Has anyone _verifiably_ duplicated Yahoo's real time technical market indicators _numbers_? If so, h

Discussion in 'Automated Trading' started by jabowery, Jul 16, 2019.

  1. jabowery


    I'm automating a manual trading strategy developed by viewing Yahoo! Finance's charts, with some of their indicators.

    I need to find a market data source as well as algorithm source that verifiably duplicates Yahoo! Finance's "commonly used"* technical market indicators.

    Since my use case is likely to be a common one, I suspect it has been done before. Has it? Which data source(s) permitted this? Note, I'm not asking "in theory" which data sources permit this. I've been through two weeks of dealing with bad data sources from supposedly state-of-the-art feeds. I don't want to waste any more time on purported high quality data feeds that can't possibly duplicate Yahoo's indicators.

    *Moving Average, Moving Average Envelope, Moving Average Deviation, Bollinger Bands, RSI and MACD are listed. as "Commonly used" by Yahoo!. See:

    Last edited: Jul 16, 2019
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  2. Matt_ORATS

    Matt_ORATS Sponsor

  3. Metamega


  4. jabowery


    I've looked at lots of sites. As I said:
  5. jabowery


    I have calculated them myself -- using the python 'ta' library. As I said:
    The problem is when I did this, I discovered the indicators bore little resemblance to Yahoo's indicators. I, of course, assumed that I must have incorrectly called the 'ta' library's indicator methods. However, upon looking in detail at the raw input price data I discovered it didn't match Yahoo!'s price charts, so even if I had properly called ta's indicator methods, I could not be confident in the algorithm's trading decisions.

    Moreover, even if I now find a good price feed, there are known vagaries in what people mean by various indicators. See: RSI at finance.yahoo.com
  6. Yahoo Finance is nice but... I can't imagine you would/should rely on their data as the gold standard.
    SunTrader, murray t turtle and speedo like this.
  7. jabowery


    I'm not relying on their data as the gold standard. I'm automating a manual process. Moreover, I've seen lots of claims about data feed quality and been disappointed that they weren't as good as Yahoo!'s. For instance, there are feeds that advertise real time streaming aggregation for intraday trading that end up riddled with NA gaps far worse than Yahoo!'s NA gaps.

    However, I hear what you're saying and would appreciate any pointers to how to get one's hand on warrantied quality data feeds so that when I end up wasting a week or two and find out the data is corrupt, I can sue the bastards.
    murray t turtle likes this.
  8. Metamega


    Well data is far from perfect. Yahoo uses CSI data from what I re collect but their adjustments can get wonky at times and theirs no one to complain too.

    When I used IQFeed few times I found issues a quick e-mail had it looked into and fixed within 24 hours.

    Yahoo also dividend adjust their data which can make price level type analysis a little different. It’s nice to have the data for accounting for gains/losses from dividends but then historical highs/lows will be adjusted for dividends so they never actually traded at those levels.

    Then theirs the issue of open/close where most data vendors show the open and close from all exchanges. So to simulate a Market on open order you need to know the listed exchanges official open. The open we see is the first trade at 9:30 which could be any venue. The NYSE with the specialist method can have an official open quite a bit later.

    Then if you get into raw tick data that’s unfiltered you can get all kinds of prints that are way off where any of us could of executed and decide if that data has any relevance to your decisions.

    Data is far from being 100 percent and theirs all kinds of issues you have to account for and decide how far you want to get into it. You can expect to put a lot of time into organizing and working with the data set alone before even backtesting with it.

    Futures get a bit easier with having the one exchange but then theirs the issue of rolling contracts. Theirs multiple ways to create continuous charts with how contracts expire and new ones start.

    As far as suing. I doubt you’ll find a vendor without some liability waiver. Even brokerages waive themselves from executions.
    jabowery likes this.
  9. Peter8519


    Don't your broker provide intraday chart service? Some brokers(e.g. IB) even provide plug-in so that real time data can be loaded into chart software.
    murray t turtle likes this.
  10. bone

    bone ET Sponsor

    If that’s the case - why are you so intent on using free data with indicators for which you have no idea the study sampling rates and conditions?

    You can buy clean data for cheap directly from the trading exchange. And no competent analyst uses default technical study parameters.
    Last edited: Jul 16, 2019
    #10     Jul 16, 2019
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