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=CSBR

We'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

Hello,

I was just going over this, sorry for the delay in reply, the tick data for the 26th on CSBR appears to total up to 19459, which is what I show on the daily volume as well, and that appears to match what Yahoo is showing as well. Is this something that has already fixed itself?

Tim

Possibly. For us, it appeared on the 27th, then went away on the 28th, and then came back.