ChiX data is important and should be considered where possible, as it is still volume traded in Australia (and prior to ChiX, that volume would have been traded on the ASX exchange).
The data I use is a combined form of both exchanges...it uses the ASX open, the highest high of the two exchanges, and the lowest low of the two exchanges, the ASX close, and the combined volume.
This is not perfect IMO, but it is pretty close...I would prefer to use the close from the exchange with the highest volume traded for the period (daily, weekly etc).
I did do a study for a while (a few months after the chiX opened), comparing ASX, ChiX & Combined data for consistency across many different stocks. And at the time the combined data was best for sure, the ASX 'only' data was easily second best, and the ChiX 'only' data a distant third, as at the time some stocks only saw light trading on the ChiX . The ChiX now trades larger volumes more consistently so the ChiX exchange will not be an obvious third place anymore.
That said, if you don't have access to combined data, for the most part, on most stocks, the volumes are similar on both exchanges. Yes, at times there are some anomalies, but in the main, if there is high volume on the ASX, there will be high volume on the ChiX as well, and if there is low volume on the ASX, there is also low volume on the ChiX. Some of the main differences between the two are often the different types of cross trades on a certain day.
So if you can get combined exchange data, that is preferable....but Comsec has been saying for two years (or more) that they will provide it.....and still haven't.....dunno about the other brokers.
And if you do not have access to combined data....all is not lost.....most stocks show similar trading volumes and price action no matter which exchange you use.
cheers
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