Data Integrity - Splits, gaps, spikes, whatnot.

[JayF]

Re: Spike on NYSE:FUL 02/27/07

Originally posted by emboehm
It may be a valid trade but it sure looks like there might be a bad spike on NYSE:FUL on 02/27/07

FUL looks like it has some odd trading action on that day. It appears like it was even halted for a 2-hour time span. So it seems that this spike is legitimate.

[JayF]

Originally posted by tradertom
YHOO Daily and Weekly charts show the high on Monday March 5th to be 31.90. Shorter charts indicate a high of 31.00. I also checked the All Sessions charts and there is no high of 31.90 appearing on the intraday charts.

Thanks,
T

This is an odd one. All the online sources I have checked, seem to have 31.90 as the high, but none of them have an intraday trade to back that up. For now, we'll have to stick with the 31.90 High as that was the official day's summary as sent from the exchange, but I'll run this by our QA group to see if they can contact the exchange about it.

[JayF]

YHOO 3/5

Looks like both eSignal and Continuum caught the 31.90 and Filtered it out of intraday charts. Other sources must have as well. In looking through the trade conditions on eSignal's side, it was sent as a regular trade, and the exchange never cancelled it. Seems valid based on this info.

[emboehm]

Re: Re: Spike on NYSE:FUL 02/27/07

Originally posted by JayF
FUL looks like it has some odd trading action on that day. It appears like it was even halted for a 2-hour time span. So it seems that this spike is legitimate.

I don't see any halted trade on the intraday charts and that spike shows as yellow intraday.

I'm not trying to be difficult -- just trying to understand.

[collective]

I noticed a strange phenomenon on QCharts 5.1 today. Check out the pic attached.

These are 2 screenshots of the same quote window of the same symbol taken at the same time (give or take a few seconds of course).

As you can see the daily volume is very different in the 2 screenshots. The only difference is that the first screenshot is taken after typing the symbol NASDAQ:SWHC while the second one is the same string entered through the "listen for expression changes" via the QSyn interface.

The shots were taken this morning (03/13) around 11 AM EDT.
Even stranger is that right now, at 1 PM, the difference is not there anymore.
Now, the volume is equal irrespective how the symbol was entered.

it almost looks like the string distribution to the different QCharts windows is going through different functions/methods depending on where the symbol comes from. I don't know if it is also the case in 6.0.

Greetz,
Walter

[JayF]

Re: Re: Re: Spike on NYSE:FUL 02/27/07

Originally posted by emboehm
I don't see any halted trade on the intraday charts and that spike shows as yellow intraday.

I'm not trying to be difficult -- just trying to understand.

My error on the halt. There wasn't one at that time. According to the exchange and various other vendors, it does appear that the official low of the day is 20.66. There was a trade at 14.85 that was cancelled, but the 20.66 trade was kept as live.

[JayF]

Originally posted by collective
I noticed a strange phenomenon on QCharts 5.1 today. Check out the pic attached.
...
Greetz,
Walter

Were these within the same application or different app's? If the latter, were they on different servers? If yes, which?

That's quite a stumper if those windows were inside the same application. Would need to dig deeper to find out what may have happened.

[collective]

Originally posted by JayF
Were these within the same application or different app's? If the latter, were they on different servers?

It's exactly the same window, in the same application connected to the same server.

So yep, it's a strange thing indeed. I didn't notice it on all symbols but there were certainly a few others besides the one in the example.

By the way, I hadn't noticed it before but look at the same pic on the right. The G number (gap) is also different. So, it is not a volume issue per se but rather it looks like the data on one of the 2 snapshots comes from cache and hasn't been updated for a long time (hence the volume difference). It is the same symbol on the screen though and the charts look exactly the same. It's just the quote window which shows a difference. The bid/ask is the same on both because I think these values might not be kept in cache? (just a guess here)

Greetz,
Walter

[JayF]

The following fixes were completed recently.

NASDAQ:GOOG - 3/8/07 High; fixed to be 362.35
NASDAQ:AEOS became NYSE:AEO, merge forthcoming.
NYSE:AEO changed to "American Eagle Outfitters"
NYSE:UPL - 3/5/07 Low fixed to be 48.80

Note:
AMEX:IWM - Cannot edit at this time, out of range of tick edits

[tradertom]

Bad Tick; Tomorrow's Candle already painted?

Please check DJUSHC index Daily/Weekly low for 3/13/2007. QCharts 5.1 is showing a low of 196.80 but it should probably be more like 327.62.

Oddly, when I go to another index and then return to the DJ Health Care index, I see two identical red candles, one for today, 3/13 and the second for tomorrow, 3/14; the 3/14 candle now shows the bad tick.

Intraday charts are fine. cc-08a.mia server.

Thanks,
T

[JayF]

Looks like the EOD summary message corrected this problem overnight.

[ckelly]

Please correct WY Daily candle for 3/14/07.
Thanks,
Carol

[JayF]

82.00 seems to be the official high based on the data we received from NYSE and in looking at other sites they all seem to display that same High. In looking through the T&S, there were a handful of trades that led up to 82.00 versus this just being 1 spike.

Carol, did you see any outside data source that had a different high?

[ckelly]

Jay,
I see today that the intraday candles have been adjusted to match the Daily candle. Admittedly, I assumed that the intraday's were correct (seems to typically be the case) and the Daily was just way out of range. No, I do not see outside sources that differ from 82.00 as the high for WY yesterday.

Thanks for correcting the intraday candles. When the intraday's and the Daily candles are off by $2-3, it really throws off the indicators and gives very mixed buy/sell signals.

Carol

[JayF]

I double-checked with one last source (no names, but it's a high-end terminal) and they are contradicting. I suspect that the NYSE didn't correct their EOD summary message, and that it got blasted out to all vendors.

I have our QA teams readjusting WY to a high of 79.75 on both intraday and daily.