How Option Closing Marks Are Set
An option closing mark is not the last sale, the bid or the midpoint. See how end of day marks are set, why they move on almost no volume, and what that breaks.
#data quality
Filtering by topic #data quality · clear
Market Data Timestamps: SIP vs Exchange Clocks
Market data timestamps come from four different clocks. See how sorting the same trades by each one changes the tape, and which clock to use for what.
How Annual Dividend Per Share Is Calculated
Annual dividend per share is calculated four different ways, and they rarely match. Compare trailing, calendar, fiscal and indicated totals side by side.
How Fractional Shares Hit the Tape
Fractional shares print on the tape as whole shares, and a February 23, 2026 rule change put a seam in every equity volume series. Here is what moved.
Why Ticker Symbols Break Your Dataset
Ticker symbols break datasets in four ways: renames, reuse, share class punctuation, and mergers. See why each corrupts a join, and what to key on.
How Continuous Futures Contracts Are Built
No single futures contract has a long history. Every futures chart is stitched. How continuous futures contracts get rolled, spliced and back adjusted.
Survivorship Bias in Stock Data, Explained
Survivorship bias hides delisted and acquired tickers from most stock datasets. See the gap it opens in a backtest, and how to measure a full universe.
How split-adjusted price history works
Split-adjusted price history explained: the 1/N factor charts apply to old prices, the N they apply to old volumes, and the three ways it breaks a backtest.
How OHLCV Bars Are Built From Ticks
How OHLCV bars are built from raw trades: the half open minute interval, which condition coded prints count, empty minutes, and the backtest fallout.
Why Short Interest Data Is Always Two Weeks Old
Short interest is measured twice a month and published on a lag. The FINRA cycle, the measured delay, what moves while a print is pending, and days to cover.
SEC EDGAR Index Gap: the Missing Month-Ends
Three 2026 month-ends are near-empty in the SEC EDGAR filing index: the receipts, the ingest evidence that bounds the fault, the 2025 precedent, what breaks.