Since someone from Norgatedata is reading along here, I wanted to ask what the reason is for the fact that the prices unfortunately do not match reality from time to time. I had already touched on this topic in an older thread. The data from WealthLab matches reality in 99% of cases at the open and close. Unfortunately, this is not the case with Norgate. I would like to cite two trades from yesterday as an example. TDOC fill at 13.39USD, open at 13.57USD and OPFI fill at 17.00USD, open at 17.29USD. These are deviations of more than 1%! Both were short positions and both were executed MOO. Such deviations have often occurred with long orders in the past. Here, however, I switched to WealthData because I only need the S&P 500 stocks. For short orders, however, I need data from the Russel3000. As there is unfortunately no data for the Russel 3000 from WealthData, I have used the data from Norgatedata. With these deviations, however, this is not acceptable. Can anyone here comment on this? Is there a more reliable data source for the Russel 3000? Does Norgatedata have an explanation for this?
Rename
Excluding Wealth-Data, it's every EOD provider, not just Norgate.
We explain it here and provide examples every day: https://www.wealth-data.com.
Click on the FAQ page in the menu, and see Wrong value for the most-used order type?
That said, Wealth-Data should be 100% accurate for primary market opening prices.
Do you have one of those 1% examples where it's not?
We explain it here and provide examples every day: https://www.wealth-data.com.
Click on the FAQ page in the menu, and see Wrong value for the most-used order type?
That said, Wealth-Data should be 100% accurate for primary market opening prices.
Do you have one of those 1% examples where it's not?
In 2025, I have three examples at WealthData: all on Jan. 6, 2025: TSLA, fill 423.14USD, open 423.22USD; AMD, fill 129USD, open 128.96USD; AVGO, fill 236.99USD, open 236.58USD. I have just checked the data again and found that the prices have been adjusted and are now correct. However, this was not the case on 07.01.2025 (that was the day I noticed the discrepancy). I had also noticed deviations in 2024. However, these have also all been corrected. The data quality of WealthData is very, very good.
I just don't know how to deal with the problem of deviations. I also don't understand why Norgate has deviations at all. You can't really work with deviating data. Is WealthLab planning to extend the data to the Russel 3000, for example? I would also be prepared to pay money for this. That's the bad thing about it, Norgate isn't exactly cheap and still isn't right in the end.
I just don't know how to deal with the problem of deviations. I also don't understand why Norgate has deviations at all. You can't really work with deviating data. Is WealthLab planning to extend the data to the Russel 3000, for example? I would also be prepared to pay money for this. That's the bad thing about it, Norgate isn't exactly cheap and still isn't right in the end.
Wealth-Data primary market opening prices are usually available right away, but may not be available until the post-market correction run. Also, NYSE stocks have staggered/delayed openings - `GetSessionOpen()` will return any opening price before the primary market opens (like NYSE), even for Wealth-Data. Anyway, MOO orders always fill at the auction price of the primary market when it opens.
Re: Russell 3000
We're not actually in the data business and only took on the project for the major indices for the courtesy of our customers. Adding even the 1000 is not in the cards for us.
You should float the idea to Norgate about adding an option for primary market opening prices for their EOD data. I can't speak for Norgate, but it shouldn't be a stretch for a data company like theirs to add this extra data field.
Re: Russell 3000
We're not actually in the data business and only took on the project for the major indices for the courtesy of our customers. Adding even the 1000 is not in the cards for us.
You should float the idea to Norgate about adding an option for primary market opening prices for their EOD data. I can't speak for Norgate, but it shouldn't be a stretch for a data company like theirs to add this extra data field.
@Cone: Thank you for the explanation! I will ask Norgate about it. How do you solve the problem for yourself? Or is the data scope of WealthData sufficient for you?
I don't system trade stocks that aren't covered by Wealth-Data. If I did and imho, my trading 'mistakes' (like not turning on Auto-Trading, or being a kid taxi instead of working) far outweigh slippage costs, which actually can work to your advantage too.
THX :-)
The answer from Norgate was:
"Our service provides data from the "consolidated tape" - which is to say that the data represents trading from all venues. This is in contrast to a service that might provide data only from the listing exchange for a stock. The difference in terms of volume is considerable. If we take TDOC, for instance, the total volume from all UTP venues on Feb 10 was 15,265 whereas the listing exchange volume was just 8,856. For OPFI, the figures were 6,189,910 vs just 1,098,495.
If the data is just from the listing exchange, there may be differences in the Open vs the tape as well.
On Feb 10, the "first" open from all venues for OPFI was 17.29, as we reported. The later open on the listing exchange (NYSE) was 17.00. Similarly, for TDOC. The first open was 13.57 and the later open on NYSE was 13.39.
So our consolidated tape data is not incorrect. Nor is "listing exchange only" data incorrect. They just represent different things.
[Is there a possibility to add an option for primary market opening prices for your EOD data?]
Not in the near future. But we may be able to offer this eventually."
Unfortunately, this means that there is no solution in sight...
"Our service provides data from the "consolidated tape" - which is to say that the data represents trading from all venues. This is in contrast to a service that might provide data only from the listing exchange for a stock. The difference in terms of volume is considerable. If we take TDOC, for instance, the total volume from all UTP venues on Feb 10 was 15,265 whereas the listing exchange volume was just 8,856. For OPFI, the figures were 6,189,910 vs just 1,098,495.
If the data is just from the listing exchange, there may be differences in the Open vs the tape as well.
On Feb 10, the "first" open from all venues for OPFI was 17.29, as we reported. The later open on the listing exchange (NYSE) was 17.00. Similarly, for TDOC. The first open was 13.57 and the later open on NYSE was 13.39.
So our consolidated tape data is not incorrect. Nor is "listing exchange only" data incorrect. They just represent different things.
[Is there a possibility to add an option for primary market opening prices for your EOD data?]
Not in the near future. But we may be able to offer this eventually."
Unfortunately, this means that there is no solution in sight...
Are you looking for backtest solution so that all the data have primary market opening prices? Or are you looking for a realtime solution for that price? Our concierge service could help with the latter, using IQFeed as the provider (and for that you'd would need 5 extra streaming packs for 3000 simultaneous streams, probably around $500 monthly).
I am looking for a backtest solution where all data contains the opening prices of the primary market. I do not want to trade intraday, but only trade EOD.
Let's clarify - you want a data solution, like Wealth-Data but for basically all U.S. Stocks, but you'll settle for the Russell 3000 which changes about every week.
For EOD (and with a basic IQFeed subscription) we could make a solution that downloads primary market opening prices for all stocks, every day. (But that's only from today going forward. Histories are another [almost impossible] story.) You could use the database of these opening prices to modify the BarHistory of the stock you're trading/backtesting.
Anyway, if you're interested in "today going forward" write concierge@wealth-lab.com with your specifications for an estimate.
Anyway, if you're interested in "today going forward" write concierge@wealth-lab.com with your specifications for an estimate.
@Cone: Many thanks for the offer. Unfortunately, this does not help me as I need the history of all stocks from the Russel 3000. The background is that I have developed a trading system on this basis. I think that it will still perform, but there will be some deviations. I will have to live with that. In the S&P 500, for example, there is a deviation of approx. 5% APR when comparing the data (one and the same strategy tested once with Wealth Data and once with Norgatedata).
For all US equities instead of the Russel 3000 would be the premium solution and the best solution. Would there be something along the lines of WealthData?
For all US equities instead of the Russel 3000 would be the premium solution and the best solution. Would there be something along the lines of WealthData?
It's not going to happen for Wealth-Data.
It's quite painstaking work keeping even the WealthData symbols up to date. We just don't have the manpower to support the Russell 3000.
@Cone/Glitch: No problem, it was just a question. I didn't know about the effort either. I just find it a bit annoying that something like this is not available from Norgate or other data providers, as this is their core business and they earn money with it. According to Norgate, I was also the first person to ask for something like this. To be honest, I'm a bit surprised, as there are probably already many quants who trade with market on open orders. The data quality of WealthData is a notable exception here. You seem to be the only ones who offer something like this at all. I am also extremely grateful for this :-)
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