Daily bar data different than intraday for spreads?

[dreww72]

I am wondering why (and how I can fix) the different data I receive from the daily bars (end of day) and intraday bars when plotting the difference between 2 symbols?

For example:

Using Fridays date for the spread between symbol DIA minus IWM.

The daily bar values are
Open: 35:27
High: 35.53
Low: 35.00
Close: 35.02

On the intraday bars (5 min) the values are
Open: 35.29
High: 35.65
Low: 34.93
Close: 35.08

As you can see each value is different and therefore it seems causes errors in calculating any further values using the Daily bar data.

Ideas? Help?

Thanks in advance

[ACM]

Re: Daily bar data different than intraday for spreads?

dreww72
For an explanation of why this difference may exist see this article in the eSignal KnowledgeBase
Alex

Originally posted by dreww72
I am wondering why (and how I can fix) the different data I receive from the daily bars (end of day) and intraday bars when plotting the difference between 2 symbols?

For example:

Using Fridays date for the spread between symbol DIA minus IWM.

The daily bar values are
Open: 35:27
High: 35.53
Low: 35.00
Close: 35.02

On the intraday bars (5 min) the values are
Open: 35.29
High: 35.65
Low: 34.93
Close: 35.08

As you can see each value is different and therefore it seems causes errors in calculating any further values using the Daily bar data.

Ideas? Help?

Thanks in advance