tainted yahoo finance data
Be careful what you feed your stock-trading robot. For years, Yahoo Finance has published easily downloaded historical prices derived from Commodity Systems. It would seem to be a good place to start… but beware: their “adjusted prices” have errors. Aside from the obvious problem of rounding to the nearest cent, Yahoo fails to account for some stock splits. Here is an example of an artifact around a reverse split of DARA. Yahoo’s data downloadable stock history seems to be fairly widely used. For example, Mathematica’s FinancialData function uses Yahoo as a source and it propagates these artifacts. Google also gets their historical data from CSI, however they appear to give more reliable adjusted prices.