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Why does the "Open" price change for symbols when changing the "Period" range?

Hi y'all!

I've just noticed that when viewing the "Open" price, it is different depending on the "Period" selected. I understand that High/Low/Close would change by changing the period but shouldn't the Open be the same at 9:30 ET whether you use 5 min, 30 min, 2 hours, or daily? There are some days where the open for say the 1 hour period is not even within the daily H-L range in the daily period. I've noticed that the closer you get to the 1 min period the more accurate it becomes, however the open for the daily period can be off by as much as 2-3%. :open_mouth:

For example, SPY : GLD yesterday (2/3/15) on a daily "period" shows an open of 1.6770 at 9:30 ET. However, if you change it to a 5 min period it shows an open of 1.6701 at 9:30 ET (which is much closer to what it actually was). That is nearly a 1/2% error. And this happens on everything that uses SYMBOL : SYMBOL format from what I can tell so far, not just SPY : GLD.

(Note: It also happens on just one SYMBOL but the error is extremely small or even non-existent compared to SYMBOL : SYMBOL. For example, GLD had an open of 121.74 for a daily period on 2/3/15, yet with a 5 min period the open is shown as 121.72, in case this provides any clues.)

Anyone know the reason why this is? Any help is much appreciated!

Best Answer

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    chipachipa admin
    Answer ✓
    For ratio symbols:

    Open = open of first symbol / close of second symbol
    High = high of first symbol / close of second symbol
    Low = low of first symbol / close of second symbol
    Close = close of first symbol / close of second symbol

    If we used "open = open of first / open of second", etc. then we'd end up with invalid candles in many cases (i.e. high lower than the close, etc.)

    Since the close of the second symbol changes throughout the day, the intraday values of the open for a ratio symbol will change throughout the day. For this reason - and many others - most people only look at the close for ratio symbols (i.e., they use a Line chart).

    This is all covered in our Help area:
    and in our Ratio Symbol video:

    - Chip


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    markdmarkd mod
    edited February 2015
    Just guessing here:

    for the single symbols, the difference might just have to do with corrections, or maybe late reporting - say the first trade is reported occurring at 9:33, but sometime later a trade is reported at 9:31 at a different price.

    As for the ratio symbols: different symbols open at different times. Until both symbols open, the ratio is probably calculated with the prior close for the stock not yet open.
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    edited February 2015
    Hi again markd, :)

    Thanks for the reply! While that is definitely an excellent guess which I am sure has some connection to this problem, I actually looked further into it and found that even the High-Low can be wrong by a significant amount even if the symbol was at the high for hours during the day and not just at the open. For instance, if you look at SPY:GLD on 1/22/15, in both a daily and a 2-hour period, you will see the daily show a open of 1.629, a high of 1.647, a low of 1.616, and a close of 1.646. If you then look at the 2 hour period, you will see a open of 1.640, a high of 1.647, a low of 1.622, and a close of 1.646. So in this particular day, the high and close are the exact same yet the open and low have an error of about 1/2%.

    So it appears the open, high, and low can all be different depending on the period. It does appear that the close is the only correct value that stays constant. Not sure why especially the high and low should be different since those values should be pretty indisputable for a symbol on a given day. Because it is not just the open that is wrong, but also the high-low values, do you think this is a bug with their software? Again, this happens in nearly every "SYMBOL:SYMBOL" combination I have explored on so it does not appear to be limited to a certain symbol/ETF but rather something with their whole system/coding/data feed.

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    Again just guessing, because I don't know how it's done, but I would lean toward the data feeds as the source of the discrepancies - different feeds for intraday vs. end of day numbers, and maybe different feeds for hourly vs. 1,5 10, etc. minute data. I would think the software is pretty well tested.

    If Gord doesn't weigh in with an explanation shortly, you could submit your observations to support. I've reported historical data problems and they were very responsive. The site's integrity depends on having the most reliable data available, so I am sure they would like to hear about it.
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    Thank you guys for the prompt responses! Markd I appreciate you trying to help me figure this out once again. Chip, I appreciate as well the explanation and the links. Glad to know it was intended, and now it makes sense why. You have a great website here and it is nice to see the President care about his customers. Happy to be here. Thanks again you two. :)
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