My Fidelity 15 minute data has gaps in it?!?
Author: jimcrist
Creation Date: 3/26/2009 7:52 PM
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jimcrist

#1
I just realized my 15 minute data is missing whole days worth of data?!? I don't do an update every day, since I'm still using WL4 for my production stuff. It's not just a few symbols either, it's a big percentage of them. I ended up deleting my whole 15 minute directory (2300+ symbols), and I'm starting over. Hopefully, the update will finish sometime tonite...

This feels like a bug of some sort...
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Cone

#2
If it happens again, please create a ticket and attach a couple examples of data files that are missing data. It would also be helpful to know if those symbols/scales are used actively in the Strategy Monitor, and if they appear in more than one Strategy.

Just trying to make some sense out of it.
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reds

#3
I just updated my 5 minute data source from Fidelity and a number of symbols start about 2PM while most begin at 935. Is there any way to delete or overwrite just the last day? I have spent hours cleaning bad ticks and do not want to delete the symbol or even the entire directory.

Symbols are MDY, XLE, and XLK.

Any ideas?

Thanks,

Mike
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Eugene

#4
Sure you can, it's .NET!
CODE:
Please log in to see this code.

Now that you saved your 5-minute data excluding the ultimate trading session, all you have to do is overwrite the source data files:

..\Data\FidelityStaticProvider\5 minute\..