Hello, All: I was truly SHOCKED to find the great disparity between the 1-minute data from DTN (IQFeed) and that from Quote.com/QCharts.com For example, for AAPL (Apple Inc.), you get the following from DTN: Date,Time,Open,High,Low,Close,Volume 20070702,09:30:00,121.0500,121.1200,120.7000,120.9600,1091368 20070702,09:31:00,120.9700,121.5000,120.7200,121.5000,387602 20070702,09:32:00,121.5000,121.7200,121.0100,121.4200,359397 20070702,09:33:00,121.4100,121.4983,121.2500,121.3400,230790 20070702,09:34:00,121.3400,121.3600,120.5000,120.5150,441636 20070702,09:35:00,120.5000,120.7100,120.4100,120.4400,368037 20070702,09:36:00,120.4400,121.3900,119.8100,119.8400,582012 20070702,09:37:00,119.8400,120.0000,119.6600,119.8400,497708 20070702,09:38:00,119.8500,119.8600,119.3000,119.5500,440919 20070702,09:39:00,119.5700,120.0300,119.3400,119.9000,511771 20070702,09:40:00,119.9000,120.4500,119.8700,120.3300,400258 20070702,09:41:00,120.3300,120.3800,119.9300,120.2000,265160 20070702,09:42:00,120.2100,120.4200,120.1000,120.1500,168681 20070702,09:43:00,120.1400,120.2900,120.0500,120.1700,180477 20070702,09:44:00,120.1700,120.3400,120.1200,120.1800,190279 20070702,09:45:00,120.1700,120.2000,120.0000,120.0300,178249 20070702,09:46:00,120.0200,120.1300,119.9800,120.0800,201295 20070702,09:47:00,120.0800,120.4400,120.0200,120.3595,197620 20070702,09:48:00,120.3600,120.4000,120.3000,120.3500,154873 20070702,09:49:00,120.3500,120.8000,120.3500,120.8000,346926 20070702,09:50:00,120.8095,121.0000,120.4150,121.0000,299239 Now, compare that with the data covering the same stock and time period from Quote.Com, shown below: 20070702,09:30:00,121.08,121.12,120.7,120.94,203522 20070702,09:31:00,121.04,121.5,120.835,121.47,149807 20070702,09:32:00,121.497,121.72,121.01,121.3,134121 20070702,09:33:00,121.32,121.49,121.25,121.35,91263 20070702,09:34:00,121.35,121.41,120.56,120.61,152710 20070702,09:35:00,120.55,120.71,120.44,120.56,118052 20070702,09:36:00,120.5501,120.5501,119.83,119.84,229697 20070702,09:37:00,119.85,120,119.66,119.86,178190 20070702,09:38:00,119.87,119.87,119.3,119.399,204212 20070702,09:39:00,119.54,120.03,119.36,119.96,160439 20070702,09:40:00,119.97,120.45,119.88,120.39,143295 20070702,09:41:00,120.39,120.409,119.93,120.19,84366 20070702,09:42:00,120.18,120.42,120.1,120.13,86411 20070702,09:43:00,120.13,120.29,120.05,120.181,61818 20070702,09:44:00,120.18,120.339,120.13,120.18,79605 20070702,09:45:00,120.1895,120.2,120,120.018,45673 20070702,09:46:00,120.01,120.13,119.98,120.09,95859 20070702,09:47:00,120.09,120.42,120.03,120.4,56599 20070702,09:48:00,120.39,120.4,120.3,120.36,82845 20070702,09:49:00,120.36,120.8,120.35,120.8,139759 20070702,09:50:00,120.8,121,120.79,120.99,113031 Notice the big differences, especially volume? Surprising, isn't it? Obviously, both can NOT be right. Or may be BOTH are wrong?!! I wonder why? Any ideas? Any explanations? If you had to pick one or the other, which would you pick? Or is there a third option? I like to see what users of other datafeeds find. Let's compare notes. Regards ET
If you compare any 2 data feeds you will get differences like these. Sometimes your data feed will be the right one and sometimes it won't. If it's 50/50 than you're okay. No data provider is always right or wrong. Trust me I have been down this road before...
I don't expect perfect match. I'll even tolerate differences in O,H,L,C, if they are not too large. I'll even tolerate up to 30% difference in volume. But an error margin of 60% to > 100% or more in volume is just too much. So, we've huge error margins. The only solace is if the error margins are even consistent. If they're not, then the data is only worth a fraction of its purported value, and one doesn't even know how big that fraction is, 10%, 30%, 50%? Regards.
Tradestation: I suspect TS is reporting the data at the close of the each minute (eg close of 0930 is reported as 0931) while the others are reporting the data as if it is the beginning of each minute. Please note that if you start the TS data at 07/02/07, the volume will be zero for the first minute, but if you start the TS data at 06/29/07, the volume will be 1098451 for the first minute, presumably due to trades outside of RTH. if started data over the previous weekend 06/29/07 07/02/2007,0931,121.08,121.12,120.70,120.97,831018,267433,1098451.00 "Date","Time","Open","High","Low","Close","Up","Down","Volume" 07/02/2007,0931,121.08,121.12,120.70,120.97,831018,267433,0.00 07/02/2007,0932,120.96,121.50,120.88,121.50,218784,164185,382969.00 07/02/2007,0933,121.50,121.72,121.21,121.42,189072,169675,358747.00 07/02/2007,0934,121.41,121.45,121.25,121.34,98246,126553,224799.00 07/02/2007,0935,121.34,121.36,120.50,120.50,174740,267586,442326.00 07/02/2007,0936,120.50,120.71,120.41,120.44,160598,204964,365562.00 07/02/2007,0937,120.44,120.46,119.81,119.82,209969,342614,552583.00 07/02/2007,0938,119.82,120.00,119.66,119.84,266834,229209,496043.00 07/02/2007,0939,119.86,119.86,119.30,119.57,193214,242405,435619.00 07/02/2007,0940,119.57,120.03,119.34,119.88,279953,233018,512971.00 07/02/2007,0941,119.89,120.45,119.88,120.33,225920,172938,398858.00 07/02/2007,0942,120.33,120.38,120.05,120.20,122790,136640,259430.00 07/02/2007,0943,120.21,120.27,120.10,120.14,78711,90070,168781.00 07/02/2007,0944,120.14,120.29,120.05,120.17,91967,88610,180577.00 07/02/2007,0945,120.17,120.34,120.12,120.18,97036,93043,190079.00 07/02/2007,0946,120.17,120.20,120.00,120.03,82100,96149,178249.00 07/02/2007,0947,120.02,120.13,119.98,120.08,77434,123861,201295.00 07/02/2007,0948,120.08,120.44,120.02,120.40,111266,85604,196870.00 07/02/2007,0949,120.35,120.39,120.30,120.35,80889,73334,154223.00 07/02/2007,0950,120.35,120.80,120.35,120.80,228543,113283,341826.00 07/02/2007,0951,120.81,121.00,120.79,120.99,190437,103402,293839.00 07/02/2007,0952,120.99,121.01,120.69,120.97,144767,128611,273378.00 07/02/2007,0953,120.88,120.95,120.72,120.77,59413,83397,142810.00 07/02/2007,0954,120.81,120.85,120.58,120.71,186023,144122,330145.00 07/02/2007,0955,120.69,120.83,120.66,120.81,49981,55274,105255.00 07/02/2007,0956,120.80,120.82,120.66,120.73,45926,68285,114211.00 07/02/2007,0957,120.75,121.13,120.68,121.11,200952,162194,363146.00 07/02/2007,0958,121.13,121.13,120.83,121.02,144476,137511,281987.00 07/02/2007,0959,121.05,121.34,121.00,121.28,141705,106981,248686.00 07/02/2007,1000,121.28,122.09,121.14,121.70,247518,148334,395852.00
FWIW, Tradestation shows totally different volume numbers for the same period. 9:30 (eastern) - ~55k shares 9:31 (eastern) - ~84k shares Differences in regional exchange inclusion may account for major differences. Minor differences can be accounted for by the exact timing of when one minute starts and ends in their aggregation scheme. If you're really hard up for accurate numbers, compare ticks during that period and see whose missing what data.
OK, may be AAPL was not the best for comparisons. One should pick a stock that is traded, if possible, on one exchange only, and preferably highly active, i.e. high volume. I suspect this would be a stock traded on either AMEX or NYSE. Besides the stock (ticker symbol) we finalize on, I am also open as to which day and which time window. Let's keep it to a 30-minute window of 1-minute data, just so that it won't take up too much space. A recent date is fine, although I wouldn't use the latest date since there may be trade corrections or false spikes that different vendors may take different amounts of time to correct. So something like a month ago or older would be better. I have no problem using July 2, 2007 (i.e. first trading day of July, 2007, 6 months ago) as any errors would have been corrected by now by all data vendors (if they do correct errors). As for time window, the first half hour of trading would seem to be a good choice, e.g. From opening bell to 10:00 a.m. New York Time. I suggest using 1-minute data from opening bell of 9:30 to 10:00 a.m., unless someone has a better suggestion. So for now, tentatively, Date & Time Window is: Monday, July 2, 1007, from opening bell (9:30 a.m.) to 10:00 a.m., New York Time. Obviously, the most important thing is to decide on the best stock (i.e. the ticker symbol) for this comparison project. Is SPY, or DIA a good choice? Does someone have a better suggestion? I am all ears. As soon as we can agree on the stock, and if the time window above is acceptable, we can then post the data results and compare. Regards.