Pre-market and extended hours data
Author: kbellare
Creation Date: 11/4/2015 9:23 AM
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I have a strategy that runs on 30-minute bars, looks at pre-market bars (i.e. the 9-9:30am bar) and opens a position if Volume of the Pre-Market bar >2x average pre-market volume over last 20 days.

1) How do i access Pre-Market data? Do the free providers (Fidelity or Yahoo) have pre-market data?

2) How do i calculate AvgVolume of last 20 days of Pre-Market bars (i.e. 9-9:30am)?

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Fidelity does not provide pre/after-market data. As to the other providers, Google and Dukascopy don't appear to have it either. I'm not sure about IQFeed (you have to inquire them yourself) and MT4 providers (some F/X dealers may provide U.S. equities but it's an open question if there's premarket data).

Providers like Database, Metastock and ASCII allow to connect to some 3rd party feeds not supported directly. When using them don't forget to adjust the Market Manager settings so as not to filter out pre/after-market data (by default).
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I recall that IQFeed did have it when I looked into it a couple of years ago. Also, Fidelity has pre-market and after hours data available through their Active Trader Pro software, but nothing with testing ability for wealth lab.
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Since Kevin confirms pre/after-market data availability in IQFeed, let's stress my note re: Market Manager. The IQFeed provider supports it but since the default market in WL is "U.S. Equity" with trading hours 9:30am to 4:00p, this has to be adjusted as per the MM online guide.