Minimum, maximum, open and close values

As the name says maximum value is the maximum and minimum is the minimum within

the period (15 minute, day, etc.). Minimum values must be less than or equal to maximum

value, while open and close values must be between min. and max. All prices must be

positive numbers.

Obvious, isn't it? But there is some reason for wasting time for it.

We experienced that these fields can be erroneous. It happens time to time, that for some

days these values that are recorded are faulty.

These errors may come from the old times when there were no computers logging the

market events. The likelihood of such errors is very high in data files of long time periods

(eg.: you can download Dow Jones Industrial Average's data since 1928).

Computers can also be wrong when they are set up incorrectly. Unfortunately if computers

are wrong they do that consistently:

We have already found a data provider in our practice who consistently replaced the

minimum and the maximum column in the officially released data. Just imagine what kind

of effect it could have on the analysis. We warned the provider to the error but it took them

more than a year to replace the two columns!

Errors like this are reported by Chartoasis.com's free technical analysis software, too.

If there has been any transaction, the number of the shares that have been bought and

sold should be positive.

From the aspect of market data, this is just partially true. Some providers do not have so

much information about trading volume as much information they have about pricing. This

means for example, that they have pricing information about the past 10 years, but they

have volume data only for the last 5 years. In this case the missing volume information is

filled with zeros.

Sometimes volume is not available at all, so this is not really an error.

Transaction list contains all necessary information to derive intraday data, EOD data and

weekly data.

Any time we are asked to work with some data that could be tested against other data, we

do the test and we almost always find some errors. This was not only about testing data

but about testing our own software, too. When an error is found we always check it with

manual calculations.

First we found that the providers follow different manner when providing weekly data. This

means that eg.: Yahoo! Finance provides weekly trading volume as an average daily volume

over the week but other providers mean the total traded volume of the week.

Chartoasis.com's free technical analysis software calculates weekly data from the EOD data

to avoid this kind of confusion and to make usage more comfortable. There is no need to

download weekly data since our experiences prove that EOD data should be trusted more.

When comparing official EOD data with the one derived from the tick by tick data directly,

we found that either the minimum, or the closing price or the volume etc. can be wrong. The

errors were rare and not too big, but the comparison revealed missing data, too.

When comparing weekly data derived from the EOD data with official weekly data, we found

rare and small problems except for the weeks around 9/11, when total chaos ruled. We found

missing weeks (there were days when market was open and EOD data was available but

there was no weekly data for that week), volume data turned upside down etc. See the

example below.