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FWIW
Sometime back in the early 90's DBC Signal broadcasted both theoretical and
actual. Then the DowJones company started charging a premium fee for the
theoretical value. DBC stopped broadcasting that theoretical and replaced
it with a theoretical based on the S&P500 or S&P600. Don't know if they
still have it or what the symbol was.
bobr
----- Original Message -----
From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
To: "Ron Augustine" <RonAug@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Tuesday, April 10, 2001 6:07 AM
Subject: Re: Different Between Intraday and Daily Data?
> 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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