I wanted to post findings from a price study I performed after detecting large price differences between Etrade/Yahoo and QC while performing QA on my Algo.

I'm hoping QC can comment on these price differences as it makes QA testing and developing strategies difficult when price data is in question. I also understand price data pipelines will have variation so perhaps QC can share price data specifications, data, or a white paper on how price data differs from reference/benchmark data  like Yahoo or Etrade.


  • Two tickers (ADT & ACRS) were selected
  • Three random consecutive days were selected
  • Etrade & Yahoo were used as a price benchmark
  • From QuantConnect, OnData Minute and Daily prices were gathered
  • Price High and Low were measured for each day for all data sources and tickers


Attached is the backtest I used, simply switching between resolutions (Daily, Minute) and tickers (ADT, ACRS). 

Main Findings

  1. In price study 1 I found consistent low price error compared to the benchmarks
  2. In price study 2 I found a surprising difference between QC methods; Daily data had significant error compared to Minute data for ACRS on 5/18/2023.