Highs and lows

[dod]

Hello,

Can anyone tell me whether the high and low of EOD data for equities represents the highest and lowest mid prices for the day or the highest and lowest bid and offer prices?

I ask because I've had it confirmed by IG Index that their stops and limit orders are activated when the mid price of a share reaches the relevent price; whereas D4F say their stops and limits are triggered by their bid or offer price.

Nick

 

[cj12]

Basically in the real market you get a bid.(sell) and (offer) buy. the high of the day is the highest offer and low of the day is the lowest bid. that simple.

But with spread bet firms they all got diffrent rules. You need to look more in to it. They all offer something different.you could ask them I only want to get stopped out if the underlying market (real market ) hits your stop not their quote. I know finspread offer this but they will add their spread on top.

 

[TheBramble]

The High/Low of any period is the Highest and Lowest level at which a physical trade actually occurred in the market for that instrument during that period.

SB firms quote their own prices which are quite independent (!) of the underlying instrument they track.

 

[dod]

Thanks. So the low of each EOD data day represents the lowest bid of that day, and the high the highest offer, in the real market.

Whenever I've checked D4F's prices on UK equities seem to be pretty much identical with those quoted by regular brokers. IGs are too, but they add their spread on top. However, I don't trade UK shares intraday so it's quite possible I've missed the occasions when their prices move out of line.

D4F claim they only trigger a trade when there's one in the underlying market; but I'll reserve judgement on whether that's the case.

 

[TheBramble]

Thanks. So the low of each EOD data day represents the lowest bid of that day, and the high the highest offer, in the real market.

No. The low of the day is the lowest price at which it traded - not the lowest price that was bid. The high of the day is the highest price that it traded -- not the highest ask/offer.

 

[dod]

Aha. Thanks for emphasising that distinction.

 

[pro_trader]

D4F have been known to execute orders in their favour and make a quick buck of their clients. Not the most freiendly broker in the market. I have to say.

Check the liquidity of the stock on ADVFN level 2 before you place a stop.
1. See if there is reasonable volume for the size of transaction you are placing the stop for.
2. Check to see if this stock gaps on a daily basis or is there trading volume from one price point to the next.

- Caveat Emptor

 

[jmreeve]

Can anyone tell me whether the high and low of EOD data for equities represents the highest and lowest mid prices for the day or the highest and lowest bid and offer price

LSE EOD Data can be last trade price or can be mid price. There are some guidelines
as to how EOD data should be quotes on the LSE site but in practice there is still
a lot of variation between different sources. Even last price data is very variable as some
vendors include special trade types and others don't.

To make matters worse, the quoted close price is usually the auction price and if this is
outside the days H-L range many vendors change the high or low price based on the auction.
None of the spreadbet companies use the auction price to trigger orders so the new HL range does not represent what really happened. In summary, most LSE data from most places is absolutely useless to trade from.

If you can afford bespoke data, www.tickplusdata.com have all the ticks and can use these to create daily data based on specific compression requirements.

D4F have been known to execute orders in their favour and make a quick buck of their clients. Not the most freiendly broker in the market. I have to say.

Strictly speaking, Deal4Free and CMC group are not brokers they are market makers.

 

[dod]

Highs and Lows

"In summary, most LSE data from most places is absolutely useless to trade from."

Great!