I am trying to gather historical data for experimental reasons (intellectual curiosity) and am having trouble understanding how that data is calculated. First some data gathering on AAPL from Feb. ...
Have the exchanges disclosed their criteria? Does anyone have a best guess based upon observations of volume (however you wish to define it)? Please no qualitative answers.
I'm backtesting an algorithm for trading nasdaq stocks, and would like to take into account the spread. I am using historical data from yahoo, which contains: open, high, low, close, volume, adj. ...