In the post TMX “Last” != “Close” I pointed out that the data published all over the web overnight does not actually represent closing quotations: it represents “Last” quotations, which differ mainly in that cancellations during the extended trading session can make the quote worse than it really was. In some (rare) cases, they can shift dramatically, if the closing bid (ask) is also the Last Sale Price and it is hit (lifted) by orders exceeding those available to fill it during the extended session (e.g., 25.00-10, 5×5 “Close”, with Last Sale = 25.10, could turn into 25.10-20, 10×5 “Last” if a bid for 1500 at 25.10 came in during the extended session and nothing else happened.
Anyway, as explained, this is important not just for quantitative back-test purposes, but for accounting reasons, as many funds use the “Last” quote thinking it is the same as the “Close” quote, and in any case are required to reconcile to the most recent active market quote for financial statement purposes.
So I asked an accountant – what would be the reconciliation bid for GWO.PR.J on December 2 – And I got this:
Click for big
So Bloomberg is clearly reporting the “Last” – not the “Close” – which is hilarious, as the extreme laziness of most portfolio managers has rendered them helpless and confused without a Bloomberg terminal. As previously explained:
A closing quote is considered to be the quote at the close of the regular trading session at 4pm. Market Maker responsibilities end at 4pm. The actual closing quote at 4pm on Dec.2 for this issue was 27.04 – 27.54.
So are these reconciliations what they purport to be? Does anybody care? Stay tuned!
Update, 2014-5-30: For more, see TMX to Report Closing Quotes … Someday.
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