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Possible Bug in Dates Supplied with FinancialData Function

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  • Subject: [mg120364] Possible Bug in Dates Supplied with FinancialData Function
  • From: Gregory Lypny <gregory.lypny at>
  • Date: Wed, 20 Jul 2011 06:32:13 -0400 (EDT)

Hello everyone,

Not sure whether I've misunderstood how FinancialData works, but it 
seems to me that the wrong date is attached to prices if they are 
downloaded using a monthly frequency.

I used the following start and end dates.

	seriesStartDate = {2009, 01, 01};
	seriesEndDate = {2011, 6, 30};

I download daily prices for Apple Inc. by running

	dailyPrices = FinancialData["AAPL", {seriesStartDate, seriesEndDate, =93Day=94}]

If I then download monthly prices by running

	monthlyPrices = FinancialData["AAPL", {seriesStartDate, seriesEndDate, =93Month=94}]

the observations are dated at the beginning of each month but correspond to the price on the last day of the month.  The price of Apple on 2009-01-30, for example, when downloaded as daily is $90.13 but when downloaded as monthly, that same price is date stamped 2009-01-02, that is, at the beginning of the month.  So, when downloading using a monthly frequency, the date stamps may mislead you into thinking that you are getting beginning-of-month prices when, in fact, you are getting end-of-month prices.

I almost always need end-of-month prices, so to get the correct dates, I download as daily and extract the last daily observation for each month

	GatherBy[dailyPrices, #[[1, {1, 2}]] &]
	Last /@%

You could do the same using Cases.



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