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Re: Random prices from FinancialData

  • To: mathgroup at smc.vnet.net
  • Subject: [mg120772] Re: Random prices from FinancialData
  • From: "Chris Degnen" <degnen at cwgsy.net>
  • Date: Tue, 9 Aug 2011 07:22:02 -0400 (EDT)
  • Delivered-to: l-mathgroup@mail-archive0.wolfram.com

> I have noticed that if the Last Trade result from Yahoo contains a time 
> rather than a date, it is likely to be correct.

I should clarify this comment.  At the moment, on August 8th, quite often 
the Yahoo results' Last Trades are erroneously dated August 1st or 2nd, with 
no times given at all although the european markets are open.  This is 
happening about one in ten times I run the Yahoo query below.  Most of the 
time it works ok though, with times given except for two which say August 
5th.  (Specifically that's for S&P which is understandable, and FTSEurofirst 
(LSE) which is not.)

If I see August 1st or 2nd I rerun the query.  Results may be different by 
the time this post appears on the MathGroup.


----- Original Message ----- 
From: "Chris Degnen" <degnen at cwgsy.net>
To: <mathgroup at smc.vnet.net>; <drmajorbob at yahoo.com>
Sent: Monday, August 08, 2011 1:09 PM
Subject: [mg120772] Re: Random prices from FinancialData


> 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
>>
> 






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