For the opening there's an auction and the price of the auction is the opening price (code=Q); note the high volume.
In-between the first ticks and the big auction there are some odd-lot trades (code=I) that could not be matched.
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On the other hand, ticks relate to normal trade and the first tick is different than the opening auction price.
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There is a good explanation on CME client systems wiki if you are so technically inclined. Here's an intro video that summarizes the approach.
I assume it's similar on the exchange you mentioned.
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Net, for you as a trader, if you want to catch the opening price, you need to use:
- MOO orders (MKT with TIF=OPG) -> you get what price you get but guaranteed
- LOO orders (LMT with TIF=OPG) -> you try to make the market and have a say in the auction; if your limit is way off the auction price, it stays as normal LMT order after the auction
- LMT orders that are enabled for outside liquid hours (LMT with TIF=GTC and Outside RTH = True)
- OVERNIGHT orders
- non-US Auctions: MOO orders (MTL with TIF=AUC)
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NB: IB might simulate MKT orders even if they are earmarked for open (TIF=OPG).
NB2: Back testing and paper trade cannot deal with the opening auction.
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How and where you want to include the opening price - you need to really think about it hard.
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* Liquidity: For 1 lot, don't worry about it. If you have $10m exposure and you need to get out cause some news came out, then you wouldn't be asking here. So don't worry about it.
* Trading Strategy: If 90.21 vs 90.28 is a deal breaker for your strategy, then the strategy is wrong 100%. I said.
