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Re: FinancialData errors

  • To: mathgroup at smc.vnet.net
  • Subject: [mg120597] Re: FinancialData errors
  • From: DrMajorBob <btreat1 at austin.rr.com>
  • Date: Sat, 30 Jul 2011 06:02:17 -0400 (EDT)
  • Delivered-to: l-mathgroup@mail-archive0.wolfram.com
  • References: <201107222344.TAA28525@smc.vnet.net> <j0fos4$8p6$1@smc.vnet.net>
  • Reply-to: drmajorbob at yahoo.com

> The default query is "Close" which has been adjusted by the dividends  
> and stock splits.

Adjusted in what sense? Over what relevant time period?

In the following, there are no splits or dividends in the time period  
requested:

FinancialData[
    "JANFX", #, {{2011, 2, 10}, {2011, 2, 10}}] & /@ {"Close", "High",
   "Low", "Open", "Price", "Range", "RawClose", "RawHigh", "RawLow",
   "RawOpen", "RawRange"}

{{{{2011, 2, 10}, 10.23}}, {{{2011, 2, 10}, 10.23}}, {{{2011, 2, 10},
    10.23}}, {{{2011, 2, 10}, 10.23}}, {{{2011, 2, 10},
    10.23}}, {{{2011, 2, 10}, {10.23, 10.23}}}, {{{2011, 2, 10},
    10.36}}, {{{2011, 2, 10}, 10.36}}, {{{2011, 2, 10},
    10.36}}, {{{2011, 2, 10},
    10.36}}, {{{2011, 2, 10}, {10.36, 10.36}}}}

Does this "adjusted" price depend on splits and dividends from Feb 10th  
until NOW?

If so, what good is that for analysis over a different time frame?

And if so, shouldn't the following plot be monotone?

GatherBy[Flatten[
     FinancialData["JANFX", #, {2011, 2, 10}] & /@ {"Close",
       "RawClose"}, 1],
    First] /. {{dt_, adjusted_}, {dt_, raw_}} :> {dt,
     raw - adjusted} // DateListPlot

Bobby

On Fri, 29 Jul 2011 16:52:30 -0500, MinHsuan Peng <minhsuanp at wolfram.com>  
wrote:

>
> On Jul 29, 2011, at 3:41 AM, DrMajorBob wrote:
>
>> FUNNY STORY: Here is Tech Support's non-response to my problem,  
>> described
>> farther down:
>>
>> Hello,
>>
>> Thank you for taking the time to send in this report to us. The   
>> accuracy
>> of the financial data depends on how quickly our sources  of data  
>> provide
>> updates. A 15 minutes delay on current prices is common. Longer delays  
>> are
>> possible depending on the data. A complete list of the sources queried  
>> by
>> FinancialData is available at:
>>
>> http://reference.wolfram.com/mathematica/note/FinancialDataSourceInformatio
>> n.html
>>
>> We are always looking for alternative sources of financial information  
>> to
>> query. If you have any suggestions on alternate sources of information  
>> we
>> should consider, please let us know.
>>
>> Sincerely,
>>
>> Sean Clarke
>>
>>
>> ========================================================================
>>
>> Now, isn't that special? The data is 5 months old, and TS tells me  
>> there's
>> a 15-minute delay?
>>
>> ========================================================================
>>
>>
>> I've found a new (to me) species of error in FinancialData.
>>
>> One example is the price of the following stock on Feb 10, 2011:
>>
>> s = "JANFX";
>> FinancialData["JANFX", "Name"]
>> FinancialData["JANFX", {{2011, 2, 9}, {2011, 2, 11}}]
>>
>> "Janus Flexible Bond Fund D Shar"
>>
>> {{{2011, 2, 9}, 10.25}, {{2011, 2, 10}, 10.23}, {{2011, 2, 11},
>>     10.24}}
>>
>> As you see, FinancialData says the price was 10.23.
>>
>> But I BOUGHT the stock through Janus Funds on that day, and the price  
>> was
>> 10.36.
>>
>> Moreover, if I go to Yahoo's interactive price chart for the stock at  
>> the
>> following page, 10.36 is the price I find:
>>
>> http://finance.yahoo.com/echarts?s=JANFX+Interactive#chart3:symbol=janfx;range=ytd;indicator=volume;charttype=line;crosshair=on;ohlcvalues=0;logscale=on;source=undefined
>>
>> So... where are the errors really coming from?
>>
>
>
> The price you bought and shown in yahoo's page was "RawClose" as  
> described in the documentation of FinancialData as a unadjusted price.
>
> In[161]:= FinancialData["JANFX","RawClose",{{2011,2,10},{2011,2,10}}]
> Out[161]= {{{2011,2,10},10.36}}
>
> The default query is "Close" which has been adjusted by the dividends  
> and stock splits.
>
> MinHsuan
>
>> This is not an astronomically large price or a Missing["Not Available"]
>> price; it's within 2% of the correct price. But it's wrong.
>>
>> These errors make it very difficult to trust FinancialData for any  
>> useful
>> purpose.
>>
>> Bobby
>>
>> --
>> DrMajorBob at yahoo.com
>>
>


-- 
DrMajorBob at yahoo.com




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