Fictitious Open/Low values?

[Harry]

I understand why you cannot trust (use) an indices "Open" value b/c all stocks so not start trading at exactly the same time, but now the "Low" of ETF's are corrupt too?

Check out yesterdays 'SPY' data for example. Google, Yahoo, Morningstar, etc. all show the days low as 165.18? SPY never got near that price. How can we properly backtest strategies if we cannot get the day's low correct? Does anyone know of a source that provides prices you could actually buy at? These fictitious values wreak havoc on backtesting.

Thanks,
Harry

[Pascal]

I understand why you cannot trust (use) an indices "Open" value b/c all stocks so not start trading at exactly the same time, but now the "Low" of ETF's are corrupt too?

Check out yesterdays 'SPY' data for example. Google, Yahoo, Morningstar, etc. all show the days low as 165.18? SPY never got near that price. How can we properly backtest strategies if we cannot get the day's low correct? Does anyone know of a source that provides prices you could actually buy at? These fictitious values wreak havoc on backtesting.

Thanks,
Harry

Harry,


On my database, I have the day's low at 10:41, 166.53 for SPY.
The Open was 167.11

I use IQFEED.


Pascal

[Harry]

Thank you Pascal!

Wondering if any free sources list proper values?

TD Ameritrade = 165.18.
Fidelity = 165.18.
Vanguard = 166.54 (BETTER) yet doesn't list historical opens.

Want to avoid logging in.

[Mike]

Thank you Pascal!

Wondering if any free sources list proper values?

TD Ameritrade = 165.18.
Fidelity = 165.18.
Vanguard = 166.54 (BETTER) yet doesn't list historical opens.

Want to avoid logging in.

I ran a Time and Sales query on eSignal for all SPY sales below $166. The attached shows that there were six transactions during market hours that traded at 165.18. The red items were after the market closed. Time here is west coast, market closes at 13:00 here.

[Harry]

Thanks Mike! But now I am really confused??? Looking at the 1-min SPY chart in Tradestation does not show the ETF getting anywhere down to that price level. So, where are these trades registered by eSignal and some others?

Do you believe they are real? Are these exchanges that we do not have access to? I guess what I am asking (tongue and cheek) is how could I buy SPY at 165.18 on 7/11? Put unreal orders in and hope they get filled?

I just cannot believe any SPY trade executed at 165.18 last Thursday? But then again, I am wrong more than I am right.