Data sets show different data

hedron

hedron

First, sorry if this makes the width exceed the width of the browser. I don't know how to contain it with img tags.

Anyway, depending on the source I get different candles. I firmly believe that the ToS candles are the actual correct ones and that the yahoo and google sources are giving me garbage OR amibroker isn't displaying them correctly.

This is ToS:

rht_compare_tos.jpg


This is Amibroker with yahoo data:

rht_compare_ami.jpg


Amibroker with google data:

rht_compare_goog.jpg


The reason I suspect it might be amibroker displaying it incorrectly is because if you goto google.com/finance you will see that it is the same as the ToS output. Same thing with yahoo. The charts at yahoo.com are the same as ToS. Why would google and yahoo give any other data than what it uses for their own charts on their websites?

Is there a way to fix this?
 
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Yahoo and Google do not have quality data. If you want quality (and support) for data you'll have to pay for it.

Apart from quality issues (they actually don't care whether the data is accurate) you might also find that different data sources are used (consolidated tape, BATS-only or primary-exchange-only trades). Maybe even different order types are considered eligible for each bar. You simply don't know and they keep changing their service and providers they use without notice too.

If you were a manufacturer, you'd want consistency from your suppliers and the ability to access support on their products.
 
Clearly it's different data or at least a different interpretation of the data.

Some vendors (e.g. on a 5 minute chart) put the 16:00 bar as all trades as 15:55:00.001 through 16:00:00.000
Other vendors put the 16:00:00 bar as 15:55:00 thorugh 15:59:59.999

I prefer the former as the logic works at all timeframes (tick, minute, hourly, daily)

Without any clear documentation or support channel available you just never know what they are feeding you.
 
hedron said:
First, sorry if this makes the width exceed the width of the browser. I don't know how to contain it with img tags.

Anyway, depending on the source I get different candles. I firmly believe that the ToS candles are the actual correct ones and that the yahoo and google sources are giving me garbage OR amibroker isn't displaying them correctly.

This is ToS:

rht_compare_tos.jpg


This is Amibroker with yahoo data:

rht_compare_ami.jpg


Amibroker with google data:

rht_compare_goog.jpg


The reason I suspect it might be amibroker displaying it incorrectly is because if you goto google.com/finance you will see that it is the same as the ToS output. Same thing with yahoo. The charts at yahoo.com are the same as ToS. Why would google and yahoo give any other data than what it uses for their own charts on their websites?

Is there a way to fix this?
More...


All mumbo jumbo. There is nothing incorrect. Just as jharmon has said garbage in, garbage out.

Amiquote 3.10 downloads from Google finance intraday data server
Sample link using RHT
http://www.google.com/finance/getprices?q=RHT&x=NYSE&i=300&p=2d&f=d,o,h,l,c,v

300 -> means 300 / 60 = 5 (min).
2d means recent two days of data.
So since today is Tuesday Nov 11th and US markets are still closed today the upper link downloads data from Fri Nov 7th to Mon Nov 10th.

So Nov 7th data of upper link used today is the following one.
If you wanna use that link tomorrow downloading data till Nov 7th then you need to input 3d instead of 2d and so on. Maximum is 60 business days (12 weeks, 3 months) back to get 5-minute data from Google.

Code: 
EXCHANGE%3DNYSE
MARKET_OPEN_MINUTE=570
MARKET_CLOSE_MINUTE=960
INTERVAL=300
COLUMNS=DATE,CLOSE,HIGH,LOW,OPEN,VOLUME
DATA=
TIMEZONE_OFFSET=-300
a1415370900,60.7,60.84,60.6,60.84,18423
1,60.81,60.81,60.59,60.66,10616
2,60.94,60.95,60.63,60.74,29125
3,60.87,60.94,60.65,60.94,9498
4,60.84,60.96,60.78,60.82,9610
5,60.7,60.84,60.68,60.84,5464
6,60.56,60.71,60.535,60.66,13900
7,60.59,60.6,60.52,60.53,8000
8,60.72,60.72,60.61,60.61,16787
9,60.83,60.83,60.6501,60.68,10899
10,60.815,60.82,60.73,60.82,8123
11,60.75,60.81,60.75,60.77,4241
12,60.69,60.7338,60.68,60.73,5829
13,60.73,60.76,60.66,60.67,8094
14,60.725,60.74,60.71,60.72,6992
15,60.78,60.79,60.71,60.71,6697
16,60.73,60.765,60.72,60.765,9100
17,60.78,60.82,60.75,60.75,6838
18,60.76,60.8,60.72,60.77,5500
19,60.735,60.76,60.72,60.76,5500
20,60.815,60.82,60.72,60.74,6255
21,60.87,60.88,60.78,60.82,8588
22,60.88,60.89,60.83,60.884,7986
23,60.87,60.9,60.87,60.89,3400
24,60.82,60.93,60.8,60.88,9400
25,60.78,60.8,60.705,60.8,10100
26,60.7,60.78,60.69,60.77,13250
27,60.74,60.74,60.69,60.69,3900
28,60.74,60.76,60.68,60.745,24510
29,60.81,60.83,60.745,60.745,6109
30,60.88,60.91,60.815,60.815,6751
31,60.845,60.87,60.81,60.87,7663
32,60.66,60.84,60.66,60.84,13289
33,60.78,60.78,60.66,60.66,7810
34,60.85,60.8736,60.78,60.78,8335
35,60.8,60.85,60.79,60.85,6210
36,60.835,60.8504,60.8,60.81,5266
37,60.88,60.9,60.85,60.85,6800
38,60.865,60.875,60.845,60.87,4947
39,60.93,60.93,60.87,60.87,6828
40,60.97,60.98,60.91,60.93,9109
41,61.04,61.04,60.98,60.98,22262
42,61.07,61.08,61.04,61.05,8781
43,61.07,61.1,61.06,61.07,13765
44,61.105,61.11,61.065,61.07,5972
45,61.1899,61.19,61.11,61.11,6672
46,61.15,61.19,61.14,61.18,9610
47,61.19,61.22,61.13,61.16,43486
48,61.25,61.26,61.19,61.195,7689
49,61.24,61.25,61.23,61.25,6082
50,61.205,61.24,61.17,61.24,5400
51,61.19,61.21,61.14,61.2,5610
52,61.23,61.23,61.16,61.18,6713
53,61.24,61.24,61.1901,61.22,6208
54,61.28,61.3,61.24,61.24,14179
55,61.275,61.29,61.27,61.29,4771
56,61.235,61.27,61.23,61.27,5711
57,61.27,61.27,61.22,61.23,11149
58,61.29,61.29,61.245,61.27,9020
59,61.2368,61.29,61.2,61.29,12986
60,61.19,61.24,61.19,61.23,11167
61,61.14,61.18,61.1,61.18,11000
62,61.165,61.19,61.15,61.15,7085
63,61.1999,61.1999,61.16,61.16,10304
64,61.11,61.19,61.1,61.19,9253
65,61.11,61.11,61.05,61.105,8421
66,61.2,61.2,61.095,61.095,13123
67,61.23,61.23,61.19,61.2,11567
68,61.19,61.23,61.16,61.23,17010
69,61.15,61.2,61.12,61.2,19596
70,61.18,61.19,61.12,61.15,20143
71,61.15,61.2,61.14,61.185,21864
72,61.19,61.19,61.13,61.15,23201
73,61.1201,61.2,61.12,61.19,32782
74,61.11,61.15,61.09,61.12,36196
75,61.14,61.17,61.11,61.11,47670
76,61.16,61.19,61.12,61.14,49427
77,61.28,61.29,61.16,61.16,143895

The price data is CHLO

Now do yourself a favor and chart that one in Excel.
You will get this display of symbol RHT

yqm2UuP.png



If you download two days of 5-minute data via Amiquote 3.10 then you will get the same chart display of Nov 7th google data in AmiBroker 5.80.
Symbol RTH in AmiBroker

SwB7WEr.png




Same input, same output from same source.
 
Last edited:
If you download Google 1-minute data instead of 5-minute data then go to formats folder of AmiBroker directory and open aqgi.format file with notepad or any other text editor and add line

$TIMESHIFT -0.01666666667

at the bottom.
 
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