[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Daily vs 1min Open prices do not match



PureBytes Links

Trading Reference Links

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