Some of our indexes' open prices will return error messages

Announcements
1

Beginning this evening, if users try to use open prices for the following indexes, they will get error messages. We do not get the open from our data providers for these indexes–we only get the close, low, and high–and our attempt to approximate the open led users to be misled about certain strategies that depend on them. These are the indexes in question:

$DWC
$SPALL
$SPALLENG
$SPALLIND
$SPALLCND
$SPALLCNS
$SPALLFIN
$SPALLINT
$SPALLTCM
$SPALLHEQ
$SPALLPBL
$SPALLGLD
$SPALLEUT
$SP500PG
$SP500PV
$MIDPG
$MIDPV
$SMLPG
$SMLPV
$SPALLPG
$SPALLPV
$SP500EQ
$VIX
$NASDAQ100
$SPALLMAT
$SPALLHEA
$SPALLUTL
$RUId
$RUTd
$RUAd
$RMIC
$TSX
$TSX100
$TSX200
$SPALLREA

To be transparent, we have for a very long time used a formula to approximate open prices where they are missing, and we use this formula so that factors and functions don’t fail because of one missing piece of data. We did not recognize that this formula was approximating ALL the open prices for certain indexes and that this would cause look-ahead bias for users of those prices. We apologize for the error, and for any inconvenience this change might cause.

In particular, if your simulation or live model uses hedging, relies on open prices, and uses as its benchmark one of these indexes, you will get an error message. You will either have to change your benchmark or use close or an average of high and low.

2

Obvious question, why would any vendor not return the open price?

Standard price data is date, open, high, low close, volume.

3

All I can think of is that some of this data may be fed from ancient databases where storage space was expensive. And/or the information systems are black boxes: the programmers are long gone and left no instructions.