[R-SIG-Finance] yahoo dates

[Paul Gilbert]

Occasionally this week it seems that yahoo is using the previous day's 
date on holidays (I believe, at least yesterday evening there were two 
entries dated July 3). There is a possible logic to this, since holiday 
data may be just adjustments to the previous day's data. However, in 
some downloads this is done, and other downloads of the same data it 
seems the holiday is simply removed, suggesting that it is really a bug 
at yahoo.  For example, the evening of July 4 the data for "^gspc" was

         Date    Open    High     Low   Close     Volume Adj.Close
1 2012-07-03 1365.75 1374.81 1363.53 1373.97  277158200   1374.02
2 2012-07-03 1365.75 1374.81 1363.53 1374.02 2116390000   1374.02
3 2012-07-02 1362.33 1366.35 1355.70 1365.51 3301650000   1365.51
4 2012-06-29 1330.12 1362.17 1330.12 1362.16 4590480000   1362.16
5 2012-06-28 1331.52 1331.52 1313.29 1329.04 3969370000   1329.04
...

whereas this morning, July 5, it is
         Date    Open    High     Low   Close     Volume Adj.Close
1 2012-07-03 1365.75 1374.81 1363.53 1374.02 2116390000   1374.02
2 2012-07-02 1362.33 1366.35 1355.70 1365.51 3301650000   1365.51
3 2012-06-29 1330.12 1362.17 1330.12 1362.16 4590480000   1362.16
4 2012-06-28 1331.52 1331.52 1313.29 1329.04 3969370000   1329.04
...

The holiday with the previous days date causes duplicate index entries, 
which causes zoo to issue warnings, and causes a failure when there is 
an attempt to put two series together into a multivariate series.

Does anyone know what is going on at yahoo?  What is the convention at 
other data suppliers for adjustment data on holidays, or are these  real 
prices and volume that occurred after July 3?

Paul