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Can
you explain how the last traded price and the settled price is calculated on the
FTSE futures?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Regards,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Don
<FONT face=Tahoma
size=2>-----Original Message-----From: Richard Dale
[mailto:richard@xxxxxxxxxxxxxxx]Sent: Thursday, 5 August 2004 10:43
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker]
Yahoo EOD data not always correct ?
<SPAN
class=843423012-05082004>Hi Sailly.
<SPAN
class=843423012-05082004>
<SPAN
class=843423012-05082004>The use of Yahoo data for ASX stocks is not
good.
<SPAN
class=843423012-05082004><FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>1. No delisted history - any system testing you do
based on Yahoo data is subject to population bias. ie you can only test
on the stocks that are currently listed.
2. Significant
inaccuracies for any stock exchange that trades in increments less than
1c. This includes the Australian Stock Exchange (ASX), Singapore
Exchange, some NASDAQ stocks and most OTCBB & Pink Sheet stocks.
This happens because Yahoo's data is rounded to the nearest cent. For
example, there are 14000 listed instruments on the ASX. Over 8000 of
them are currently trading below 20c which means they move in either 0.5 or
0.1c increments. Since Yahoo only prices in cents this introduce VERY
SIGNIFICANT innacuracies. - eg. a 2.6c shown as 3c represents a 15%
error).
3. Normal
dividends are adjusted by subtracting all historical data by the dividend
amount. Exchanges such as the ASX do not adjust price data for standard
dividends. By diluting it the way they do, any technical analysis or
backtesting no longer shows a correct % return, nor does it show a critical
technical levels such as support and resistance.
4. No sector
information - critical if you want to perform sector-based
analysis.
5. Significant
number of missing stock splits and other capital adjustments.
Re
the rounding, if the data is adjusted (for splits/rights issues etc.) then you
want plenty of decimal places so your testing shows the correct % gain.
In years past, the ASX had a different mechanism for determining the open and
closing price of a stock, ending up with a weighted average of the bids/asks
to come up with one open/close price (which would often be a fractional
amount). They changed this method a few years ago to more of a
volume-matching method so that it's a "normal" trading
level.
<FONT face=Arial color=#0000ff
size=2>
Best regards,
Richard Dale.
Norgate Investor Services- Premium
quality Stock, Futures and Foreign Exchange Data for markets in
Australia, Asia, Canada, Europe, UK & USA -<A
title=http://www.premiumdata.net/ href=""><FONT
face=Arial size=2>www.premiumdata.net
<FONT face=Arial
size=2>
From: flintox [mailto:flintox@xxxxxxxxxxx]
Sent: Thursday, 5 August 2004 3:35 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Yahoo EOD data not
always correct ?
HiApologies if this topic has been discussed before - I
have searched through the archives but there are so many posts regarding
Yahoo that I have not been able to find anything on this particular issues
amongst the hundreds of posts.I am downloading EOD data from Yahoo
to an ASX 200 group on a daily basis and I am also using another source to
download all ASX data on a weekly basis (ie. I download EOD data but it is
only available to download at the end of each week so is no good for daily
trading).I have noticed discrepancies in quotes between these
sources. I also have some old Bourse data and used this to make a
comparison to see which source seemed to be incorrect - it appears that
Yahoo is incorrect sometimes. Sometimes it can be 5 cents or more
difference. On another note, I also notice that Yahoo seems to use 4
(or more) decimal places for a quote eg. open = 9.1254 - should I somehow
be rounding this to 2 decimal places? Many thanks for any
feedback on this.SallyCheck AmiBroker web
page at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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