Average True Range (ATR) - Why inconsistent between providers?

Love2Trade$

Love2Trade$

Hi,
  1. Why is the Average True Range (ATR) (daily timeframe, 14 periods) inconsistent between providers?
  2. When do most providers calculate the daily ATR (end of day, once a week on Fridays, other)?
Eg - QRVO: 10/31/19 ATR = $1.55 (TradeStation), $1.70 (TDAmeritrade), $2.19 (IB). Sometimes all providers are only within a few pennies from each other, and other times they vary significiantly. This is driving me nuts. Can some knowledgeable soul please shed some light on this? Thanks!
 
Love2Trade$ said:
Hi,
  1. Why is the Average True Range (ATR) (daily timeframe, 14 periods) inconsistent between providers?
  2. When do most providers calculate the daily ATR (end of day, once a week on Fridays, other)?
Eg - QRVO: 10/31/19 ATR = $1.55 (TradeStation), $1.70 (TDAmeritrade), $2.19 (IB). Sometimes all providers are only within a few pennies from each other, and other times they vary significiantly. This is driving me nuts. Can some knowledgeable soul please shed some light on this? Thanks!
More...
You are looking for something that does not exist which is consistency between different platforms. The platforms either have different data, different indicator formulas or both.
 
Thank you for the replies!

Assume same ATR formula between different providers (TradeStation vs. IB), same period (14), daily interval, U.S. stock traded on Nasdaq / NYSE. ATR involves high, low, and close so providers must differ on those variables in order to differ on the ATR.

HOW can different providers have a different H/L/C on a daily interval? Only things I can think of is that one is counting partial lots & internalized trades while the other is not, and one is counting dark pools / off-exchange transactions in their "raw" tick data while the other is using "filtered" tick data. They should both be using the same timeframes (9:30am open, 4pm close). What am I missing?
 
Love2Trade$ said:
Thank you for the replies!

Assume same ATR formula between different providers (TradeStation vs. IB), same period (14), daily interval, U.S. stock traded on Nasdaq / NYSE. ATR involves high, low, and close so providers must differ on those variables in order to differ on the ATR.

HOW can different providers have a different H/L/C on a daily interval? Only things I can think of is that one is counting partial lots & internalized trades while the other is not, and one is counting dark pools / off-exchange transactions in their "raw" tick data while the other is using "filtered" tick data. They should both be using the same timeframes (9:30am open, 4pm close). What am I missing?
More...

Take a look at the OHLC price data for each provider to see where the difference is. ATR is well defined so there has to be differences in the price data.
 
Love2Trade$ said:
Thank you for the replies!

Assume same ATR formula between different providers (TradeStation vs. IB), same period (14), daily interval, U.S. stock traded on Nasdaq / NYSE. ATR involves high, low, and close so providers must differ on those variables in order to differ on the ATR.

HOW can different providers have a different H/L/C on a daily interval? Only things I can think of is that one is counting partial lots & internalized trades while the other is not, and one is counting dark pools / off-exchange transactions in their "raw" tick data while the other is using "filtered" tick data. They should both be using the same timeframes (9:30am open, 4pm close). What am I missing?
More...

so you are telling me I have been using the previous H/L as resistance/ support wrong all these years lol.

jk... point is all is garbage.
 
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