- ago
I was trying to figure out why backtesting with IB data gave me wildly different results than Yahoo, Tradier, or TDA data. I found that the opening and closing prices of historical daily data are different with IB than any of the other vendors.

As a single example for symbol ENPH, 7/28/22 charted or run in backtest:

IB
O: 261.50
C: 272.01

Yahoo
O: 271.4
C: 274.18

I can't believe this is the case. Is there a setting I'm missing?



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Cone7
- ago
#1
Well, we don't control the data a provider provides, so it is what it is (and it's the same as your TWS chart too).

It is an odd case though. Normally, all EOD providers agree on the settled close, and, usually the first 100-share lot traded is the opening price. Wealth-Data is often different than other EOD for the opening price because W-D uses the primary market's opening trade.

Long story short, if you want to investigate further, dig into the Time-Of-Sales report. But just judging by an IB intraday 1-min chart, the IB EOD bar data for that day is crap.

Tip:
Put Wealth-Data at the top of the list of Historical Providers. It's definitely the best EOD data available for backtesting and trading NASDAQ 100 and S&P 500 stocks... and if there's an error in the data, we will correct it!
0
- ago
#2
(WAS) Inaccurate topic title (as a generalization): IB Historical Data Not Accurate
(IS) Accurate topic title: IB historical data for ENPH on 7/28/22 not accurate

😃
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- ago
#3
Actually, Eugene, the title was accurate. Yours is not. Not limited to ENPH. Note that I qualified (with script text for emphasis)

QUOTE:
As a single example for symbol ENPH, 7/28/22
0
- ago
#4
@Cone, while you have mentioned in posts that you have personal trading accounts at IB that use the API, and also that you like the IB waiver of data fees based on commissions, you, don't actually rely on IB data for trading?
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Cone7
- ago
#5
Personally, I only use IB intraday data for futures and options.

(I wasn't even aware of the sad state of affairs for IB EOD stock data. The intraday data looks good though.)
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