Differences in Sources of A-D Data

The differences among the various data vendors is both amazing and perpetually frustrating. The NYSE does not provide the calculations of advancing and declining issues, nor up and down volume.  Calculating those numbers is done by the various data vendors. 

We use the WSJ Online as our data source for the "final final" numbers, although we look at other sources during the day.  WSJ numbers come from Dow Jones, and are usually the same as those published in Barron's.  I believe Yahoo gets its numbers from Reuters.  Part of the explanation for differences between the numbers has to do with when each of them does its cutoff in the after hours session. 

To further amplify the strange nature of these data, I'll give you an additional example.  We get a daily closing summary from the NYSE (by subscription @$100/month), and from that data we can calculate A-D, UV-DV, and other data on a variety of subsets of the NYSE list, e.g. common only, bond funds, preferreds, etc.  The values provided in the NYSE's file are as of the 4PM closing bell, without the after hours trading.  Here is a comparison of the NYSE closing bell figures we calculate from this file, and from WSJ numbers and other sources as reported for the Aug. 22, 2007 trading day:

It is a little bit understandable that there might be slight differences in the numbers of advancing and declining issues, given the fact that some issues might flip from up to down or vice versa between the closing bell and the WSJ cutoff.  But the amazing thing is that these sources do not even agree on the total number of issues traded.  I would think that this would be one of the most important things to get right, i.e. either an issue traded or it didn't. 

There is very little that we mere mortals can do about this issue, other than to note that it is an analytical risk factor, and to do the best we can with the analysis of the numbers that we can get our hands on.