[FabHK]

Oh, man, tell me about it!

To get from raw data to data you can use can be a hard, tedious and difficult slog. I agree that it's often undervalued. On the other hand, with Bloomberg you certainly pay for it! :-)

And don't get me started with corporate actions (stock splits, mergers), dividends (some jurisdictions announce gross divs, Australia announces net divs; Korea announces AFTER the ex-date; some shares pay a dividend in a ccy different from the ccy the shares are denominated in, etc.), unscheduled exchange closures (due to terrorism, typhoons, etc.), stamp duty and taxes, 1 week holidays for Chinese New Year that screw up the rate curve (because 1d and 1w LIBOR cover the same period), quanto futures, etc.

[maksa]

And time zones. And daylight savings. Oh my oh my. And Asian trading sessions with a lunch break in the middle.

[FabHK]

Haha, I loved the HK trading day with a 2h lunch break!

2.5 hours in the morning (10:00 to 12:30), 1.5 hours in the afternoon (14:30 to 16:00), who needs more than 4 hours trading a day?

Shame they extended it in 2011.