This is fascinating. I compared QC trades to your times and prices below. I have added the time and price to your original data. Ignoring bids and asks and only matching actual trades this is the setup I get. Other than the first 12:09 price (unless you take my 12:08:59) it is a perfect match.
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12/23/1999, 12:08, 1478.500000, 21 12:08:19 1478.50
12/23/1999, 12:08, 1478.500000, 1 12:08:19 1478.50
12/23/1999, 12:08, 1478.500000, 1 12:08:19 1478.50
12/23/1999, 12:08, 1478.250000, 1 12:08:21 1478.25
12/23/1999, 12:08, 1478.500000, 6 12:08:24 1478.50
12/23/1999, 12:08, 1478.500000, 5 12:08:24 1478.50
12/23/1999, 12:08, 1478.500000, 1 12:08:25 1478.50
12/23/1999, 12:08, 1478.750000, 23 12:08:25 1478.75
12/23/1999, 12:08, 1479.000000, 22 12:08:29 1479.00
12/23/1999, 12:08, 1479.000000, 1 12:08:29 1479.00
12/23/1999, 12:08, 1479.000000, 7 12:08:30 1479.00
12/23/1999, 12:08, 1478.750000, 7 12:08:31 1478.75
12/23/1999, 12:08, 1478.500000, 10 12:08:34 1478.50
12/23/1999, 12:08, 1478.750000, 3 12:08:39 1478.75
12/23/1999, 12:08, 1479.000000, 2 12:08:46 1479.00
12/23/1999, 12:08, 1478.500000, 1 12:08:56 1478.50
12/23/1999, 12:08, 1478.500000, 1 12:08:56 1478.50
12/23/1999, 12:08, 1478.500000, 1 12:08:56 1478.50
12/23/1999, 12:08, 1478.500000, 1 12:08:56 1478.50
12/23/1999, 12:08, 1478.750000, 1 12:08:57 1478.75
12/23/1999, 12:08, 1478.750000, 4 12:08:57 1478.75
12/23/1999, 12:09, 1478.500000, 1 12:08:59 1478.50
12/23/1999, 12:09, 1478.500000, 3 12:09:00 1478.50
12/23/1999, 12:09, 1478.500000, 2 12:09:04 1478.50
Maybe you are getting volume data in your stuff.
QC sure doesn't provide it.
-scott |
