Help, please, from any [other] data geeks out there ... If you have access to intraday data (other than intraday data from Pi Trading) for CME Group Inc (ticker CME) for 11/Oct/2006, please could you read off the intraday High and Low from your chart, and let me know what it is? I know what they SHOULD be from the daily bar data (e.g. from Yahoo and eSignal); i.e. apparently the daily bar H was $502.07, and the daily bar L was $488.75. But my intraday data (H $508.49, and L $495.00) is way off what the daily bars suggest it should be ... I am trying to "understand" this difference... Thanks!
I suspect no-one (apart from me) has taken the blindest bit of interest in this thread, but - in the interests of completeness, and owing to a strong sense of bloody-minded altruism - I shall post the results of my investigation so far: 1. Pi-Trading's intraday data is raw data fed straight from the exchange. 2. Yahoo and eSignal daily data are adjusted for splits and dividends. Thus daily OHLC observed from (1) will not equal those reported from (2). Where does this lead me? To backtest intraday strategies that also incorporate daily bar indicators, I will need to use daily data that is not corrected. Piece of cake ...
There are other data sources out there. Looking at the bar chart data at BigCharts.com for CME for 2006/OCT/11 the high looks to be about 508.50 and the low about 495.00. BigCharts.com data source is Thomson Reuters.