day data that contains the official open/close prices from listing exchange (that is, the prices that usually come from the opening/closing auctions)?

The providers I've look at so far (norgate, csidata) use the first and last regular-hours trades from the consolidate tape as their open/close prices.

Edit: I should mention that I'm also looking for a source that has 20-30 years of history and includes delisted stocks.

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You can get primary exchange prices from the Interactive Brokers API by specifying the primary exchange when making historical data requests, although this is not documented, and the IB API can be difficult to use. QuantRocket provides a --primary-exchange flag to do this for you.

Alternatively (though likely harder and more expensive if you only care about EOD data), Ernie Chan suggests getting tick data which may include a "Cross" flag to identify the opening/closing print.

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  • $\begingroup$ Thanks. I neglected to mention that I'm looking for a source that includes delisted stocks so IB is out unfortunately. $\endgroup$ – Greg Jul 12 '18 at 5:19

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