$SPX daily open data from 9:29

[checkraise]

The daily chart of $SPX appears to be taking the Open from before 9:30 ET very often. A good example is on the big gap down day on 27Feb07. The screenshot below shows a single 9:29 data point which became the 1449.25 Open for the Daily chart that day, instead of the first print after 9:30 being the Open more than 5 points lower. This 9:29 data point is obscuring gaps at the Opens. I can understand why the daily Close of $SPX would come a few minutes after 16:00, but why would the Open come before 9:30? More than 90 of the last 116 Daily Opens have come from a pre-9:30 print. (Today's Open up gap was obscured before a Bad Tick Report corrected it).

Defining a 9:30-16:15 time template on an interval of 405 minutes will show "daily" bars and gaps, but then this "daily" chart only goes back 116 days. Would someone please explain the many 9:29 Opens for $SPX and, if they are errors, can the daily data be corrected at the server with the right Open so that more than 116 bars are available?

[buhrmaster]

When I used to follow the underlyings a lot more closely I remember every day that there was usually a markdown to account for dividends being paid out. That may be the case here. Check this data against Yahoo finance, which may reflect index adjustments due to dividends.

[checkraise]

Thanks for the reply buhrmaster.

It explains why whenever there is a 9:29 print it is lower than the Close of the previous day. Yahoo shows a column for the Close and another for the Adjsuted Close, but in each case they are equal. The Standard and Poor's site explains:

"Corporate actions (such as stock splits, stock dividends, spinoffs and rights offerings) are applied after the close of trading on the day prior to the ex-date."

So this adjustment apparently is being disseminated right before 9:30 and is reported as the Open, so gaps on Open are often obscured on this index, since on average adjsutments are made 3 out of 4 trading days.