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What do you about daily and intraday data not matching?

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 Dave Mecklenburg, Financial Markets Publisher

 Monday, June 3, 2013

It's not uncommon for my intraday stock data (5-minute bars) to not match daily stock data. That is the high, low, open and close won't be the same. For instance, Friday in CTRX, the daily bar data gives a high and close of both 49.22, but intraday shows a high of 49.15 and a close 49.07. I'm using TradeStation, but a check of both Yahoo and Google charts show the same daily data. This is a problem because my intraday and daily Fib lines and floor trader pivots don't match. For instance the Central Pivot on the daily shows as 48.76 on the charts, but it's 48.69 on intraday, because high and close are different. What do you do about this? If you use pivots and Fib, would you still use the daily numbers, even if you are trading intraday? Or use the intraday levels? Or just throw away the stock from your watch list? What are other traders most likely to use? I use these levels because everyone should have the same numbers, but 10% of the stocks on my watch list have these discrepancies.


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5 comments on article "What do you about daily and intraday data not matching?"

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 private private,

 Wednesday, June 12, 2013



Find the time zone that works for your system the best. GMT+3 or +9 ..... whatever works best for you. Simple and dirty first.


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 Oliver M. Haynold, Ph.D, CFA, Director Pricing & Incentives at CME Group

 Thursday, June 13, 2013



If you actually run through the tape, e.g., the TAQ master file, you'll see condition codes for each trade and in general you'll need to filter these. Data providers that provide you five-minute brackets or end-of-day prices will generally do this for you.

For example, for end-of-day prices it often makes sense to use the price arrived at in the end-of-day auction since that has a lot of liquidity for many names, and it's also what many end-of-day replicators have to use.

On the other hand, the end-of-day auction doesn't make sense to include in a bracket for the last five minutes of trading because of the special rules to submit orders for that auctions.

So there are two steps: Formulate precisely what you want to see, and then filter the data yourself according to those conditions or see if you're lucky and there's a data provider that can give you prefiltered data.


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 Andy M., CEO at AEAM Trading

 Friday, June 14, 2013



Interesting, why use Fib on an intraday? Just curious


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 Dave Mecklenburg, Financial Markets Publisher

 Saturday, June 15, 2013



Simple Fib levels. I trade bullish and bearish wide-range bars, so depending on the entry point, I might want to target the 50% Fib extension (half the range of the previous day). Also, with a bull close (top 15% of the bar), you get a confluence of the R2 Pivot with the 61.8% Fib extension. A bear close will give you a confluence of the S2 Pivot with the 61.8% Fib extension. If the 61.8% Fib extension is more than a few cents inside the pivot, I'll target the Fib extension line instead of just inside the pivot.


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 Andy M., CEO at AEAM Trading

 Sunday, June 16, 2013



Thank you!

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