Re: Random prices from FinancialData
- To: mathgroup at smc.vnet.net
- Subject: [mg120774] Re: Random prices from FinancialData
- From: DrMajorBob <btreat1 at austin.rr.com>
- Date: Tue, 9 Aug 2011 07:22:25 -0400 (EDT)
- Delivered-to: l-mathgroup@mail-archive0.wolfram.com
- References: <j1o6cm$4i0$1@smc.vnet.net> <002201cc55c4$01ca7c20$6601a8c0@AR21M>
- Reply-to: drmajorbob at yahoo.com
Thanks for your reply. I'm only interested in mutual funds, so some of what you've noticed doesn't affect me. I have found that calling without a date is too buggy and random for any possible use, so from now on, I will provide specific TRADING DATES only. I've also found that "RawClose" is relevant to my trades, but "Close" prices are not. I've been told, repeatedly, that "Close" prices are adjusted for splits and dividends, but not over what time period. It's very obvious that a specific time period is necessary for that kind of adjustment, but no one offers a clue what period that might be. I no longer care, so... not a problem. Thanks again! Bobby On Mon, 08 Aug 2011 07:09:21 -0500, Chris Degnen <degnen at cwgsy.net> wrote: > 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: 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 >> > > -- DrMajorBob at yahoo.com