Re: Random prices from FinancialData
- To: mathgroup at smc.vnet.net
- Subject: [mg120769] Re: Random prices from FinancialData
- From: "Chris Degnen" <degnen at cwgsy.net>
- Date: Tue, 9 Aug 2011 07:21:27 -0400 (EDT)
- Delivered-to: l-mathgroup@mail-archive0.wolfram.com
- References: <j1o6cm$4i0$1@smc.vnet.net>
DrMajorBob, This reply doesn't directly address your post, but I have been observing Yahoo and Wolfram quotes both varying substantially. I have noticed that if the Last Trade result from Yahoo contains a time rather than a date, it is likely to be correct. quotes = Import[ "http://finance.yahoo.com/d/quotes.csv?s=CLU11.NYM+GBPUSD=X+DX-Y.NYB+^FTSE+\ ^GSPC+E3X.L+^GDAXI+^N225+000001.SS&f=snabll1ohgp"]; quoteset = Append[quotes[[All, 6]], DateString[{"Time", " ", "Day", "/", "Month", "/", "Year"}]]; TableForm[quotes, TableHeadings -> {None, {"Symbol", "Name", "Ask", "Bid", "Last Trade", "Last Price", "Open", "High", "Low", "Previous Close"}}] indices = {"NYM:CLU11", "GBP/USD", "NYB:DX-Y", "^FTSE", "^GSPC", "LSE:E3X", "^GDAXI", "^N225", "SS:000001"}; set = Append[FinancialData[#] & /@ indices, DateString[{"Time", " ", "Day", "/", "Month", "/", "Year"}]]; TableForm[{quoteset, set, Append[Most[quoteset] - Most[set], ""]}, TableHeadings -> {{"Yahoo", "Wolfram", "Delta"}, {"WTI", "GBP/USD", "DX", "FTSE", "S&P", "Eurofirst", "DAX", "Nikkei", "Shangahi", "Time & Date"}}] ----- Original Message ----- From: "DrMajorBob" <btreat1 at austin.rr.com> Newsgroups: comp.soft-sys.math.mathematica Sent: Monday, August 08, 2011 9:22 AM Subject: [mg120769] Random prices from FinancialData > FOR EXAMPLE, below you see both "Close" and "RawClose" prices varying > randomly within ELEVEN seconds. > > All the differences in the last three outputs should be zero for mutual > funds, especially on a Sunday. > > AbsoluteTiming[ > s1 = {#, FinancialData[#, "Close"], FinancialData[#, "RawClose"]} & /@ > janusStocks // Transpose; > s2 = {#, FinancialData[#, "Close"], FinancialData[#, "RawClose"]} & /@ > janusStocks // Transpose; > s3 = {#, FinancialData[#, "Close"], FinancialData[#, "RawClose"]} & /@ > janusStocks // Transpose;] > s1[[2 ;;]] - s2[[2 ;;]] > s1[[2 ;;]] - s3[[2 ;;]] > s2[[2 ;;]] - s3[[2 ;;]] > > {10.728764, Null} > > {{0., 0., 0., 0., 0., 0., 0., 0.79, 0., 0.}, {-4.06, 0., 0., > 0., -1.61, 0., 0., 0.79, 0., 0.}} > > {{0., -3.69, 0., 0., 0., 0., 0., 0.79, 0., 0.}, {0., 0., 0., 0., 0., > 0., 0., 0., 0., 0.}} > > {{0., -3.69, 0., 0., 0., 0., 0., 0., 0., 0.}, {4.06, 0., 0., 0., 1.61, > 0., 0., -0.79, 0., 0.}} > > Bobby > > -- > DrMajorBob at yahoo.com >