Serious European data inaccuracies

[Highfield]

I have serious doubts about the accuracy of European OHLC data provided eSignal equities.

For example: The OHLC values for HBOS Plc (eSignal EPIC HBOS-LON) for the week ending 01/Aug/03 which are 100% accurate from my level 2 GNI Touch platform screen and verified with IS Software AG data providers and other traders are:

Date Open High Low Close

28/07/03 792.00 801.50 788.50 798.00
29/07/03 789.00 814.00 793.50 795.00
30/07/03 789.50 813.50 791.50 792.50
31/07/03 799.00 799.00 768.00 775.00
01/08/03 771.00 798.50 765.50 778.50

The eSignal standard chart, daily history, tabular displays:

28/07/03 797.50 800.50 787.00 798.00
29/07/03 800.00 815.00 787.50 795.00
30/07/03 799.50 813.00 790.50 792.50
31/07/03 786.50 791.00 767.50 775.00
01/08/03 775.00 784.00 765.00 778.50

The closing price is the only accurate value provided by eSignal.

This has obvious ramifications when using the EFS programming language. For example: Plotting pivot points, support and resistance lines.

Please advise.

[ACM]

Highfield
FWIW both Reuters and HBOS own page seem to suggest that eSignal's OHLC are correct at least for August 1st.
Prices on LSE's web site are unavailble at this time but you may want to check with them.
Alex

[Highfield]

Here's the price action from 01/Aug/03.

[ScottJ]

In looking at the 8/1 intraday data for HBOS-LON, the trading range rarely exceeded 780 let alone hit near 798.50. My guess is that there was a bad tick and the summary message cleaned our daily data record for 8/1 ( or 1/8 !). Only a guess until we can look into it further on Monday. Did you get a chance to compare intraday data with those other sources to possibly spot a spike on their system that was not present on eSignal?

BTW, my daily chart for HBOS does not show that last candle for 8/1 like in your example. You may want to log on/off eSignal to refresh. Also, your chart example doesn't appear to an eSignal chart so please identify the 3p you are using and whether you see the same information in an eSignal chart.

Thanks.

[Highfield]

I wasn't around to trade on Friday which is unfortunate given that this may be a spike on that day but I can asure you that the values up until Thursday are accurate as I have them written down by hand as I constantly monitor this particular stock. Are the prices shown with eSignal the mid price for the stock?

[ACM]

Highfield
Here are the quotes from 3 data providers compared to eSignal’s and yours. Matching quotes are in the same color.
So far as I can see your data matches only on the close with all 4 data services.
Alex

Reuters
07/28/03 797.00 801.00 787.00 798.00
07/29/03 800.00 815.00 787.50 795.00
07/30/03 794.00 813.00 790.50 792.50
07/31/03 801.00 801.75 761.00 775.00 (see note)
08/01/03 775.00 784.00 764.00 778.50

CQG
07/28/03 797.50 800.50 787.00 798.00
07/29/03 800.00 815.00 787.50 795.00
07/30/03 799.50 813.00 790.50 792.50
07/31/03 786.50 791.00 767.50 775.00
08/01/03 775.00 784.00 765.00 778.50

Bloomberg
07/28/03 797.50 800.50 787.00 798.00
07/29/03 800.00 815.00 787.50 795.00
07/30/03 799.50 813.00 790.50 792.50
07/31/03 786.50 791.00 767.50 775.00
08/01/03 775.00 784.00 765.00 778.50

eSignal
28/07/03 797.50 800.50 787.00 798.00
29/07/03 800.00 815.00 787.50 795.00
30/07/03 799.50 813.00 790.50 792.50
31/07/03 786.50 791.00 767.50 775.00
01/08/03 775.00 784.00 765.00 778.50

yours
28/07/03 792.00 801.50 788.50 798.00
29/07/03 789.00 814.00 793.50 795.00
30/07/03 789.50 813.50 791.50 792.50
31/07/03 799.00 799.00 768.00 775.00
01/08/03 771.00 798.50 765.50 778.50

Note: On a different Reuters platform they themselves provide quite different data for this day which differs from eSignal's Bloomberg's and CQG's by a few ticks only

[Highfield]

The companies you have choosen to represent eSignal's accuracy likely share the same data from the LSE. Yet the traders I work with and speak to and who trade UK banks have figures the same as mine.

HBOS-LON OHLC data for 04/08/03, taken from watching level 2 screens

775.5 793.5 769.5 771.5 - my readings from level 2

772.0 793.5 770.0 771.5 - eSignal

The lowest trade was a sell, 1k at 769.5.

Although the values are close they are not totally the same for Open and Low.

[Highfield]

HBOS-LON OHLC chart

[ScottJ]

Hi,

For some reason, the chart attached in the previous post isn't displaying completely so I can't comment on its' content.

We do get our data from the LSE, as advertised, so that's what we expect to match accurately against and, in this case, it appears we do. Perhaps your other traders are seeing transactions from sources other than LSE. If that's the case, you won't see them on our system nor does it appear you'd see them on a Reuters or a Bloomberg system.

When a data question arises, these are the types of sources we'll routinely compare against ( the exchange itself, for ex.) so if you have other data-related concerns, you may save yourself some time by comparing our data against some of the other data sources referenced here ( as opposed to the sources your trading friends use ). Hope that helps.

Thanks.