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RT's,
I have a question about data reliability. One of the systems that I trade
looks for a narrow range day using end of day data. Today I decided to get
aggressive with the system and look for tomorrow's setup before the market
closed. I watched the June D-mark all day long and noticed that the low was
.5499. I went short before the close so that I might be able to get a few
extra points profit if the market gapped lower tomorrow.
Anyway, when I checked my charts this evening, I found that the low was
actually .5493. This different low price would not trigger my system, so now
I'm thinking that I screwed up and I'm short D-marks.
Obviously one of my sources of information was wrong, so I went to the CME web
site and checked the official low. They've got it listed as .5493, so my data
vendor was right. I still wasn't convinced, so I looked at the time sales
data to double check, but I couldn't find a trade at .5493. The lowest price
was .5499.
My question is, what is the real low? Did the CME screw up? Is this a common
error? I expect my data vendor to be wrong on occasion, but not the exchange.
We risk thousands of dollars every day trusting the data that the exchange or
our vendors deliver. How much of the data that we use to make trading
decisions is incorrect?
Any help with this is appreciated.
Bill Walker
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