Best Data for me?

[Timmy]

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........

Thanks Richard - highest quality information from you, as always. This should serve as a great reference for those querying where to find the best ASX EOD data sources.

 

[sinner]

I haven't used it, but was just looking at the prices on the ProRealTime page (was looking at L2 EUREX prices specifically, expensive!) and it seems their EOD service is FREE?

Here is the registration service:

http://www.prorealtime.com/en/

Again, I haven't used them, but I do want to.

 

[Wysiwyg]

By "quoted share prices" I assume you mean either best bid or best ask, last traded price and/or market depth. These should remain the same unless the broker has any sort of technical difficulties.

Thanks for the confirmation.

 

[captain black]

Thanks Richard - highest quality information from you, as always. This should serve as a great reference for those querying where to find the best ASX EOD data sources.

+1

Could this thread be made sticky much the same way as the "pre-open/pre-close" thread was? This subject of free data/paid data comes up quite often and Richard's guide in this thread would be great to reference in the future and would be a great guide for newbies.

 

[Timmy]

Good idea Captain

 

[captain black]

Thanks Timmy.

Just to add my ,

Trying to do any serious backtesting or trading using unadjusted free data is false economy, it will cost you in the long run. A read through what Richard posted earlier should clear up any misconception that free data is a "bargain".

 

[RazzaDazzla]

hooray! my thread became a sticky!

I'm glad my question was a useful one

 

[Wysiwyg]

Just to exemplify how adjusted and unadjusted data looks.

API has recently raised capital and the difference can be seen with unadjusted Yahoo data and adjusted Commsec data. Note the highs too.

 

[-Bevo-]

See below what I got using premium is different again to both charts you posted.

 

[Wysiwyg]

See below what I got using premium is different again to both charts you posted.

Now that is a strong case of false or misleading information being provided to the customers by broker Commsec. I wonder what their explanation would be.

 

[Wysiwyg]

Now that is a strong case of false or misleading information being provided to the customers by broker Commsec. I wonder what their explanation would be.

The plot thickens.

Fired in a "please explain" to Commsec and they rinsed the blood from their toga by claiming Paritech Charts are the ones to talk to. Paritech staff are presently too busy so I await a call back sometime today.

 

[Boggo]

The plot thickens.

Fired in a "please explain" to Commsec and they rinsed the blood from their toga by claiming Paritech Charts are the ones to talk to. Paritech staff are presently too busy so I await a call back sometime today.

A comparison of Paritech EOD data and Paritech Commsec data might be interesting.

 

[-Bevo-]

Now that is a strong case of false or misleading information being provided to the customers by broker Commsec. I wonder what their explanation would be.

Explanation would be charting data is Paritech we are not responsible or something along those lines it might even be mentioned on there website.

Just had a check of AJA on Comsec is incorrect missing data between 5 Nov and 18 Nov 2009, PNM not found.

Comsec free charts equals unadjusted data.

 

[Wysiwyg]

The plot thickens.

Fired in a "please explain" to Commsec and they rinsed the blood from their toga by claiming Paritech Charts are the ones to talk to. Paritech staff are presently too busy so I await a call back sometime today.

Okay. Well my fact finding mission has come up with this.

Paritech Charts use data supplied by the ASX Limited.

As one of the world’s top 10 listed exchange groups, measured by its market capitalisation, ASX group was created through the merger of the Australian Stock Exchange and the Sydney Futures Exchange.

ASX group operates under the brand, Australian Securities Exchange.

From a conversation with a nice lady from the ASX I was informed that their data is adjusted and correct. She did not know how the vendors process the data from ASX but assured me ASX data is correct. However, she made a strong point that chart representations of the data will vary and there is a disclaimer on the charts to cover this.

So why is Premium Data adjustments different from ASX data adjustments for API? Well maybe Richard can enlighten us on that one.

 

[Richard Dale]

We have investigated this further... it appears that the ASX issued two adjustments for API - one on the day before the ex date and the second two weeks after the original was issued). However, the second dilution wasn't flagged as a dilution correction. So this resulted in the stock being adjusted "twice" for what was in fact the same corporate acton.

As far as we can tell this is an isolated example - today we've double checked through over 5000 dilutions we have on file for ASX stocks and this is the only "correction" affected in such a way.

We'll be in contact with the ASX to ensure that any corrected dilutions are flagged as a correction not as an additional dilution and also implement alerts internally should such a situation arise again.

I'd suggest that the reason some other providers weren't affected is that they probably have designed their databases so that they only handle a single dilution factor on a given day. We've designed our internal systems so that if multiple corporate actions are performed on the same day, there is a different dilution factor for each.

Why did we design it this way?

The design decision for this was based upon giving users the ability to selectively determine which dilution types they do or don't wish to adjust for. We've also extended the concept such that all cash dividends also have a dilution factor. This was users can elect to also adjust for cash dividends to see a total return chart. We've been researching ASX dividends back to 1981 through many calls to share registries, contact with company secretaries, and even viewing historical annual reports at university libraries across Australia.

We'll be looking to provide this capability into analysis packages such as AmiBroker initially and extending to other software packages in the future.

We have a few other little nifty features in the works too... such as historical index constituents.

 

[wooly1]

After reading Richard Dales description of common data errors, I checked my own data base from Justdata and I am staggered at the number of errors present.
There's enough bad data errors as described by Richard to cause me to have little confidence in the integrity of the data I am using.

Admittedly this is from a fairly old version (BodhiFreeway 2) of the Justdata distributor so I don't know how this would compare with their current distribution software of BodhiGold (I think that's the current version).

In BF2's favour is that it was a one off purchase with a never expire licence, but I suspect now that it also means that it's not being maintained by Justdata.
I've always had very good service from Justdata but I think there may be a good case for staying up to date with their software releases as well.

Perhaps it's time to look at alternate data supplies.

 

[Wysiwyg]

Just interested to know if stock data is correctly adjusted with Interactive Brokers.
?

 

[dawsonsg]

WYSIWYG,

If you are interested in proper ACCURATE data. There is only one place to go. That is Premium Data. You will NOT be disappointed. Any issues you may have will be dealt with promptly (If you have any at all).

You just cannot use free data if you are serious because of all the inaccuracies that Richard mentioned. The GICS categorisation is awesome, full support for AmiBroker (and a number of other platforms) and historic data for stocks that have been delisted (if this is something you want).

I have used Just Data before and to be honest I was really disappointed, there was just too much mucking around.

If you want to press a button and get the data this is the product to go for. In fact, they even give you instructions on how to set this up to happen automatically.

A first class service at a great price.

Steve

Just interested to know if stock data is correctly adjusted with Interactive Brokers.
?

 

[wooly1]

Seriously thinking of going with Premium Data now not only for the accuracy of the data but the notion of that GICS categorisation is really appealing as well.

Can anyone confirm that the GICS format works as well for Metastock as it does for Amibroker?

Thanks all.

 

[dawsonsg]

Hi Wooly,

Yep it does. I used to use it with Jose Silvas URSC Toolkit before I switched to AmiBroker.

Why not just sign up for a free trial and see for yourself.

Steve

Seriously thinking of going with Premium Data now not only for the accuracy of the data but the notion of that GICS categorisation is really appealing as well.

Can anyone confirm that the GICS format works as well for Metastock as it does for Amibroker?

Thanks all.