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There's a very simple explanation. The NYSE trading floor only deals in NYSE-listed stocks. NYSE have other venues (such as Arca) that allow you to trade listings from other exchanges. The following site has a very good summary of "tape" versus the volume traded at each venue. Note that Tape B contains trades ...


You should use Adj close price Using Adj close price gives you the adjusted values of close price, hence the fair picture in case of off-beat events like splits and dividends. Using close price instead of adj close price provides unrealistic and false values of metrics like returns, which could generate false signals in your ML model.

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