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Discrepancies in price data
Chris Hall
posted

I'm noticing some discrepancies in price data for a number of securities between Quantopian and Stock Charts.

For example, here is the OHLC from Stock Charts for HD. I picked a random time interval (07-01-2011 - 08-01-2011)

(reference - http://stockcharts.com/h-hd/?HD)

Mon 08-01-2011 32.08 32.08 30.99 31.33 15348692
Fri 07-29-2011 31.79 32.23 31.67 31.95 13227747
Thu 07-28-2011 32.59 33.03 32.07 32.15 15110837
Wed 07-27-2011 33.21 33.26 32.52 32.58 13438806
Tue 07-26-2011 33.47 33.81 33.27 33.28 10809190
Mon 07-25-2011 33.27 33.81 33.15 33.52 9426901
Fri 07-22-2011 33.57 33.68 33.27 33.40 8759044
Thu 07-21-2011 33.45 34.03 33.41 33.59 13593027
Wed 07-20-2011 33.14 33.46 32.85 33.30 12377049
Tue 07-19-2011 32.79 33.17 32.68 33.03 10593481
Mon 07-18-2011 32.76 32.88 32.32 32.64 7552884
Fri 07-15-2011 33.01 33.01 32.46 32.85 10849592
Thu 07-14-2011 33.11 33.42 32.76 32.89 11874554
Wed 07-13-2011 33.24 33.50 32.99 33.05 11538307
Tue 07-12-2011 33.29 33.61 33.02 33.03 9764872
Mon 07-11-2011 33.17 33.53 33.07 33.26 9056677
Fri 07-08-2011 33.49 33.56 33.21 33.49 10739160
Thu 07-07-2011 33.68 34.07 33.61 33.89 10769316
Wed 07-06-2011 33.34 33.60 33.22 33.45 7684870
Tue 07-05-2011 33.50 33.71 33.32 33.47 10866293
Fri 07-01-2011 33.19 33.81 33.17 33.60 10690232

I logged the close prices for the same time interval in the IDE and they don't match. Any insight?

2011-07-01 PRINT 36.72
2011-07-05 PRINT 36.6
2011-07-06 PRINT 36.59
2011-07-07 PRINT 37.05
2011-07-08 PRINT 36.61
2011-07-11 PRINT 36.35
2011-07-12 PRINT 36.12
2011-07-13 PRINT 36.14
2011-07-14 PRINT 35.95
2011-07-15 PRINT 35.91
2011-07-18 PRINT 35.71
2011-07-19 PRINT 36.1
2011-07-20 PRINT 36.43
2011-07-21 PRINT 36.72
2011-07-22 PRINT 36.51
2011-07-25 PRINT 36.66
2011-07-26 PRINT 36.4
2011-07-27 PRINT 35.62
2011-07-28 PRINT 35.14
2011-07-29 PRINT 34.94
2011-08-01 PRINT 34.25

2 responses
Chris Hall

I discovered the issue. From Stockcharts -

Note: Our price data is normally adjusted to remove the artifical effects of splits, dividends and distributions from our charts. This may cause our historical data to differ from other data sources. For more information, please see this article.

so much for using Stockcharts as part of my algo strategy, sigh

James Christopher

Hey Chris,

Check out our FAQ section on data This can give you a little more insight into the discrepancies between our data and others.

James

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.