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To add a bit more confusion to the issue ...
Effects of a preopening trade may be different, at least I had a chance to observe it
once. A few months ago, I've got a fill at 42 for a NASDAQ equity ... don't remember the
ticker, but can find out ... on Island before 9:30 AM. The opening prices (those shown by
RT feed minutes after 9:30 AM) were much lower, and High as shown later in EOD data also
was a buck or two less than my fill (fortunately, I was selling, so was not disappointed
<g>). Seems the preopening trade was ignored in EOD data .
IMO if that was not by chance, it's right to ignore prices not supported by a good
volume; in other words, to take into account preopening/after hours prices for EOD is not
a good idea unless the "volume factor" in some way (a percentage of the averaged daily
volume?) is factored in.
Cheers, Vitaly.
Gary Lyben wrote:
> 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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