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It looks like the old issue of theoretical DJIA vs actual. Your intraday
bars are the actual prices and the daily bars have the high and low as if
all components made their high and low at the same time.
bobr
----- Original Message -----
From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, April 09, 2001 3:55 PM
Subject: Different Between Intraday and Daily Data?
> Does anyone know why the high and low values on a daily bar of the
> DJIA are so different from those you calculate from intraday bars?
>
> For example, on the attached GIF, the red and blue traces are the
> high and low respectively, from the previous daily bar. The gray
> lines are the values derived from the intraday bars for the previous
> day. The range of the intraday bars is much less than that of the
> daily bars.
>
> My numbers for 3/6/01 from two sources:
>
> Open High Low Close
>
> Daily 10570.17 10759.40 10508.43 10591.22 Yahoo
> Daily 10570.17 10759.40 10507.21 10591.22 Dial Data
>
> Intraday 10578.3 10690.6 10576.0 10589.8 BMI
> Intraday 10690.71 10576.05 QuoteCom
>
> Diff 8.13 68.80 68.79 1.42
>
> The open and close are pretty close and I understand that they make
> adjustment to those. But why should the high and low be so different?
>
> Thanks.
>
> Bob Fulks
>
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