Lots of reasons including:
1. Difference in adjustments for corporate actions. E.g. Some
data vendors adjust for items such as spinoffs, other data vendors call them "dividends"
(when they actually aren't) and others ignore them completely. Some data
vendors don't adjust for anything! In my opinion, It's essential
to adjust for capital-based corporate actions plus code/exchange changes so you
have a continuous set of history representing a capital return. This is the
methodology that major index providers such as S&P and Dow Jones use to
determine their indexes too.
2. Some data vendors report volume divided by 100 due to
limitations in some programs' maximum volume capacity (e.g. AmiBroker can
handle a maximum volume of 2,147,483,647 – any number above this is shown
as negative due to the wraparound nature of signed integers). Therefore
programs such as AmiQuote divide the volume of all securities by 100 to workaround
such design limitations. For example, right now, the NYSE Composite has a
volume of 3,745,144,031 on Friday. AmiBroker has to divide this by at least 10
otherwise it will be shown as a negative number. Note: You can configure
AmiQuote so it doesn't divide the volume by 100. See the AmiQuote
documentation or do a Google search – it has been discussed many times
here.
3. Stocks can trade on multiple exchanges. E.g. NYSE:GE
trades on NYSE, NASDAQ plus other ECNs. Some data vendors report
listed-exchange-only data and others report a consolidated volume across all
exchanges.
4. Some vendors just get it wrong.
My advice: Shop around, get sample data/free trials and
compare.
Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net
By the way, anyone experienced comparing two
data providers? For the exact same backtest I get a HUGE difference
between quotes from Yahoo and quotes form IQFeed!
Louis