S&P 500 index data

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S&P 500 index data

Postby marco » Mon Sep 21, 2015 3:49 pm

I have recently started to explore ASCII imported pricedata and ran into something unsettling: Under Setups -> Price and symbol setups I checked data for ^SPX. I noticed that volume for almost every day from 2006 on is 2147483647. I have often wondered what exactly to make of this volume number Yahoo presents, but a downloaded historical data sheet from Yahoo does at least have different numbers for each day.

I am aware that Stratasearch is not responsible for any data provided by a third party, just a heads up for anyone developing strategies against the S&P index and who are using volume based indicators.
marco
 
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Re: S&P 500 index data

Postby Overload » Mon Sep 21, 2015 4:44 pm

Yes, I've been aware of that for a long time, but have thus far not pursued a fix.

The issue is that volume is carried as a 32-bit integer in StrataSearch, and the maximum value for a 32-bit integer is 2147483647. As you mentioned, volume for the ^SPX symbol has exceeded that consistently since around 2006, so that value is used instead of the actual volume. It is an issue in StrataSearch, not Yahoo Finance. But... it is mostly limited to a few indexes. I don't believe there are many individual stocks that exceed that volume on a regular basis.

Part of the reason this hasn't been fixed is the very high overhead in doing so. Not only would all prices in the database need to be updated with 64-bit values, but all usage in the StrataSearch code would need to be updated as well. This would also take up additional memory, and potentially prevent fewer days or stocks from being evaluated at one time due to the greater memory overflow potential.

Another possible solution used by many 32-bit technical analysis programs is to divide the volume by 100. This is really more of a "quick fix" and creates other problems. For example, when volume is used along with price in an indicator, it no longer maintains the proper price/volume ratio. Plus, any volume less than 100 shares is essentially truncated.

Both of the above solutions, if implemented, would require all users to go through and verify all of their systems. If the volume in ^SPX all of a sudden began working with true values, that could upset a lot of systems. So it would not be a seamless upgrade by any means.

All of this explains why volume is still capped at 2147483647. If and when it begins affecting more than just a few symbols, it will likely take on a higher priority. But for now, you're right that it's helpful for users to be aware of.

Pete
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