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At 4:16 PM -1000 4/9/01, Ron Augustine wrote:
>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.
The highs and lows of my intraday data do not quite match the numbers
on the dowjones.com site but are very close. That looks like a small
error in this case.
>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.
The data given by Dial Data and Yahoo and the Wall Street Journal are
the same in most cases so I suspect they come from some "official
source" that does the calculation at least for the DJIA.
>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 --
This looks as if it is the only way you could get values you could
actually trade.
Bob Fulks
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