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Does anyone have suggestions where I can get clean, historical US Stock
OHLCV data that is based on the primary exchange (i.e. not consolidated)?
Quotecenter does it daily, but not historical. I'd really like to be able to
use realistic data for backtesting. Too often the consolidated tape seems to
pick up some tiny trade on some odd exchange at a price that no-one could
execute at.
Great recent example was Friday's open on AES - 18.88 on the consolidated
tape vs.
17.77 for the 'real' NYSE open. Difference on the chart is huge - a massive
counter-attacking line vs. a doji-ish spinning top.
Andrew
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