I'm seeing problems with historical data for the day of 2016-09-26. Specifically, the volume and number of trades are both several times as large as they should be (though the price is little changed). The comparison data that I am using is what I collected on the day of 2016-09-26 through our subscription.
It appears that a large number of extra ticks have simply been added to many stocks. Because the prices are reasonable, I'm wondering whether they are from a different source (such as dark pools).
This isn't a huge problem for us right now. I'm simply ignoring historical data from 2016-09-26. However, it is obviously disconcerting, and my primary concern is avoiding future instances of this problem.
Anyway, here's an example of the sort of difference that I'm seeing for CSBR on 2016-09-26. For what it's worth, Yahoo agrees with the volume of the existing ticks we originally received through our subscription on 2016-09-26. See
https://ca.finance.yahoo.com/q/hp?s=CSBRWe've seen hundreds of other, similar examples.
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Existing total: 2740 @ 1.6723 from 5 trades
Received total: 19459 @ 1.6861 from 33 trades.
Existing Trade ticks:
1: 40 @ 1.6900 at 2016-09-26 10:25:57.699
2: 500 @ 1.6840 at 2016-09-26 13:24:15.901
3: 2000 @ 1.6678 at 2016-09-26 15:34:40.633
4: 100 @ 1.6900 at 2016-09-26 15:51:23.654
5: 100 @ 1.6800 at 2016-09-26 15:58:31.004
Received Trade ticks:
1: 1500 @ 1.6900 at 2016-09-26 10:24:16.996
2: 360 @ 1.6900 at 2016-09-26 10:24:42.978
3: 4200 @ 1.6900 at 2016-09-26 10:25:57.697
4: 40 @ 1.6900 at 2016-09-26 10:25:57.699
5: 100 @ 1.6800 at 2016-09-26 10:31:28.776
6: 500 @ 1.6900 at 2016-09-26 10:31:59.256
7: 100 @ 1.6900 at 2016-09-26 10:37:40.586
8: 100 @ 1.6900 at 2016-09-26 10:49:56.054
9: 300 @ 1.6900 at 2016-09-26 10:53:41.505
10: 100 @ 1.7000 at 2016-09-26 11:07:56.745
11: 150 @ 1.6993 at 2016-09-26 11:14:53.401
12: 105 @ 1.6993 at 2016-09-26 11:15:44.908
13: 2000 @ 1.6990 at 2016-09-26 11:34:55.999
14: 100 @ 1.7000 at 2016-09-26 11:34:57.709
15: 1000 @ 1.6990 at 2016-09-26 11:37:29.280
16: 400 @ 1.6990 at 2016-09-26 11:37:29.283
17: 600 @ 1.6990 at 2016-09-26 11:37:29.298
18: 100 @ 1.7000 at 2016-09-26 11:50:43.276
19: 1400 @ 1.6900 at 2016-09-26 12:15:50.407
20: 600 @ 1.6900 at 2016-09-26 12:15:51.046
21: 100 @ 1.6800 at 2016-09-26 12:15:57.510
22: 300 @ 1.6691 at 2016-09-26 12:21:16.732
23: 104 @ 1.6800 at 2016-09-26 12:44:07.688
24: 100 @ 1.6900 at 2016-09-26 12:49:00.555
25: 100 @ 1.6900 at 2016-09-26 13:08:46.527
26: 500 @ 1.6840 at 2016-09-26 13:24:15.901
27: 2000 @ 1.6600 at 2016-09-26 15:31:00.252
28: 2000 @ 1.6678 at 2016-09-26 15:34:40.633
29: 100 @ 1.6900 at 2016-09-26 15:36:08.053
30: 100 @ 1.6900 at 2016-09-26 15:41:23.592
31: 100 @ 1.6900 at 2016-09-26 15:48:23.529
32: 100 @ 1.6900 at 2016-09-26 15:51:23.654
33: 100 @ 1.6800 at 2016-09-26 15:58:31.004