Quirky Index Data

[buhrmaster]

For the past several days I have noticed a discrepancy between your SPX and OEX data and that of IB. Once in a while your SPX and OEX will be .01 less than IB's. I think the source for both is CBOE and in general they update at the same time.

If the source is the same why are they different? Of course you can turn around and ask why isn't it them. Fair enough, however, I have never had a problem with their feed ever and I have with yours recently, including that cash index problem you had a couple of weeks ago and lengthy delays in the feed.

I'm just trying to get a handle on this so I can figure out if there are deeper issues.

Thanks.

[buhrmaster]

This data inconsistency continues, in which the occasional SPX quote you deliver is .01 below that reported by IB and CNBC. Again, the source appears the same, they update simultaneously, and it should be a straight passthrough, and yet it is off.

Is there a reason for this? There usually is when a system that has been so consistent for so long suddenly has odd behavior.

[JayF]

Looks like we're matching what the exchange is showing for the Previous Close (which is what the Net Change is based on by default.) If CNBC and IB are showing different values than the exchange, then I suspect something is up on their end.

[buhrmaster]

The previous close is fine.

I am talking about the current index level. For example, at 12:02:55, you had 1193.60 and IB had 1193.61, with your change on the day being correspondingly lower. Then the next update was identical. Then again, at 12:09:36 your level was 1193.35, while CNBC and IB had 1193.36.

[JayF]

It's difficult to say what is causing that discrepancy. I can tell you I have heard of reports similar to this, and in the past we have found that these differences are caused by differences in the source of the data and the time that the index is actually calculated. I can say that our data for $SPX and $OEX come direct from the Options Price Reporting Authority.

Indexes are based on an algorythm calculated at a certain interval (SPX/OEX = 15 sec.), if one vendor/feed is calculating it even slightly at a different time, then differences will be seen in comparing it to another vendor or feed. I suspect that your comparitive sources are just using a different source for their data, than we are, and that all three are correct given the time that the index is calculated.

[buhrmaster]

FWIW, IB claims that their source is CBOE (which of course is a participant in OPRA) and both your screen and theirs update at exactly the same second. In addition, I have looked at both screens for months and have only begun to notice this in the past few weeks. Finally, if it were an issue of when the snapshot is taken the difference between the two quotes would be more random. As it is, when they are different it is always that Signal is .01 less than the others.