Lots of ways are known to meet market data on the internet: you can download free EOD
data and analyze it with a free software, or maybe you pay for a premium chart software
using a data stream, or perhaps you use your trading system's charting service, but there
are common things you have to know while using market data:
4.1 The observed security
You have to know exactly what you are analyzing. Never mistake similarly named securities
like different series of shares and bonds of the same company. Some securities are also
traded on more exchanges which are not priced completely alike, so you have to be sure
that the data belongs to the security you are going to trade. To avoid confusion, we
suggest the use of ISIN code where possible:
ISIN: International Securities Identification Number, a code that identifies a stock
uniquely. A security has different ISIN code for each stock exchange it is traded at.
For more information see ISIN code's Wikipedia page. You can get a stock's ISIN
code eg.: from the exchange where it is traded.
4.2 Data update
How up-to-date the data is depends on many factors, which are:
• Time of market closure: In many cases market closure happens in the afternoon
(according to local time) but if trading is continuous (eg.: like in the case of
commodities) EOD data is summarized at midnight.
• Delay of data: it is an important quality factor of the market data. Intraday data
usually comes with known delay (real-time, 15 minutes etc.). EOD data's delay may
be less than 1 hour or more than a couple days. At Chartoasis.com we always list
EOD data providers with the least known delay.
• Data update of EOD data: Some providers tell market data before market closure -
in this case closing price is the actual price of the equity on the market. It may
happen, that closing price is available before market closure but volume data is not
accessible. If market data that you want to analyze is available at different providers
you have to choose the one that suits you better. Visit
http://www.chartoasis.com/free-analysis-software/free-data.html for alternative
providers of free market data (the list is constantly improving).
4.3 Errors in market data
We think it is very important to inform users about inconsistencies found within the data.
• As we told it in chapter 3Errors in market data, errors do happen. Any time we made
some automatized consistency check on a large enough sample data of a provider
we always find some problems. You may meet erroneous data, too.
• If you are warned of an error found in the market data (eg.: by Chartoasis.com's
charting tool), check how far the error's timestamp is from the observed time
interval. When analyzing the actual week, an error that happened yesterday can
influence the indicators much more than an error that happened 20 years ago. The
latest error is the most important one, that is why Chartoasis.com's chart software
reports the latest error.
• The scale of the error: it is very hard to tell how large impact an error can have
because calculations made on the faulty data can increase or decrease the error's
effect. (eg.: if the error is that the closing price equals with the daily maximum, the
%K in the stochastic oscillator is 100% but if closing price equals with the daily
minimum, it is 0%. It maybe that there's only 1-2% difference between the right and
the erroneous value but it can cause a large change in the value of the indicator.)
• Extraordinary events: Events causing extraordinary close of market may result in
inconsistent data (see 9/11's example above). If something like that happens make
sure you can trust your data.
• Volume information: you must know which markets are represented by the trading
volume listed in the market before using trading volume dependent indicators (eg.:
EUR/USD or oil are traded on many platforms). It is also important that some vendors
mean the turnover (total value of the traded instruments) by trading volume and others
mean the total number of the traded instrument. Chartoasis.com's free technical
analysis software always loads the traded number of shares where it is possible.
Remember that Yahoo! Finance returns the daily average volume instead of the total
volume when downloading weekly market data.
• Currencies, numbers, prices: Currency of prices in downloaded data may not be
univocal in all cases since some data providers provide data in more currencies. It may
happen that you download data of Gazprom from RTS in USD but the dividend is given
in RUR on the website of the company. Numbers may be rounded, too.
• There can be numbers that are contradicting for the first sight. NSEINDIA.COM's
data for equities contain 'close price' and 'last price' columns. 'Close price' is the
weightaged average price of the last half an hour and 'last price' is the last trade's
price. You always have to check information like this.
• Amount of data: using too few data may cause inaccuracy of indicators and functions
of market data. When selecting download interval take care that some methods depend
