Richard Dale (Norgate Data)

Chief Information Officer@Norgate. US, AU, & CA Stocks, Futures, Forex. Survivorship-bias free data. Integrates with backtesting, charting & analysis platforms.

[Richard Dale (Norgate Data) @NorgateData]

@mars10p We look forward to a even more integration with RealTest for new features and data points for many more years. Congrats on the award Marsten - well deserved!

[Richard Dale (Norgate Data) @NorgateData]

@thechartist @STOCKSandCOMM Thank you Nick, Trish, Zack, Craig, Pete, Scott, Trent and team - super appreciative of your continued support, various discussions we've had on all aspects of the markets over the years and coverage suggestions. We look forward to lots more discussions about the markets.

[Richard Dale (Norgate Data) @NorgateData]

Norgate Data is again deeply honored to be recognized as the top Readers’ Choice Award winner in the End-of-Day Data category by the Technical Analysis of Stocks & Commodities magazine @STOCKSandCOMM, marking the second consecutive year we have received this distinction.

This recognition is a meaningful affirmation of the dedication, expertise, and sustained effort our team invests in delivering dependable, high-quality financial market data solutions. It is especially significant because it reflects the confidence and support of the magazine’s readers, many of whom are professional traders, investors, and researchers.

The award further underscores our ongoing commitment to quality, accuracy, and continuous improvement in a rapidly evolving financial environment. We remain focused on developing data services and tools that enable traders and investors to make more informed and effective decisions.

We are sincerely grateful to our clients, subscribers, and all those who voted for us. Their continued trust and support are fundamental to our success. As we look ahead, Norgate Data remains steadfast in its commitment to maintaining the highest standards in market data delivery and to justifying the confidence our clients place in us each day.

Further congratulations to our analysis/charting partners that we integrate with for their achievements too. Standalone Analytical Software $: RealTest @mars10p (Winner) and AmiBroker (Finalist). Standalone Analytical Software $$: AmiBroker (Runner-up), Wealth-Lab @Wealth_lab (Finalist). Professional Platforms: AmiBroker (Honorable Mention).

[Richard Dale (Norgate Data) @NorgateData]

@EnlightenStock @STOCKSandCOMM We have a lot more high quality time-series point-in-time data points coming this year. Can't reveal any more for now, but it's going to a cornucopia.

[Richard Dale (Norgate Data) @NorgateData]

@EnlightenStock @STOCKSandCOMM Humble thanks for the endorsement Adrian - much appreciated. Best of trading to you and your clients.

[Richard Dale (Norgate Data) @NorgateData]

That really was an insightful weekend on all manner of trading topics at the @ATAA_au Conference 2025 in Melbourne, Australia. So pleased to have met the speakers @ASX__Trader (David Bird), @lb_ASC (Laurent Bernut), @MicMcCarthy (Michael McCarthy), @Phil_J_Anderson, @RichB118 (Rich Brennan), @s2nnews (Michael Berman), brilliantly hosted by @MaxKnobel and coordinated by @HelixTrader (Alan Clement) <- Super props to Alan - I know what he did behind the scenes to make this happen. Can't wait to do more industry events like this. For both the aspiring trader and seasoned trader, these sorts of events are a serious multiplier to your knowledge.

[Richard Dale (Norgate Data) @NorgateData]

@bdkoepke We have historical constituents, but not weights: https://t.co/CWnSTBQG27

[AlgoAdvantage | Simon @algo_advantage]

This is BIG. Algo Advantage is undergoing metamorphosis. Check out the 10 min video on my back-story and how I got 10 market wizards to start helping us all! Video on the home page of the new site:
https://t.co/I7YQjFvRr5 Bookmark this!
@Alphatative @basso_tom @DrTomStarke @mars10p @laurensbensdorp @PKycek

[Richard Dale (Norgate Data) @NorgateData]

@PeakoQuant Many so-called "standard" identifiers have licensing issues (eg. $100K+/annum/firm). OpenFIGI has its own issues, particualrly with some corner caess relating to reverse splits, demergers etc.I'd be happy to discuss this further with you-the discussion is far more than an X post.

[Richard Dale (Norgate Data) @NorgateData]

In general, broad market indices that are market cap weighted are highly correlated even if the number of constituents varies widely. For example, consider the S&P 500 and S&P 1500 indices, or say Russell 1000 vs Russell 3000 - they are practically identical.

Looking back at the historical story of the S&P 500 and S&P 90:

The "Standard 500" index as it was known then, consisting of 425 industrial, 25 railroad and 50 utility stocks, representing 90% of the total market cap of the US market, was released on March 4, 1957, as a market-cap weighted index, calculated on an hourly basis.

It was introduced as the successor to the S&P 90 stock composite index that had a similar set of weightings and was realistically just a "methodology" change that expanded the number of stocks. The real proof of this intent is that S&P 500 "starting" value was the final value of the S&P 90 index.

[Richard Dale (Norgate Data) @NorgateData]

@TheOneRealPK @macrocephalopod @bennpeifert @systematicls So, if we made a more efficient version of this, for your corner case, would you change your attitude?

[Richard Dale (Norgate Data) @NorgateData]

FYI, here's our support response:

Here's what we know:

Jefferson Smurfit Group was a packaging company, based in Ireland, that listed on the Irish Stock Exchange in 1964.   In 1994 it gained a Nasdaq stock market listing for its US-based operations under the ticker JJSC and company name Jefferson Smurfit Corp.

Stone Container Corp was originally listed on the Curb Exchange, prior to it becoming the American Stock Exchange (AMEX) in 1962, and it shifted its listing to NYSE shortly thereafter.  It became an S&P 500 constituent in 1982.   In 1998, it was taken over by Jefferson Smurfit Corp.  This can be found under the ticker STO-199811 in the Norgate database.

After the takeover, Jefferson Smurfit Corp changed its name to Smurfit-Stone Container Corp and changed its Nasdaq ticker from JJSC to SSTC.   Neither Jefferson Smurfit Corp nor Smurfit-Stone Container Corp were ever a member of the S&P 500, 400 MidCap or 600 SmallCap index.  In early 2009, Smurfit-Stone Container Corp declared bankruptcy and was delisted from Nasdaq, but traded as an OTC stock (SSCCQ).  It emerged from bankruptcy July 2010 in a rare example of the original shareholders receiving some portion of the emerged entity (albeit your share in the old SSCC would be worth 0.0084 of a share in the restructured company) and was admitted back to Nasdaq less than a month later, using the SSCC ticker.  The restructured Smurfit-Stone Container Corp was acquired by Rock-Tenn Co in May 2011, and you can find it under the Norgate ticker SSCC-201105.

Rock-Tenn Co listed on Nasdaq in 1994 and shifted to NYSE in 1996.  It acquired Smurfit in 2011 through a cash & share offer.  It became a S&P SmallCap constituent in Aug 2002 and was promoted to the S&P MidCap 400 in May 2010.  It delisted in July 2015 upon merging with MeadWestvaco (more on this later).  You can find this in the Norgate database under RKT-201507.

MeadWestvaco started out as Westvaco corp in the 1930s and was one of the original members of the S&P 500 in 1957.  It remained in the S&P for the rest of its life until the merger with Rock-Tenn in July 2015.  You can find this company in the Norgate database under MWV-201507.

The merger between Rock-Tenn and MeadWestvaco was termed a "merger of equals" with no specific surviving entity.  The resulting company was named WestRock Co and listed on NYSE under the ticker WRK.  S&P added this company to the S&P 500 from when the merger was effected.  In July 2024, WRK was delisted due to a takeover offer by Smurfit Kappa Group PLC (OTC:SMFTF).  You can see the delisted entity under the ticker WRK-202407 in the Norgate database.  

You may recall the Smurfit name here - this was the original (Irish) company that listed Jefferson Smurfit Corp in USA for its US operations, but had its own series of corporate actions to become Smurfit Kappa PLC.

After this takeover offer, Smurfit Kappa PLC (OTC:SMFTF) changed its name to Smurfit WestRock PLC, and also decided to list its shares on NYSE under the ticker SW.  S&P also added it to the S&P 500 index at the same time in July 2024.

In summary, as of 2025-03-08, here's what we know regarding all of these entities, regarding their index constituency:

NYSE:SW is an S&P 500 constituent from July 2024 onwards
SSCC-201105 was never a S&P 500 (or 400 or 600) constituent
STO-199811 was an S&P 500 constituent from 1982 through to its delisting in Nov 1998.
RKT-201507 was in S&P 600 (SmallCap) from Aug 2002 through May 2010, then in S&P 400 from May 2010 until its delisting in Jul 2015.
MWV-201507 was in the S&P 500 from 1957 (inception!) until its delisting in July 2015.
WRK-202407 was in the S&P 500 from 2015 through to its delisting in July 2024.

[Richard Dale (Norgate Data) @NorgateData]

Australian Story: Just voted in a state election here. Compulsory voting for all state residents.

Proud moment - with my 18yo son who is compulsorily required to vote for the first time.

Arrived 09:45. Went past a few (very polite) people with how-to-vote leaflets for various parties, and lined up.

09:49 inside building (a local primary school) and identified myself to voting officials as being eligible to vote for my electorate.

09:52 lined up to buy yummy snacks from the Parents & Friends Association of the (non-private) primary school, to provide them with funds for things like sporting equipment, outfits for acting, art supplies, big dollar funding for computers, buildings etc.

Will do the same thing in about 1.5 months for the national election too.

Voting can be fun and meaningful - why is it so hard for USA?

[Richard Dale (Norgate Data) @NorgateData]

Norgate Data is humbled and deeply honored to have been selected as the top Readers’ Choice Award recipient from the prestigious @STOCKSandCOMM Technical Analysis of Stocks & Commodities magazine in the End Of Day Data Category. This recognition stands as a testament to the dedication and hard work that our entire team pours into creating reliable, cutting-edge financial market data solutions. Knowing that this honor comes directly from the readers themselves—many of whom are professional traders, investors, and researchers—makes it all the more meaningful to our organization.

The award further validates our commitment to quality, accuracy, and continuous innovation in the ever-evolving financial landscape. Every day, we strive to develop tools and data services that help traders and investors make more informed decisions. We remain keenly aware that our success depends on the support and trust of our valued clients and subscribers, and we extend our heartfelt gratitude to everyone who voted for us. Looking to the future, Norgate Data remains steadfast in its mission to deliver the best possible market data solutions and uphold the trust our clients place in us each day.

[Richard Dale (Norgate Data) @NorgateData]

Based upon the "tape" rules published by CTA and UTP, the consolidated open for the day is the first last-sale-eligible trade registered on the tape (whether or not it occurs on the listed exchange).

However, what you're missing with OHLC data is that the security (in this case, GLD ETF) is rather volatile at market open at 09:30:00.000

The "trading system" you've implemented simply buys on the close and exits on the open and is really just a 1 tick hold with an overnight period. Without commenting whether this really brings you any alpha, your results are highly subject to slippage due to the volatile nature of the open. i.e. Any edge you think you might have is just part of the noise of the open.

Using daily data that effectively represent only two consecutive points in a tick time series is generally not recommended.

This is really just highlights that understanding market microstructure is required for trading systems durations of this nature - Note: 1 minute data won't actually give you much insight.

Let's peer a bit deeper into the open on 20250226 on GLD.

The first trade to occur was at 09:30:00.128 on Nasdaq BX for 100 shares @ $271.46. The NBBO at the time was 271.46/271.48 (a spread of 0.02).

Within the first second, there were a total of 432 trades, most of which were odd-lot. The regular trades varied in price from 271.48 to 271.53. The NBBO spread also widened at times too (it was 271.47/271.53 at one stage during that first second).

Looking at the first minute, the highest and lowest regular trades were 271.46 and 271.54 and the maximum NBBO spread was 0.06 (i.e. the same as the first second).

If we look at an alternative by using the result of the opening price auction on the primary listing venue (NYSE Arca) - this occurred at 09:30:00.257, the auction resulted in a price of 271.53, so placing a MOO order would have given you a slightly better fill for this particular day.

Most algo traders like @danw_trades, that use daily data typically have multi-day holding periods where their average profit isn't dwarfed by the opening volatility, and they typically find that they get slippage in both directions.

[Richard Dale (Norgate Data) @NorgateData]

@StoneFelt1 Norgate has some very interesting things planned for 2025, but as a policy we don't pre-announce anything. If there's anything you're after, please email us your wish list. If/when we develop it, you'll be invited to test it early too :)

[Richard Dale (Norgate Data) @NorgateData]

@AnonApologist Norgate has some very interesting things planned for 2025, but as a policy we don't pre-announce anything. If there's anything you're after, please email us your wish list. If/when we develop it, you'll be invited to test it early too :)

[Richard Dale (Norgate Data) @NorgateData]

@RiccardoRonco3 @mars10p @JoachimMo1985 @RiccardoRonco3 This one? https://t.co/zi0bYsvOz1

[Richard Dale (Norgate Data) @NorgateData]

@EntropyChase @hughesanalytics Mac support is on our medium-term horizon. Not much demand. I note that VMWare Fusion is now free for personal use.