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In my attempts to create reliable 1min Back Adjusted data, I have
written a few programs to check and clean 1min ascii data.
The problem I cant seem to understand is why the Opening price of any
given day is not the same as in the Daily data. I would understand the
close being different due to the interest corrections but I am getting
wild results comparing the opens, up to 31pts different!
Regardless of the sources of the data, I would not expect this. (Qcharts
for daily data, a tick provider for 1min data)
Here is a snippet of one contract compared:
SP00M
03/09/2000 Daily=1385.00 1min=1385.00 Diff= 0.00Pts
03/10/2000 Daily=1422.00 1min=1418.50 Diff= 3.50Pts
03/13/2000 Daily=1413.80 1min=1382.80 Diff= 31.00Pts
03/14/2000 Daily=1401.00 1min=1409.50 Diff= 8.50Pts
03/15/2000 Daily=1379.00 1min=1386.00 Diff= 7.00Pts
03/16/2000 Daily=1413.50 1min=1427.00 Diff= 13.50Pts
03/17/2000 Daily=1477.50 1min=1472.00 Diff= 5.50Pts
03/20/2000 Daily=1486.10 1min=1486.00 Diff= 0.10Pts
03/21/2000 Daily=1477.10 1min=1474.00 Diff= 3.10Pts
03/22/2000 Daily=1508.20 1min=1511.00 Diff= 2.80Pts
03/23/2000 Daily=1517.20 1min=1512.50 Diff= 4.70Pts
03/24/2000 Daily=1542.00 1min=1543.00 Diff= 1.00Pts
03/27/2000 Daily=1551.50 1min=1550.50 Diff= 1.00Pts
03/28/2000 Daily=1539.90 1min=1534.50 Diff= 5.40Pts
03/29/2000 Daily=1529.30 1min=1532.50 Diff= 3.20Pts
03/30/2000 Daily=1529.70 1min=1516.00 Diff= 13.70Pts
03/31/2000 Daily=1505.20 1min=1511.00 Diff= 5.80Pts
04/03/2000 Daily=1512.10 1min=1513.00 Diff= 0.90Pts
04/04/2000 Daily=1528.50 1min=1531.00 Diff= 2.50Pts
04/05/2000 Daily=1518.10 1min=1498.00 Diff= 20.10Pts
04/06/2000 Daily=1505.30 1min=1512.50 Diff= 7.20Pts
04/07/2000 Daily=1520.30 1min=1529.00 Diff= 8.70Pts
04/10/2000 Daily=1530.60 1min=1531.00 Diff= 0.40Pts
04/11/2000 Daily=1518.50 1min=1511.00 Diff= 7.50Pts
04/12/2000 Daily=1518.90 1min=1518.50 Diff= 0.40Pts
04/13/2000 Daily=1480.50 1min=1486.00 Diff= 5.50Pts
04/14/2000 Daily=1453.80 1min=1435.50 Diff= 18.30Pts
04/17/2000 Daily=1367.00 1min=1367.50 Diff= 0.50Pts
04/18/2000 Daily=1412.90 1min=1413.50 Diff= 0.60Pts
04/19/2000 Daily=1449.50 1min=1454.00 Diff= 4.50Pts
04/20/2000 Daily=1436.60 1min=1441.00 Diff= 4.40Pts
04/24/2000 Daily=1442.60 1min=1427.50 Diff= 15.10Pts
04/25/2000 Daily=1438.00 1min=1451.00 Diff= 13.00Pts
04/26/2000 Daily=1488.80 1min=1490.00 Diff= 1.20Pts
Can anyone explain this?
What price do you have for 03/13/2000 Open?
Regards
Mike
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