Historical data quality

Discussion in 'Data Sets and Feeds' started by TraderD, Aug 6, 2003.

  1. TraderD


    The other day I took 15 min QQQ data from QCharts and created daily data from it. Then, I compared it to standard daily data from QCharts..... The data is very much different. It made me feel a bit uncomfortable.

    It is possible that this difference is benign and produces the similar results over a period of time.

    What do you make of it?
  2. Are you sure your algorithm for creating daily data is correct?
  3. TraderD


    Yes. It is easy.

    In addition, I have tested/eyeballed several days to make sure I created valid daily data.
  4. maxpi


    Qcharts' daily data, at least for stocks, is straight from the exchanges and not scrubbed, the highs and lows may be innacurate. They do scrub their intraday data, not always though, so you can pull up a daily chart and a 390 minute chart for example and see differences. I have pulled up intraday charts on the same issue using qcharts and esignal and gotten two charts that did not match in any regard. I have seen volume numbers on a one minute bar that were greater than the daily volume or greater than a longer bar interval time period containing the 1 minute bar in qcharts a number of times. People have complained about their data for years and it may have actually gotten worse in that time, not sure, it certainly never seems to get better.
  5. the reason is probably that
    QQQ trades natively only at AMEX,
    but most volume is done at ISLD, INCA and NYSE.

    some vendors will include only AMEX ticks, others
    will throw all exchanges together.
  6. I should add that you should generally not consider QQQ charts.
    Use SPX cash or ES futures charts instead, du to the issues in
    my last post.
  7. TraderD


    I am sure one can observe this just by looking at the charts, I have seen this before.

    May be this is due to the fact that intraday data and daily data come from different sources? Just called to QCharts, they say that all their data comes from S&P Comstock. Will send a mail to their data team.
  8. TraderD


    Thanks to everyone for replies!

    So, it would be fair to say that QQQ data from most of the vendors is not 100% reliable.

    Can't use SPX - system does not perform well on it. I trade NQ, may be I should get into using adjusted NQ or ES data. But then you get into contract rollover issues.
  9. nitro


    If you have access to Interactive Brokers TWS, I suggest you put up a quote of QQQ using different routes. Take special note of the SMART route and pay close attention to where the Bid/Ask are and where the last is going off at.

    nitro :eek: