Fidelity Client Application Server
Author: fastrade
Creation Date: 9/22/2009 2:42 PM
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fastrade

#1
I am assuming that Fidelity Client Application Server is responsible for feeding live data to WL5. If so is there a way to get it to feed Excel? I guess what I am asking for is an API to Fidelity Realtime Data.
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Cone

#2
Here's something that will not be possible for you to do (it's not really related to Wealth-Lab though).
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Cone

#3
Actually, your assumption is wrong. WLP5 accesses it's own streaming data through Fidelity, but it uses that server for authentication. Anyway, afaik, Fidelity doesn't offer a data API, but you should check with your rep about it.
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momop

#4
fastrade: I think this is similar or same as my request. I don't think meaningful trades are possible w/o access to real time feed. Longer timeframes may be okay, but day trading would be impossible, I feel.
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fastrade

#5
then I think those who want access to realtime API should all call their reps and ask for it. Maybe a concerted effort would get their attention.
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Eugene

#6
Seems that these are two different things altogether -- fastrade's asking to retranslate/retransmit the feed data into a 3rd party application, which theoretically could be possible w/o having the access to incomplete (partial) bar data (which is momop's request).
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momop

#7
Eugene - If one has access to real time data, I think it is easier to feed to third party apps (i.e fidelity need not do it and the burden can be on the strategy developer). If fidelity does the feeding work to 3rd party, even better.
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fastrade

#8
Eugene, you are right I want to be able to get real time feed(tick) into excel (third party application). It is alot easier to do some calculations in excel than any other app.
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Eugene

#9
Whether it's possible to retransmit real time data or not, the Wealth-Lab client already has full access to that data by virtue of the Streaming Provider API. Each data provider in WLP/WLD5 is an optional module.

I'm just telling that accessing "live" data i.e. partial bar in Strategy code is a different request that (AFAIR) was on Fidelity's long-term plans.
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Cone

#10
Broken record: Anything's possible

But look, Fidelity's feed is locked down. You have to authenticate and use decryption to get into it. It's not going to happen.

momop, if you need ticks for day trading, you'll need to find another feed. Eventually we'll have one, but I suspect you haven't been trading very long if you think you need tick bars to day trade (but I'll give you the benefit of the doubt). Try automated trading with 1-min bars on a paper account. Things happen more quickly than you think.
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Eugene

#11
Robert, but tick data can be used to build tick bars (Kase bars, MBars, Range bars etc.) Trading activity shouldn't necessarily be that high, just a different market perspective.
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Cone

#12
Sure that's true, but the suggestion was that it's "impossible" to daytrade without ticks, insinuating the need to see each trade. Maybe momop can't daytrade without those, but I can assure him/her that tick noise is not required to daytrade, and quite to the contrary.
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topcat77

#13
fastrade, momop the bottom line is that for day-trading the latency from end-of-bar to execution approximates 7-14 seconds using Fidelity data feed and ATP. This is pretty sub-optimal ( one can expect less than 0.2 seconds in a custom built platform) and is compounded by the fact that WL disallows price-at-close-of-bar orders (which is what custom platforms use). So there is what I would call "slippage-roulette" (see my post on slippage). Most likely the WL/ATP combination wasn't built for high-frequency day-trading. Nevertheless alternative (non-custom) routes are limited (unless you guys know otherwise)and both WL and ATP have significant plusses
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momop

#14
Cone - I don't think it matters how long I have been trading. We all try :) It's just couple of years for the record. I wasn't implying the need for tick data - only real time bars (say 1 minute granularity or even 5 minutes) and dynamic list of stocks.

Topcat77 - You make a good point on the round trip cost (and if we put Cove's pespective that tick data is just noise, it all makes sense). I have played with Interactive Brokers API, but Fidelity is neat and compact and their long term backtesting rocks. I will check your thread on slippage.

Thanks
momop
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Cone

#15
1-minute bars (and every higher minute interval thereafter) are available.
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momop

#16
Cone - I thought you said dynamic list isn't possible. i.e you simply cannot query the 1 minute bar dynamically anytime ? Am I mistaken ?
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Eugene

#17
Dynamically querying the 1 minute bar is accessing its tick data. Not possible until Fidelity implements some partial bar access.

OTOH, you can fully access the complete 1-min bar's OHLC data.
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Cone

#18
But let's be clear that access to intra-bar ticks is not required to trade intraday, and this is something that most beginners seem to have trouble understanding.

The process is this:
1. A complete bar updates (can be 1-minute, 1-day, etc.)
2. Your strategy executes over all the bars in the chart and determines if it wants to trade on the next bar.
3a. If it doesn't, you don't do anything.
3b. If it does, you place orders for the next bar.
- process complete -

If the order is AtMarket, it fills at the next bar's opening price (there can be slippage, both positive and negative in real life).

If the order is AtStop, then that order fills at the market price once the stop trigger price is reached (again, slippage applies).

If the order is AtLimit, then the order fills at the limit price (or better).

You do not need to access the intra-bar data to trade stop and limit strategies. The order is entered with your broker at the start of the bar and is "worked by the broker" during that bar.

I hope this helps clear it up!