1

When I compare values [open, high, low, close] between alphavantage.co and api.iextrading.com, there are 'inconsistencies' between values. I am wanting to better target support and resistance levels, but finding different values between services makes it hard to confirm accuracy.

When I compare against values reflected on Yahoo Finance or Finviz, the numbers don't match. Why do the differences exist? How can one determine which source is reliable?

5
  • 1
    In order for one minute data from different services to match, the collection would have to be pristine and the minute interval would have to be precisely exact from one to another. A second or two difference would lead to different results. I don't know about the quality and availability of historical minute by minute data but you can capture it yourself in real time from some trading platforms. Even if captured on the half minute, it would have no effect on the location of support and resistance. Jul 17, 2018 at 3:04
  • 1
    As worded, this is off-topic as a product/service request. If you were to alter it to ask why the differences exist that'd be more topical and @BobBaerker could move his comment to an answer.
    – Hart CO
    Jul 17, 2018 at 3:10
  • What the hell. I DID edit my question and it gets put on hold? Hart said to ask why the difference, I edit to do JUST THAT and then I get put on hold? Thanks
    – Seanguy
    Jul 17, 2018 at 7:07
  • @Seanguy I think the close votes landed before the edit unfortunately, happens sometimes, it's a good edit, and there are 4/5 reopen votes so one more and it'll be back.
    – Hart CO
    Jul 17, 2018 at 14:14
  • Whew. Thank you for the assistance. Finding out the ins and outs is already a challenge. I was worried the community wrote me off LOL
    – Seanguy
    Jul 17, 2018 at 15:51

1 Answer 1

2

Since your question appears to relate to US stocks and daily data, I'll tailor my answer to that.

Open, High, Low, Close, Volume

Data from individual trades (time, price, volume, exchange, trade condition codes) and trade cancellations are aggregated to produce open, high, low, close and volume appropriate for whatever time period is shown (daily, 15 min etc.).

Different providers may use different interpretations of the exchange and trade condition codes to provide a different set of data. Some providers might even only report trades from a single exchange.

Consolidated Tape Association

In the US, the Consolidated Tape Association governs the rules about which trades, times and condition codes affect the Open, High, Low, Close and Volume. These rules are generally accepted as the standard method of reporting..

For example, the Open is the first regular trade reported across all trading venues after 09:30:00.000. The close is the primary listing exchange’s closing auction result, if there is an auction. If there is no auction it’s the last traded price reported to the tape (across all eligible venues).

Note that some types of trades are excluded in affecting the price (OHLC) such as odd-lot trades, average price trade, contingent trades etc. All trades affect the volume. Also consider the effect of busted/cancelled trades.

There are further exceptions to this rule. For example, in March 2018, the SEC approved a change to the official closing price for NYSE Arca securities that have derivatives (such as options) listed against them. If they didn’t have a closing price auction or had a closing price auction with less than a round lot, then the closing price will be compromised of both a time-weighted average price of the midpoint of the National Best Bid-Offer over the last 5 minutes of the trading day and any last-sale eligible trades during that period.

The rules are here: https://www.ctaplan.com/tech-specs under CTS Binary Output Specifications

Adjustments for Corporate Actions

Historical data can be adjusted for various corporate events such as stock splits, spin-offs (de-mergers), stock dividends, special dividends, special distributions, capital distributions, normal dividends, distributions in a currency other than the trading currency, events that give the holder a choice of multiple options etc. There are often different interpretations for the surviving entity of spin-offs/de-mergers too, which can cause discrepancies.

Summary

Discrepancies between different providers are commonplace. Ask your provider exactly how they handle trades from multiple venues, how the open, high, close and volume are calculated, and if/how corporate actions are adjusted.

Disclosure - Norgate Data is a data vendor.

You must log in to answer this question.

Not the answer you're looking for? Browse other questions tagged .