Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 5/10/2006(UTC) Posts: 252
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I've seen a number of "you get what you pay for" comments in regard to the Reuters and other subscription data feeds, and don't doubt that they put a lot of work into accuracy. But I ran a little test to compare the Yahoo EOD data I download with MLDownloader against the 5-year data CD that came with MS (through 5/31/05) just for fun. I used a stock I have a bit of familiarity with - ADPT.
I've sucked Yahoo dry for historical data on all US stocks and as many indices as I can find symbols for, going back up to over 40 years for some stocks, so I have a lot of data on my PC. I pulled up ADPT's entire history from going public in the summer of 1986, then loaded the 5 years of ADPT data from the MetaStock CD and overlaid the two right on top of each other in different colors.
Surprise! There were indeed discrepancies in the charts which are easy to see with different colors. Back in 2000 (the earliest data supplied with MS on the CD), the Yahoo data "blows up" and reflects old highs in the $40s rather than the $60s I remember and which the MS data shows. Hmmm, warning lights flash.
But then I noticed something; after spring 2001 the data lines up again, exactly on top of one another. So I dusted off my brain cells and tried to figure out what was going on. Both datasets accounted for the three 2:1 splits over the years, but there was still that discontinuity through 2001. :eek:
Then I finally figured it out; the exact date the data diverged was May 14, 2001 and guess what - that's the day Roxio/Napster was spun off and ADPT shareholders got shares of ROXI. The price divergence on that day between Yahoo/MS was about $13.50 - the value of the ROXI shares at that time.
So, the Yahoo data had treated the ROXI shares as a dividend and subtracted their value from ADPT - which I think is the correct way to do it. The MetaStock data kept the pre-spinoff prices for ADPT.
My conclusion is that, in this one case at least, the Yahoo data is MORE accurate than the Reuters data, and it's the free one. I wonder if others agree with this conclusion?
I spot-check my Yahoo closing data every day after the download is complete, picking random stock symbols, just to check today's data against the last week or so, looking for obvious errors and discontinuities. So far, I haven't found any. Even if there is a random wild-day of data included due to database errors, it should be pretty easy to spot - it would be hard-to-spot systematic offsets and errors that would really get you into trouble by leading you down a bogus historical path that wouldn't leap out at you.
Comments welcome from others about their successes and/or failures using Yahoo EOD data, and would especially like to find a source for all the index and sector symbols that are in the MS universe but don't work on Yahoo.
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/30/2005(UTC) Posts: 53 Location: Singapore
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Hi the MS data CD is not up to date. That is why you see this error.
If you use Reuter DataLink to download the historical data you will not have this problems as all the data is adjusted.
Almost every data the will be stocks need to be adjust and change of stock symbol. Reuter Datalink will have all the data adjusted and change the symbols by itself.
I recommend those who us yahoo free data to subscrible to Reuter DataLink.
You can take a look at this url http://www.sgmarket.com/...rs%20DataLink%20Main.htm
Cheers
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/7/2005(UTC) Posts: 1,346
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hey jim..... have noticed that phrase used a time or two myself.... even though it's not something i'd ever say, it is a concept that often rings true....
surely yahoo must take pride in the accuracy of their data, if for no other reason than to fend off legal hassles.... the download feature is a service that has been used for years by the excel crowd.... can't ever remember anyone talking it down..... to list all symbols do a symbol search and only put in a [color=red:1e6adb3c94] _ [/color] .... example link.....
yahoo would never serve my needs today but it's nice to hear it suits yours.....h
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers, Unverified Users Joined: 10/28/2004(UTC) Posts: 3,111 Location: Perth, Western Australia
Was thanked: 16 time(s) in 16 post(s)
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This might be an example where free data is OK, but there have been many, many more people complaining that dodgy free data has screwed up their trading system! One good example has yet to erase the memories of those bad "free data" providers.
Caveat Emptor, again!
I am one who believes, "You get what you pay for!"
wabbit :D
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Rank: Advanced Member
Groups: Registered, Registered Users Joined: 11/28/2005(UTC) Posts: 276 Location: Salt Lake City, UT
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If you look at the bottom of a page on Yahoo's site, you'll see where they get their data.
It isn't Yahoo's data, they get it from CSI.
"Historical chart data and daily updates provided by Commodity Systems, Inc. (CSI)."
If I was going to go with someone besides Reuters DataLink, it would be CSI.
They have great accuracy.
A while back, I did a comparison of different data providers.
I did speed and accuaracy. I even did accuaracy with different types of securities (Futures, Stocks, Indices, etc).
I can't remember the results anymore, but Reuters DataLink was in the 1st or 2nd position in all the areas I tested.
CSI was right there with it.
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 5/10/2006(UTC) Posts: 252
Thanks: 11 times Was thanked: 9 time(s) in 6 post(s)
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Thanks to all above for your comments, and I may end up subscribing to Reuters someday myself, but it would depend on my style of trading and the equities of interest. Right now, it's end-of-day and US stocks/indices.
And for what it's worth, I spotted a massive Yahoo data error yesterday. While emailing with my Dad about RAD, I loaded my data on the stock, and 30May2000 shows an opening price of $5,679! That's not a typo or defect in just my database; you can go to Yahoo historical data online and see it there still. All prices for that day were shifted over one column, blowing up the whole day. Otherwise, the RAD data (and every other issue I've checked) is fine and I hand-adjusted that day's values with correct data.
My guess is that almost all data errors would be of this type, which leap right off the chart and are easy to fix, rather than a systematic 5% error or something similar, which would be very serious.
And I agree with the above comment that it's in Yahoo's interest that, if they're going to distribute data, to make best-effort for accuracy to avoid problems to their reputation.
As for the MetaStock historical CD being "old" data, yes and no. The spinout error I spotted was in May 2001, in the middle of the dataset; Reuters should have adjusted prior prices to the beginning of the CD data in May 2001 to account for this dividend, just as Yahoo did. If you load ADPT from Reuters today, does it show highs in the $40s or $60s during January 2000? Anybody have that handy? If it still shows prices in the $60s, then Reuters still hasn't dividend-adjusted this stock's historical data.
Can anyone document instances of significant, hard-to-spot errors in Yahoo's historical database? There are probably millions of people accessing that data worldwide; I think we'd have heard of news reports or lawsuits with that many people using it - they'd surely uncover lurking defects.
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 5/13/2005(UTC) Posts: 715 Location: Midwest, USA
Was thanked: 1 time(s) in 1 post(s)
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 3/7/2005(UTC) Posts: 1,346
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hey jim..... just checked esignal and etrade, both have the same..... chart below ..... there are several methods distributions can be made..... not all will impact the original stocks price negatively.... do you remember for sure the drop in price or are you basing it on yahoo's data.... clearstation used to be nortorious for incorrectly reflecting splits, stock dividends and such..... by stock dividend i'm not refering to the standard dividend.... h
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Rank: Advanced Member
Groups: Registered, Registered Users, Subscribers Joined: 5/10/2006(UTC) Posts: 252
Thanks: 11 times Was thanked: 9 time(s) in 6 post(s)
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Hayseed, thanks for checking two other sources. I remember the spinout of ROXI from ADPT in May 2001; I was an ADPT shareholder.
Maybe there's a question of interpretation; whether or not to adjust prices pre-split for the spinout value. As I recall, ADPT press releases at the time considered it a tax-free dividend to existing shareholders, but it's obvious from looking at Yahoo's data that it treated it as a split/dividend, adjusting prices prior to that date, and post-spinout Yahoo's data lines up with the MS historical CD.
Any CPAs out there care to comment? Maybe it can be interpreted both ways.
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