When two data sources disagree, which one is wrong?

Ran the same symbol through two feeds for a week and compared. They disagreed constantly, not on price, but on volume, on the number of updates, and on exactly when a bar closed. My first instinct was to find out which one was right. That was the wrong question. Both were reporting accurately about different things: different venue coverage, different aggregation rules, different timestamp conventions. The right question turned out to be: which one does my strategy live on? Because whichever feed I trade against defines reality for my purposes, and calibrating a threshold on the other one means calibrating to a market I don't participate in. The practical rule I landed on: research on the feed you trade on, and if you must use a different source for history, measure the difference on an overlapping period and know its size before trusting anything. Anyone who has actually quantified the gap between two feeds. I'd be interested in what you found, because I suspect mine is larger than typical and I'd like a reference point.
DataDrivenDee
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SpreadWatcher· Aug 2026 ago
Volume is where they diverge most, because venue coverage differs and nobody advertises theirs clearly. Price agrees because arbitrage forces it to.
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QuietVol· Aug 2026 ago
"Both accurate about different things" is the correct diagnosis and almost nobody reaches it. Most people pick a winner and move on.
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