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why the data inconsistence between quantopian and google/yahoo?
Dyno Fu
edited

this is the history data when called in Mar 10, 2014 

   history_high   = history(bar_count=100, frequency='1d', field='high', ffill=False)  
    history_low    = history(bar_count=100, frequency='1d', field='low', ffill=False)  
    history_close  = history(bar_count=100, frequency='1d', field='close_price', ffill=False)

for VMW, here is what i got,

2/26 2/27 2/28 3/3 3/4 3/5 3/6 3/7 3/10

highs =99.22, 98.32, 98.25, 96.04, 101.44, 103.44, 103.42, 104.12, 102.41

lows =96.28, 95.74, 95.34, 92.73, 97.29, 100.11, 101.89, 100.69, 100.93

closes=97.70, 97.79, 96.06, 95.65, 101.04, 102.83, 101.95, 101.50, 101.36

specially, the high of Mar 7, both google and yahoo data shows 102.51, but quantopian data shows 104.12.

4 responses
Christian Bruun

Bloomberg shows pre-open prints at 104.12 (and one at 104.39), but all ticks during trading hours are between 100.69 and 102.51. Most likely Google and Yahoo are only including US trading hours, but Quantopian doesn't filter out pre- or post-open.

Blue Seahawk

When I was downloading data I looked into this fairly thoroughly using CompareIt and it seemed to me that Yahoo had random errors, probably there was an explanation, just looked that way, so they were out. Eventually I went with nasdaq.com (also free) where the figures lined up with TradingView to my satisfaction.

Dyno Fu

thanks Christian and Gary!
I just send a feedback and see if Quantopian can retrieve the in trading hour data.

Jessica Stauth

Hi guys,

I'm tracking down the raw data we got from our vendor for this particular case. Our minute-bar data is trade level data and includes all trades placed on any US exchange. There are a number of possible sources of discrepancies between this trade data and the official end of day pricing you'll find on sites like Google and Yahoo. One example is that official end of day OHLCV data typically includes the open and close auctions - while our trade level data includes just trades that occurred between 9:30am and 4:00pm (on a normal market day).

Christian - I just tracked down another case where we were concerned that pre-market trade data was leaking into our history data, but we were pretty conclusively able to rule that out. We filter the pricing bars that we get from our vendor and discard bars prior to 9:30am. I'm going to try to confirm that in this case - but its certainly possible for us to have pricing errors in the data we get from vendors.

I'll post any updates back here on what I find.
Best wishes, Jess

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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.