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I would like to run a study on stock prices before the closing auction.

I would like the study to look at prices once a day for each stock. I do not currently have access to a Bloomberg terminal so does anyone know if the Bloomberg download wizard has a field that will return the last trade price before the closing auction starts

For example say for Vodafone (VOD LN) traded in London England the auction starts at 4:30pm so I would like to download a timeseries for the last trade price just before 4:30pm for a number of days.

If it is not possible to systematically retrieve these prices from Bloomberg does anyone know of a data vendor where this data is available.

If anyone could assist it would be much appreciated

Thanks

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Sorry if I'm slightly wrong on this did the IMC a long long time ago, but before the closing auction price which is the EOD close there is the opening auction price.

The code is OFFICIAL_OPEN_AUCTION_PRICE or PQ814

Tip for searching in Bloomberg when you do get to use one is to load up the security you require and then type FLDS, then use this to search for what your after, the FLDS screen shows all Fields available for the ticker entered, and if they are historical or realtime and the name of the field.

PQ814 - Official Open Auction Price (OFFICIAL_OPEN_AUCTION_PRICE)
Official open auction price represents the price at which at which all orders had been 
executed upon conclusion of the opening auction call trading phase.

The associated executed volume is available in the accompanying field Official Open Auction 
Volume (PQ815, OFFICIAL_OPEN_AUCTION_VOLUME) and Official Open Auction Volume Realtime 
(RQ815, OFFICIAL_OPEN_AUCTION_VOLUME_RT).

Only the opening auction call is represented by this field. For other auction calls, the Official 
Auction Price (PQ049, PX_OFFICIAL_AUCTION) and Official Auction Price (Realtime) (RQ443, 
PX_OFFICIAL_AUCTION_RT) field (for all types of auction call) and Official Close Auction Price 
(PQ816, OFFICIAL_CLOSE_AUCTION_PRICE) and Official Close Auction Price Realtime (RQ816, 
OFFICIAL_CLOSE_AUCTION_PRICE_RT) (for the closing auction call) are available.

The price and size at which orders would be executed were the auction call to conclude at the 
current time, otherwise known as the indicative or theoretical uncrossing price/size, are 
available during the auction call in Theoretical Price 

(PR089, PX_THEO) and Theoretical Price (RQ089, THEO_PRICE) and Theoretical Volume (PR160, PX_VOLUME_THEO) and Theoretical Volume (RQ160, VOLUME_THEO) respectively. These field values may also persist upon the actual conclusion of the auction call.

The field is cleared upon receipt of the new market day event, i.e. at the beginning of each new trading day (typically several hours before market open).

API:
current value available, historical values available
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  • $\begingroup$ Thanks nicktids this is good to know - Is there a Bloomberg field for the last trade price before the closing auction? $\endgroup$ – Stacey Dec 30 '19 at 9:36
  • $\begingroup$ There is both LAST_TRADE and PX_LAST_ACTUAL which differs from PX_OFFICIAL_CLOSE which is the auction. You will see there are a lot of closing prices when you use the FLDS screen $\endgroup$ – nicktids Jan 2 '20 at 8:26

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