Bars for 14:59 and 15:00 missing in 01/31/2017 Fidelity data
Author: haytac
Creation Date: 1/31/2017 11:24 PM
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haytac

#1
Hi,
Good thing about it: helps make my code more resilient.
But, as it is minutes 14:59 and 15:00 were missing today in the after hours.
I would not know about streaming as I stopped around noon ET today
My data source is Fidelity
Who do I contact there?
Thanks and regards,
Hal
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Eugene

#2
Hi,

You might want to contact your Fidelity rep.
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Cone

#3
Hal,
Are the data missing for specific symbols? all symbols? just those that were streaming?

As it stands today, all symbols that I've updated/checked have data for those bars. (AAPL, SPY, IBM)
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haytac

#4
Thanks for looking into this. I use .SPX (dot SPX).

I stopped streaming before the missing data on that day. I noticed the missing bars in after hours runs. The IDBN keeps increasing continuously but the hour and minute attached to each bar skips (two minutes in this case).

Question:
How does WLP work? Does it know that some bars are in so it retrieves only the new bars or does it retrieve all data at each run?
For example sometimes I notice OHLC values change from streaming to after hours runs. This tells me all bars are refreshed at each run.
I just checked the missing minutes on the price pane. They are still missing. This tells me that only new bars are pulled in or that Fidelity has not corrected for missing data. It seems they do not have a check for this.

I am putting in a check for continuity at each minute. The result goes into a per minute linked list that gets stored into a file. This is for after the fact information. Also thinking of exiting positions when this happens.

Question:
Sometimes I get a message: "unable to retrieve data". If I had stayed in stream mode throughout the missing 2 minutes would I be seeing this message? Is there a way to hook this message in code? Would my strategy run when there is no data? In other words what drives the run in per minute stream mode? The local clock or you loop looking for new data and when it comes you start the run? The per minute run starts within the second at the top of the minute. It is amazingly quick to start.

Thanks,
Hal
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Eugene

#5
QUOTE:
Sometimes I get a message: "unable to retrieve data".

I doubt there is such a message. What you could get is called "Unable to get Data on Demand..." And here are possible steps to alleviate the problem: Error "Object reference not set... Unable to get Data on Demand for symbol..."

QUOTE:
Does it know that some bars are in so it retrieves only the new bars or does it retrieve all data at each run?

The new bars and the previous 2 days (for intraday data) to apply corrections.

QUOTE:
I just checked the missing minutes on the price pane. They are still missing.

You can try my suggestions from one of your related threads: Fidelity Data Missing June 24 2015 11:56 to 12:13 .SPX
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Cone

#6
I just checked IQFeed intraday symbol SPX.XO, and those bars are "stale", i.e., they're missing too. That's what happens when the problem emanates from the exchange feed - nobody gets the data.

QUOTE:
Would my strategy run when there is no data?
Obviously with "no data" the strategy will not run ever. But to answer the question for "no new data" and "..what drives the run.." When a streaming bar completes and is added to the chart, an interrupt is triggered to execute the strategy. So, if a new bar isn't added to the primary chart, then the strategy won't run. It doesn't make sense to repeat the last run automatically since the data has not changed.