As promised, I've put together a few different types of things that quality data vendors do to the data to allow you to compare against what you are currently getting.
Here's a few examples of data maintenance that most (all?) free data vendors/brokers and quite a few data vendors would not have performed.
1. Code changes
Pallane Medical (changed codes from DIA to PNM on 20 November 2009)
Accurate data will show: complete history of PNM from 24 Jan 2005 through to today
Bad data will show: Short history of PNM starting 20 Nov 2009 and DIA last date showing 19 Nov 2009
2. Merging of deferred settlement periods (eg. around reconstruction time)
When a stock undergoes a reconstruction or restructure it trades as a deferred settlement security.
Recent examples include:
Astro Japan Property Group: Recently became a stapled security.
Traded as AJA until 4 Nov 2009
Traded as AJADA from 5 Nov 2009 through 18 November 2009.
Trading now as AJA from 19 November 2009 onwards.
Good data will show: Complete data history from 4 April 2005 through to today with no periods of missing trades.
Bad data will show: Missing data between 5 Nov and 18 Nov 2009 - you are missing trading history.
Nuplex (NPX) had a 4:1 consolidation exdate 11 June 2009
Good data will show: Complete data history from 24 Nov 1999 through to today
Bad data will show: Missing data between 11 June 2009 through 24 June 2009.
3. Dilutions
Many corporate actions are dilutionary to existing shareholders. However, if you participate in the corporate action (eg. a rights issue, non-renounceable issue etc.) your shareholding will not be diluted. The chart should reflect your participation in any such actions.
Recent examples include:
Lynas Corporation (LYC) has a 1:1 Non-Renounceable issue of shares @ 45C with exdate 1 Oct 2009. This resulted in a dilution factor of 0.75
Good data will show: Close price of 0.675 on 23 Sept 2009
Bad data will show: Close price of 0.9 on 23 Sept 2009
Euroz Limited (EZL) declaed a 1 for 2 share split exdate 9 Oct 2008
Good data will show: Close price of $1.21, volume of 16706 on 7 Oct 2009
Bad data will show: Close price of $2.42, volume of 33412 on 7 Oct 2009
Toll Holdings (EQF) declared a 1:1 in specie distribution (spinoff) of Virgin Blue exdate 17 July 2008 with a resultant dilution factor of 0.8967
Good data will show: Close price of $5.775 on 16 July 2008.
Bad data will show: Close price of $6.44 on 16 July 2008.
4. After market trade cancellations/corrections
The ASX regularly cancels erroneous trades. This can affect the high, low, close and volume figures. It may also affect any indexes that the stock is in too.
Recent examples of BIG erroneous trade corrections include:
Brickwords
2 June 2009 Austereo Limited (AEO)
Was: $1.74 as Close, erroneous trades cancelled - close should be $1.475
2 June 2009 Brickworks Limited (BKW)
Was: $15.31 as Close, erroneous trades cancelled - close should be $12.25
In the last year, the ASX have made:
Changes in O,H,L or C due to trade corrections/cancellations: 49 = 4/month
OHLC same, but reduced volume due to trade corrections/cancellations: 5562 = 463/month = 22/day
5. Adjustments for special dividends
The standard methodology adhered to by Standard and Poors, Dow Jones and ASX adjusts for special dividends.
Some examples:
Flexigroup (FXL) declared a 3c special dividend exdate 26 Nov 2008.
Good data will show: Close price of $0.255 on 25 Nov 2008.
Bad data will show: Close price of $0.285 on 25 Nov 2008.
Keycorp (KYC) declared a 5c special dividend exdate 25 May 2009
Good data will show: Close price of $0.44 on 22 May 2009
Bad data will show: Close price of $0.49 on 22 May 2009
6. Merging of FPOs with CDIs
Some companies in Austrlaia decide to be re-domiciled in another country. The Australian shareholders' shares are converted into trading instruments known as CDIs (Chess Depositary Interests).
Some examples include:
Heartware Intl (HIN) converted to CDIs on 4 Nov 2008. It was previously trading as HTW.
Good data will show: Trading History of HIN back to 13 January 2005.
Bad data will show: Trading history of HIN back to 4 Nov 2008 only.
News Corp (Class B Voting CDI) (NWS) redomiciled their operates in 2004 to the US.
Good data will show: Trading history before Nov 2004 (back to at least 1992).
Bad data will show: trading on NWS only starting on 4 Nov 2004.
Henderson Group Plc (HGG) converted to CDIs in October 2008.
Good data will show: trading history back to 23 Dec 2003.
Bad data will show: trading history only back to 27 Oct 2008.
7. Actual index pricing
Vendors who subscribe to the official S&P index feed will be able to provide the actual open of the index when stocks start trading at 10:00:00am. Vendors who do not subscribe to this will have the close equal to yesterday's open. This has implications for analysis of index data.
8. Index corrections
From time-to-time the ASX makes corrections are required to various indices due to trade cancellations.
For example, the low of the S&P/ASX 100 was corrected from 2535.4 to 2590. That's a 2% error.
9. Incorrect trading increments on ASX data
Particularly an issue with free data, is that they round to two decimal places. Any security traded on the ASX that is under $2.00 trades to three decimal places (either 0.005, 0.001 ticks according to its price). If data is only quoted to two decimal places the data can be dozens of percent inaccurate.
I hope that highlights a few examples of where paid data is different to free data.