Currently, Highs and Lows recorded for SETS and SETSmm shares (basically all the FTSE100 and FTSE250) are based on 'automatically executed trades'. That's if they are being recorded as per LSE guidelines. Many people probably think that they are 'mid-prices' based on the Best Offer/Bid prices in the market. Unfortunately not. The upshot is that much of the historic OHLC data on these shares is of debatable value for backtesting certain strategies, as the High- Low ranges do not properly reflect what is happening in the market.
Is anyone out there aware of a source of historic OHLC data where the Highs and Lows are definitely 'mid-prices' rather than 'executed trade' prices?
Failing that, does anyone know of an affordable source of historic Best Price tick data going back 5 or more years (from which 'mid-price' data could then be extracted) ?
Hope you can help
Thanks
Is anyone out there aware of a source of historic OHLC data where the Highs and Lows are definitely 'mid-prices' rather than 'executed trade' prices?
Failing that, does anyone know of an affordable source of historic Best Price tick data going back 5 or more years (from which 'mid-price' data could then be extracted) ?
Hope you can help
Thanks
