I am trying to determine how to estimate the pre-market opening price of a stock.
Stocks trade in the main session from 9:30 to 16:00, then in after-hours from 16:00 to 20:00.
I've always been taught to believe that at 20:00 all trading stops until 4:00, when pre-market opens. However, it is extremely common that pre-market will open at a price that is marginally different from that of it's after-hours close.
I believe that the difference between the closing AH price and the opening PM price can be attributed to limit orders placed between 20:00-04:00 by ECNs. That would mean that these ECNs are aggregated in an orderbook. In futures, the CME documents extensively that there is a pre-open period during which an indicative open price is determined by a number of pretty logical rules related to matchable order quantities.
This seems pretty straight forward, but is that what actually occurs?
Futhermore, what kind of resources can I use to estimate a pre-market opening price, would an orderbook suffice? Does anyone have any recommendations for a data vendor or a resource (that doesn't cost a kidney) that would lead me to an estimate?
The NYSE specifies a "pre-opening" session between 3:30 and 4:00 where limit orders are placed. Any idea of how to see that order book?
Thanks in advanced for all the help and input!