The gap in the Daily chart for IBM at the open on 4/22/99 is due to the fact that our servers get their end of day "summary" bar for the day from our feed provider. What happened with IBM is evident in the footprints of the time & sales data. Here's the sequence of trades:
9:35:17 171 7/8 9,100 Cancelled
9:39:41 171 3/4 1,000 Cancelled
9:43:54 171 7/8 61,500 Cancelled
9:43:54 197 1/4 61,500 Inserted
9:48:37 197 1/4 1,000 Filtered (by our servers)
9:48:41 197 1/4 2.98 mil! Opened Sale
Unfortunately, our Feed provider is not as assiduous at paying attention to the exchange Cancel/Insert/Out of Sequence messages as we are, and so our intra-day data had the bad trades removed. Our daily data, however, which comes from our feed provider, never got the benefit of the corrected trades, so it still thinks the open was at the 171 7/8 (85 15/16 after the split).
We can edit this after the fact, and I will do so. Longer-term, we need to build our daily bars from our own very good intra-day data rather than the feed summary data.
--
Gibbons |
