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All -
I have been researching the end of day price discrepancies that
we're all seeing for a few weeks now. Here's what I've learned.
None of the EOD vendors that I've checked use a 4PM closing
price. Most seem to have a 6:30 to 7PM closing price.
QP is using a 4:30PM closing price as described below.
The Wall Street Journal is using a 4PM closing price in the
newspaper.
The NYSE is using the 6:35 price from the NASDAQ or the 6:30
price from the AMEX for a closing price.
The NASDAQ has a rule the all trades occurring after 4pm are
"Form T" trades that don't affect the open, high, low or last price
that's reported for the day. All of the vendors appear to respect this
rule so that prices for NASDAQ stocks are consistent among different
data vendors.
The NYSE has no rules on after hours trades at this time. They
have a committee recommendation that the exchange closes at 4pm and the
closing price would be taken at that time. This is only a recommendation
and implementation of this rule has been postponed until later this
year.
Traditionally, we and most EOD data providers have provided the
composite close and volume numbers for our prices.
This is some information about the Chicago exchange from
Interactive Data, we use a subsidiary of Interactive for our corporate
actions and backup price file.
Chicago Stock Exchange
The Chicago Stock Exchange moves its closing time to 6:30 p.m. beginning
29 October 1999 -- for 311 securities that are constituents of the S&P
100, the NASDAQ 100, or are among the next 100 or so most actively
traded securities (a list of these securities is available at
www.chicagostockex.com). Both traded prices and quotations (bid/ask
prices) can change until 6:30 for these securities as a result.
Further, because U.S. Composite prices are set by the last trade of the
day on any of the major U.S. exchanges (NYSE, NASDAQ, Chicago, Pacific,
Philadelphia, Boston and Cincinnati), the Chicago price may now set the
Composite price for many of these securities.
Traditionally, the Chicago and Pacific exchanges closed at 4:30 p.m.
eastern time, and these 4:30 prices were delivered. To maintain
consistency, we are applying a timestamp filter to Chicago prices and
quotes that prevent them from updating after 4:30. We thus believe, for
all of the trading categories discussed herein, that we will be
supplying clients with prices and quotations that are as consistent as
possible with the prices and quotations we have delivered in the past.
I have reviewed closing prices from a number of sources, and
talked to my data providers and sources at the NYSE to try to find out
what the practice is. The NYSE does not provide an official closing
price. They transmit prices and corrections as they occur. In the past,
when everyone closed by 4:30, that wasn't a problem as the last price of
the day fit into everyone's production schedules. Now, when NYSE prices
can be updated until 6:30 or 7PM, the closing price that vendors deliver
depends on their production schedules.
I checked WMT for 3-2 and found these differences -
QP WMT 3/1/00 50 10165000
QuoteCom " " 49 10165800
CSI " " 49 10165800
Reuters " " 50 1.016
Obvoiusly, none of these are the 4PM price.
The point is that currently discrepancies exist among all of the
EOD data vendors.
QP makes the first price capture at about 5:30PM giving about a
5:15pm closing price. That file is usually ready about 6pm for the
evening download. Our prices are compared to the Interactive Data prices
later in the evening, and the corrections are ready by about 8PM.
Currently the file is ready for the release 2.2 users by 8pm, but
release 2.1 users don't see it until the next day.
I've been leaning to changing our processing so that we would
have the 7PM price in the correction file, you'll have to tell me what
price is more important - the 4pm, 4:30pm or 7pm price?
And then what happens when trading is 24x7?
Regards
Gary Lyben
Quotes plus
-----Original Message-----
From: Al Taglavore [mailto:altag@xxxxxxxxxx]
Sent: Thursday, March 02, 2000 12:44 PM
To: metastock@xxxxxxxxxxxxx
Subject: Re: QP
Lionel,
Have you noticed any major descrepancies in closing prices from QP
lately?
I have uncovered several, I advise Tech Support and they change them on
the
next download, but I am getting concerned as to the inaccuracies that I
do
not spot. The latest example would be the close for WMT on 3/1. QP
shows
a close of 50, but I was actively trading WMT on 3/1 and the close was
49
3/16 as per my real time and brokerage data.
Has anyone else made these observations?
Al Taglavore
----------
> From: Lionel Issen <lissen@xxxxxxx>
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: QP
> Date: Thursday, March 02, 2000 9:02 AM
>
> Al:
>
> I tried again at and it worked.
> Thanks for letting me know.
> Lionel Issen
> lissen@xxxxxxxxx
> ----- Original Message -----
> From: Al Taglavore <altag@xxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Thursday, March 02, 2000 12:46 AM
> Subject: Re: QP
>
>
> > Lionel, I just completed my download with no problems.
> >
> > Al Taglavore
> >
> > ----------
> > > From: Lionel Issen <lissen@xxxxxxx>
> > > To: metastock@xxxxxxxxxxxxx
> > > Subject: QP
> > > Date: Wednesday, March 01, 2000 6:38 PM
> > >
> > > I am unable to download QP tonight.
> > > Is anyone else having this problem?
> > > Lionel Issen
> > > lissen@xxxxxxxxx
> > >
>
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