Real-time NASDAQ Advance Decline Data
Would someone kindly point me to the most CORRECT and TIMELY place to obtain real-time NASDAQ Advance-Decline data during the day. Price is not an issue. I can never find any two or three places which have the same numbers at the same time. What is even worse, at the end of the day none of those numbers match, including those provided by my EOD provider Quotes Plus. Very frustrating.
I don't want to be the one to disappoint you, but you will inevitably end up disappointed in this quest. There are a few things that most people don't know about breadth data, which are worth knowing if you plan to use it.
First, the exchanges do not publish the data themselves. It is left up to the data providers. The exception to this is the Common Only A-D numbers generated by the NYSE (which formerly were available on the NYSE web site a day later, and now can only be seen in the Market Lab section of Barron's). So the differences you see in the data owe to different databases and datafeeds run by the vendors.
In order to calculate advancing and declining issues, a data vendor must first know what stocks are traded on the exchange. You would not think that this would be a big deal to keep a proper list of the issues, but the evidence shows otherwise. Next, a data vendor must know the price at which each stock closed yesterday. Next, the data provider must know the price of each stock right now, and be able to compare that to yesterday's close accurately to determine if a stock counts as an advancer or decliner. Finally, it must ba able to accurately tabulate the totals of the advances and the declines.
Any differences that exist between data vendors in the stocks on their list, the prior close, or the current price will end up affecting the outcome of the tabulations of advances and declines. You would not think that there would be much difference in any of the above, since they all theoretically get the same raw feed from the exchanges, but the advent of after-hours trading makes the exercise of defining the "close" a much more variable task. Because we never know what varieties of errors each of the differing vendors may have in their databases or their datafeeds, we can never make a determination of who is closer to being right.
We consider the A-D data published in Barron's to be the final word, unless there is an obvious error. That final data is calculated by Dow Jones & Co., and it nearly always matches what is published in the Wall Street Journal, both online and print versions. Dow Jones tends to be pretty religious about data accuracy. The WSJ's online edition does give A-D quotes throughout the day, but those values are not calculated by Dow Jones, for reasons unknown. The intraday values come from Reuters, who we believe also supplies Yahoo's Advance Data. So it is not uncommon to see the numbers listed after the close in the WSJ's intraday breadth table (http://online.wsj.com/page/mdc/0,,2_0501-databank-1,00.html, with subscription required) being different from those listed in their "Closing Stock Market Diaries" page at http://online.wsj.com/mdc/public/page/2_3021-tradingdiary.html?mod=mdc_topnav_2_3022#tradingdiary .
Believe me, I feel your pain. If you wish to employ breadth data intraday, you are just going to have to accept a certain lack of precision. We have a lot of decision models that depend on "knowing" what the breadth value is near the close for making trades. When the intraday breadth numbers exceed or undershoot our threshold by a comfortable amount, then we have no difficulties in determining what to do. When the numbers are very close, we have to lick our finger and hold it up to see which way the wind is blowing. By that I mean we have to look at other indicators and how they are behaving to see which way the breadth data might lean at the close, and make the best decision we can.
One other interesting point on a tangential issue: For Up Volume and Down Volume data for the NYSE, some providers include only NYSE trades, and others include off-exchange trades in NYSE listed stocks. The same is true for total volume. Which way is "better" is in the eye of the beholder. With more trading being done electronically, the magnitude of this difference is growing bigger.
I am sorry not to have the answer you wanted, but I can only give you the answer that I have. I hope the above information helps.