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Bob,
Another source of discrepancy (probably not the one you're referencing) may
have something to do with your intra-day data source. For example --as I
understand it-- The "Daily/EOD" High & Low originate directly from data
received or generated by the original data vendor. The Intra-day data may
have been filtered.
I use Quote.com and they heavily filter the data coming from S&P
Comstock. Every erroneous tick is removed from the intra-day feed on a
real-time basis. If erroneous Daily Highs & Lows occur during the day
(quite frequent for some Symbols), they are retained in the data used to
generate the EOD data from S&P, but have been filtered-out of the Quote.com
intra-day data.
For this reason, I use 390 minute "intra-day" bars as a Proxy for all my
Daily System calculations, as opposed to the "official" Daily bars that
find their way into the public domain --
_________________________________________
At 06:55 PM 04/09/2001 -0400, you wrote:
>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.
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