Do query services like Google Finance and Yahoo Finance go back to correct busted and adjusted trades?
Do query services like Google Finance and Yahoo Finance go back to correct busted and adjusted trades?
In other words, should I re-download yesterday's data if I want to be sure my intraday data accounts for trade cancellations and corrections?
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No.
Busts are very infrequent, and if an equity were illiquid enough to be affected, the bust cost would be enormous.
For a liquid equity, the amount of busted volume is insignificant except during a flash crash or flash spike. Then it would be reasonable to redownload.
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