.VIX doesn't update after market close
Author: kazuna
Creation Date: 11/3/2016 9:51 PM
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kazuna

#1
I have a daily scale DataSet consisting of .VIX and ETFs (e.g. SPY).
My daily strategy runs in Strategy Manager at around 16:30 EST after market closes.
It's been working fine for years until recently (at least it worked fine 4 months ago) but today I noticed that .VIX isn't updating when Strategy Monitor executes my strategy.

When I update data manually, all symbols are updated except .VIX.
Data Manager says all symbols are up to date but .VIX isn't updated.
As you can see the WL files below, .VIX isn't updated. (notice these files are PST)

Directory of \Root\Fidelity Investments\WealthLabPro\1.0.0.0\Data\FidelityStaticProvider\Daily

2016/11/03 14:38 301,547 %2EDJI.WL
2016/11/03 14:38 301,554 %2EIXIC.WL
2016/11/03 14:38 301,593 %2EMID.WL
2016/11/03 14:38 301,306 %2ENYA.WL
2016/11/03 14:38 301,587 %2EOEX.WL
2016/11/03 14:38 301,587 %2ESPX.WL
2016/11/03 14:38 247,893 %2ESTI%2EA.WL
2016/11/03 14:38 301,413 %2ESTI%2EN.WL
2016/11/03 14:38 247,864 %2ESTI%2EO.WL
2016/11/03 04:34 301,499 %2EVIX.WL
2016/11/03 14:38 300,873 %2EXAX.WL

Any idea what's going on?
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kazuna

#2
I think I can workaround the problem by deleting %2EVIX.WL right before my strategy gets executed on Strategy Monitor.
It appears I can delete it while WLP is running and executing the strategy lets WLP to reload the .VIX symbol data.

Does this sound reasonable workaround?
Any concern deleting WL file while WLP running? (does WLP ever cache the symbol data in memory?)
Should executing strategy always reload the symbol data even if WL file is missing?
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Eugene

#3
QUOTE:
Any idea what's going on?

Perhaps the data isn't available yet when you're updating the Fidelity data too early. How about retrying next morning?

QUOTE:
Does this sound reasonable workaround?
Any concern deleting WL file while WLP running? (does WLP ever cache the symbol data in memory?)
Should executing strategy always reload the symbol data even if WL file is missing?

1 - Yes but I'd try updating much later.
2 - No concern.
3 - Yes.
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kazuna

#4
QUOTE:
Perhaps the data isn't available yet when you're updating the Fidelity data too early.
The data should be available because deleting WL file and reloading the symbol does download the latest data. It is just the manual data update and executing strategy monitor won't reload the symbol.

QUOTE:
How about retrying next morning?
I know it works because WLP automatically updates the data every morning. Although I delete all Fidelity static data every morning before the automatic update in order to prevent the update issue with the stock split.

QUOTE:
1 - Yes but I'd try updating much later.
Unfortunately, I cannot wait later because my EOD strategy needs to run right after the market (4:00pm EST) and VIX (4:15pm EST) close.

Since I haven't upgraded my WLP yet, it looks like Fidelity changed something on their back-end?
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Eugene

#5
As a 3rd party we usually do not know what happens on their backend. But if they decide to make the .VIX data available later (only a speculation but this may happen if the data vendor is changed), your strategy might have to adjust its run time.
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Harapa

#6
I use .VIX intraday and it is updated without any issue. Also, same data is available as VIX (no dot in front). You may want to try it.

Here is update log as of the of this post:

.RVX 203870 bars 11/7/2016 2:50 PM 1 bars added
.SPX 250750 bars 11/7/2016 2:50 PM 1 bars added
.VIF 245656 bars 11/7/2016 2:50 PM 1 bars added
.VIN 245658 bars 11/7/2016 2:50 PM 1 bars added
.VIX 245656 bars 11/7/2016 2:50 PM 1 bars added
.VXN 246166 bars 11/7/2016 2:50 PM 1 bars added
.VXST 245657 bars 11/7/2016 2:50 PM 1 bars added
.VXV 245637 bars 11/7/2016 2:50 PM 1 bars added
VIX 245596 bars 11/7/2016 2:50 PM 1 bars added
VIXY 110901 bars 11/7/2016 2:50 PM 1 bars added
VXN 246166 bars 11/7/2016 2:50 PM 1 bars added
Update completed (5.984 sec)
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kazuna

#7
.VIX intraday closes at 4:00pm but .VIX continues updating until 4:15pm.
I need the EOD .VIX data and that's why I need to get it from daily scale data.