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I've never worked in a commodity exchange, but I've heard the
following info from data vendors on commodities data reporting:
1. There is no true open, high, low or close in the commodity pits.
Its actually a range. For example, the bell rings and trading
starts. Any number of first trades are used to develop the so called
"opening price", even though a number of trades occurred almost
simultaneously. It becomes a difficult choice for the Exchanges to
decide what single price to record as the "open", "high", etc.
2. Most Exchanges employ low paid clerks to physically type in the
values; it is not unusual for these folks to make errors after a long
night of partying.
3. The data vendors are naturally trying to keep there costs down, so
their clerks can make mistakes.
4. There is no specialist as in the NYSE to create an artificial
single price.
The only solution that I've found is to use multiple data services. I
use two (I'm cheap and a position trader; if a discrepancy occurs, I
average the two). If you've got a big account and trade intraday,
three data services may be needed to resolve discrepancies. Vendor
prices are also a consideration; higher prices don't guarentee good
data, but the higher priced vendors do tend to have better data.
There is no such thing as perfect data or data vendors; some are
just better than others and even a good vendor can make mistakes that
cost you money.
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