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"Dejan Corovic" <Dejan.Corovic@xxxxxxxxxxxxxx> asks:
>I had obtained some DBC's intra-day futures data from the Omega's web site.
>I promptly compared that with end-of-day supplied by the DialData.
>
>It is very strange, but the intra-day and end-of-day data, do not always
>cover the same price range.
>
>Does anybody has explanation for that?
Sure, lots of them. The obvious and trivial explanation is errors
in one or the other data set. But errors aside, another popular
source of difference is that one may cover the full twenty-four
market while the other is RTH.
You'll see subtle differences routinely especially in open and
closing prices. For example, I collect BMI data for SP and DSP.
The intraday "close" is the last tick received during RTH. The
actual closing price is received typically ten or fifteen minutes
later, and doesn't appear on the tick chart unless you hack your
symbol universe times. Often the daily-data close is different
between SP and DSP by a small amount. DSP seems to agree more
closely with "official" figures, last time I checked.
As for opening prices, BMI and TS seem to have a really hard time
collecting them properly for some items, at least TS 3.5, at least
some of the time. For example, since BMI's recent data change,
the opening prices for @CCO, NDX and VIX have consistently been
the previous Friday's close, for the ENTIRE NEXT WEEK! They used
to go through periods collecting real opens, so perhaps this is
just a phase. We'll see.
Jim
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