Best data feeds for WL (global, individual stocks, delay on prices fine)
Author: kephin
Creation Date: 10/25/2013 6:18 PM
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kephin

#1
Hi,

I used to use Bloomberg but can't afford it anymore. What data feeds really work well for WL? I need global individual stock prices going back as far as possible, typical 20 minute delay o problem. I used to use esignal 6 yrs ago and it was great. Any recs on which is best today?

Also. Bloomberg has option charts for the US on individual stocks, so if you wanted to look at the 2014 January coca cola call option with a certain strike price, you can easily look that up and chart how the option has traded over time. Which feeds work for wealth lab on us stock options?

Thanks,

C
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Eugene

#2
Hi Connor,

There hardly is a data provider for Wealth-Lab 6 that satisfies all your criteria at once. If you're willing to sacrifice on global intraday stocks, then IQFeed is your best bet:

IQFeed Symbol Guide

But as long as intraday data is not required, we've got almost three dozen static, streaming, fundamental and news data providers, listed here:

Extension Finder, filter by Category, click "Next" for more hits

Many of which are free. Some providers (like BBFree) have exceptional coverage of global markets, some (like QuoteMedia) have historical data for options.
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kephin

#3
Thanks. Wow, what a list. Sounds like I might have to get two suppliers.
Sounds like IQ feed for the stocks.
Which are Best for options? I looked at the review link you sent but wasnt clear on the options.
I couldn't find esignal in the reviews, are they no longer on your recommended review list?
Thx
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Eugene

#4
QuoteMedia has historical data for options, for free.

There's no eSignal provider for WL6.
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kephin

#5
Hi Eugene,

I contacted IQ feed but they don't provide global stock data at end of day ( I might have misunderstood your comment above about intraday - I thought that they could provide closing prices). Thinking about it though, I guess the candle charts need intraday data to chart the price moves properly anyway?

What would you rec for global (delayed) feeds for WL? Is BB free the preferred provider? There is no point me buying the upgraded WL product unless I know that I can get the global data.

Thanks

C
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Eugene

#6
Hi Connor,

These data providers offer global EOD stocks: Yahoo! (built-in), QuoteMedia, BBFree, and Morningstar. The latter 3 are available as extensions (downloadable only by customers, not during free trial).

Yahoo! and Morningstar also have streaming capability, i.e., EOD charts can have partial ("ghost") bar. For a small fee, Yahoo! Premium account can be upgraded to true real-time quotes (w/o delay): Yahoo! real time quotes

But don't take my word for it: try out Wealth-Lab 6 today with Yahoo data for free.
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kephin

#7
OK. I should do the trial really. Does WL pull in the financials from Yahoo, Google finance and news too? You can go to those individual sites and get the data but I really want a one-stop shop where everything is pulled in. From my old version of WL I don't think I could click on a specific stock (once chart was drawn) and look at Reuters news on it, or google news etc. Does v 6 have that capability?
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Eugene

#8
WL3/4 couldn't do it (if only through the Commentary box which is clumsy). And yes, there are such integrated Google/Reuters news providers in WL6. Here's how it looks like:

Google News provider (sample screenshot)

(Extending the concept, one could even program a news driven trading system using AlchemyAPI IBM Natural Language Understanding for sentiment analysis of text and then backtest it.)

There's a number of fundamental and economic data providers that look like on screenshots inside this page that deliver dozens of fundamental items, analyst ratings, insider transactions, extended dividend data, etc. More details in the Knowledge Base:

Home - MS123 Providers
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kephin

#9
Final question on data feeds. Does BB EOD free allow me to write a script that would find stocks that traded volume that day >3x the ave 3m volume? ON bberg (paid) when you look at HP it gives you the average daily 3 m period. This means you can scan for abnormally high volume events relative to that number - you need a relative number. Is there either a) a link to that 3m daily volume number in the menu? or b) a way around it? I'm likely to buy the WL product as my trials with other providers don't have the breadth you do. This scan would be important though to pull off.

THanks
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Eugene

#10
Absolutely any free EOD provider will do, not only BB Free. It's trivial:

CODE:
Please log in to see this code.


This is a "screener" script that you can run on any DataSet (e.g. using Yahoo! provider or ASCII data). See the WealthScript Programming Guide: Techniques > Creating a Screener for more. Pick a DataSet by clicking on its name in the DataSets tree, then press "Run Strategy", and all matching stocks for that day will be on the Alerts tab listed as Buy alerts. From there you can double-click each one to visually evaluate its chart.
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kephin

#11
Thanks. Order coming in for WL6. Excellent service Eugene.
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kephin

#12
Last question on data. This is for bond data. Specifically UK Inflation linked gilt data. Bloomberg (paid) has a ticker UKTI 1 1/4 11/22/55 ie 2055 inflation linked gilt with 1 1/4 coupon.

Similar to the equity data question - I assume you'll have a similar list for bonds/gilts that you can use for WL?

Thanks
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Eugene

#13
There are many gilt funds on Bloomberg website (saved search results) but I don't think that the data for any of UKTI symbols are available (results: 0).
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kephin

#14
Back from vacation so looking at this belatedly. OK I might be able to replicate with some etfs.

Does your product allow you to scan for stocks that are 65% off all time high? Not the 52 week high? Assuming we used Bloomberg as the data feed? so the high could have been 3 years ago for example.

Also, I found that Reuters has some longer data series...can you feed off their data?
http://www.reuters.com/finance/stocks/chart?symbol=NKE.N
See how the 'max' chart goes all the way back to 1994 whereas BB only goes back 5 years?

re Pricing. I bought the perpetual licence before but see that is no longer on support and I need to buy a new version and then pay a yearly subscription. Are there any specials you can offer people like me who bought the perpetual licences (and BBerg adaptor) in the past?

Thx
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Eugene

#15
QUOTE:
Does your product allow you to scan for stocks that are 65% off all time high?

Assuming that "all time high" refers to "highest price of all data loaded into current window" (i.e. data loading range = "All Data"), then yes.

QUOTE:
Also, I found that Reuters has some longer data series...can you feed off their data?

There doesn't seem to be any exportable data there I could find.

QUOTE:
See how the 'max' chart goes all the way back to 1994 whereas BB only goes back 5 years?

We've got other data providers with longer history.

QUOTE:
re Pricing. I bought the perpetual licence before but see that is no longer on support and I need to buy a new version and then pay a yearly subscription. Are there any specials you can offer people like me who bought the perpetual licences (and BBerg adaptor) in the past?

We had been offering V5 licenses for a reduced price ($150-$250) to legacy customers for over 2 years until the offer permanently expired in 2011. Sorry.
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kephin

#16
Hi. OK I trialled the new version and it is very good, probably going to have to bite the bullet.
Can the screener search for stocks down 80% from their all time highs? Not just 52 week highs....If you put in weekly data, that went back a few years, could your screen easily find names down 80%?
Are there any examples in the forums of this type of thing?
K
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Eugene

#17
Hi,
QUOTE:
Can the screener search for stocks down 80% from their all time highs? Not just 52 week highs


Sorry but we've already deviated far enough from the original topic title called "Best data feeds for WL (global, individual stocks, delay on prices fine)". Like I already replied when answering this question in post #15, the answer is yes: "the screener" can be programmed to scout for almost any kind of pattern.

As putting everything in one thread limits the ability to find and reuse content, for a more detailed answer and code example please start a new topic since the question is not directly related to the topic title. Thanks in advance.
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Panache

#18
Eugene,

Could you update this regarding what you think is the best free data feed for end of day U.S. stock data?

I gave up on Fidelity awhile back because of all the inaccuracies in the data. Has their data gotten any better?

The NASDAQ feed which you have now implemented is interesting, because one would hope it is the most accurate. The problem is that it only goes back 10 years and has NO data available once a symbol is no longer in use. I assume the other problem with the NASDAQ data feed is that I would have to watch for stock splits and either manually adjust the data or reload all the data for that symbol.

I was a big fan of Yahoo! until I started getting into the problem of how volume is calculated prior to a split. When I compare Yahoo! volume to NASDAQ and Google pre-split volume, sometimes Yahoo! has adjusted the pre-split volume (which can be taken into account by checking Perform Split Adjustment in the Data Manager), but sometimes the volume hasn't been adjusted, which results in incorrect volumes. Compare the C split on 5/10/11 (Yahoo! and NASDAQ volumes similar pre-split) with the MATX split on 7/2/12 (Yahoo! pre-split volume almost double that on NASDAQ).

I haven't done much with Google. It has the advantage of going back a long way, but when I last looked at it it was missing the opening price prior to 2000. I see that is now fixed. However, a quick look at C shows the price and volume on 5/6/11 to be way off. Seeing that kind of a data error on my first look at it doesn't make me want to look further.

I haven't really explored QuoteMedia other than as a source for obsolete symbols. Going back to the C split, QuoteMedia's pre-split volumes are about 10 times those on Fidelity, NASDAQ, Yahoo! and Google, so that doesn't give me a lot of comfort. (The historical price lookup on the Citigroup website matches the NASDAQ volume, but that may just be because they use EDGAR.)

If the answer is that no free provider is really very good, which is the best subscription service that works with Wealth-Lab Pro?

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Eugene

#19
Kurt,
I appreciate that you asked me but I rather develop data providers than compare the data in deep. However, looking over the C split volume again to compare it to one yet unreleased data feed I can say that it's certainly not a problem there. ;)

QUOTE:
I assume the other problem with the NASDAQ data feed is that I would have to watch for stock splits and either manually adjust the data or reload all the data for that symbol.

Right. There can be no other way since the historical data comes already adjusted vs. Yahoo where one can download the raw prices and split/dividend adjustments, separately.
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Panache

#20
I found a mistake in my code that affects the results.
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Panache

#21
Thanks. I decided to do a little objective testing. I can't think of an easy way to test for the correct volume, but there are some easy tests to see how accurate data is. First, I looked for how many times the data provider reported obviously incorrect prices, ie. the Low is less than the High, the Open is greater than the High, the Close is greater than the High, the Open is less than the Low or the Close is less than the Low. Second, I checked to see how many times the data provider reported bars on dates that the markets were closed. Finally, I checked to see how many times the data provider was missing bars on dates that the markets were open.

I moved my existing data and downloaded new daily data this morning for the stocks in the S&P 500 index as of January 1, 2015. (Some symbols are no longer trading, so data is not available for them from some providers.) The providers were Fidelity, Google, NASDAQ, QuoteMedia and Yahoo. (I couldn't get MSN to update the data.) Finally, I ran the code below for the 10 year period 1/1/2005 to 12/31/2014, which is designed to report the 3 things described in the previous paragraph. I ran it against the S&P 500 index on the assumption that these are the most heavily traded stocks and, therefore, would have the best data.

The results are attached. The most surprising thing to me was the number of errors in the NASDAQ data. I assumed it would have been perfect, but it had 3 obviously incorrect prices and 4 missing bars. Google and QuoteMedia were by far the least accurate data providers, in terms of the number of bad symbols and the number of incorrect prices. (They were slightly better than Fidelity in terms of the number of missing bars.) The only thing QuoteMedia has going for it is the ability to download symbols that no longer trade. Yahoo had no incorrect prices or missing bars, but was the only data provider to have bars on days the markets were closed. Fidelity and NASDAQ were very similar. NASDAQ had one more incorrect price than Fidelity (3 instead of 2), but many many missing bars.

To put these results in perspective, I ran the strategy on approximately 2,500 bars of data for each symbol (250 bars per year x 10 years) and approximately 1,250,000 bars of data in total for each data provider (250 bars per year x 10 years x 500 symbols). Therefore, the number of incorrect prices for Fidelity (2), NASDAQ (3) and Yahoo (0) are not really significant.

I then repeated this exercise for the Russell 1000 as of June 1, 2015. There were several surprises. First, the number of Fidelity missing bars jumped from 135 to 2,614! Second, the number of errors in the Google and QuoteMedia data didn't change! Finally, the number Yahoo bars on days the markets were closed dropped from 60 to 1! The reason is that for all data providers, the errors come from a finite number of symbols, rather than being evenly distributed among all the symbols.

Obviously, you get what you pay for, and none of the data is perfect without manually correcting it. I'm sticking with Yahoo, since it is easy to eliminate the bars on the dates the markets were closed. With that fix, on these three benchmarks it is fine.

Needless to say, I encourage everyone to run this code on ALL DATA for ALL symbols, and either manually correct the data or understand where there may be problems when you back test. If you have Yahoo data going back a long way, you will have to replace the markets.xml file in order to get very old market holidays.

CODE:
Please log in to see this code.
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Panache

#22
Attached is my markets.xml file with market holidays going back to 1928! To install it, go to your WealthLabPro Data directory, which for Fidelity customers is C:>Users>[your name]>Roaming>Fidelity Investments>WealthLabPro>1.0.0.0>Data. Rename the existing file "markets.xml" as "markets - COPY.xml" and unzip the attached file into that directory. Restart WealthLabPro and you will be all set. If you have problems, you can always go back and rename your old file to get back to what you had before.

When WealthLabPro is updated, the markets.xml file is sometimes also updated with future holidays, so if you want to have market holidays going farther back, you may have to do this again after an update.