SPX data gaps 6/24/2015 1156-1214, 1230-1233
Author: mkbryan
Creation Date: 7/7/2015 5:53 PM
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mkbryan

#1
Hopefully you can provide some insight into the following problem. Calls to Fidelity active trader support and their electronic channel support were fruitless - they directed me here to the WealthLab forum. The Google search of the forum content did not yield any gap information except for dubious data connection, which is not the case.

On June 24, 2015 the .SPX symbol is missing 1 minute data from 11:56-12:14 and 12:30-12:33 exclusively (the missing 1 minute Bars are 11:57-12-13 and 12:31-12:32). This happened repeatedly after removing the %2ESPX.WL data file (there is only one) and doing a manual data update.

The gap is identified by the following code:
CODE:
Please log in to see this code.



OnDemand Updates were turned off.

The exact same 1 minute gaps showed on another trading platform. This seems to suggest that the data is correct or both Fidelity and the other trading platform use the same erroneous data source.

So before calling Fidelity I searched in vain for any news/notices/annoucements regarding missing data on Standard and Poor's website, Reuters (apparently Reuters America disseminates the S&P 500 quote data).

Can you tell me if these gaps are known and, if so, is the data correct? Were there really no S&P500 index quotes for 15+ minutes on June 24, 2015? If the data is not correct, where is the correct data?

I need to know if such gaps must be handled in a WealthLab strategy, which trades symbols that track the S&P500 index. The strategy already handles gaps in the data of symbols that track the S&P500 index, which is expected when there are no trades during a bar. But S&P 500 is expected to have quotes at least once every 15 seconds.

Many thanks for your insight.
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Eugene

#2
Already known: Fidelity Data Missing June 24 11:56 to 12:13 .SPX

QUOTE:
This happened repeatedly after removing the %2ESPX.WL data file (there is only one) and doing a manual data update.


This says it all. It's a Fidelity data problem so please call them.
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mkbryan

#3
Thanks for the link, Eugene. Yes, it is the same problem.

I pressed Fidelity when I called them (before the original post) because they are the data source. However, the rep on the Electronic Channel (800-544-7595) said that all requests about WealthLab Pro including symbol data support should go to this Forum. So, I've been around the loop once.

Is there a phone number/contact/secret password to get this escalated and resolved by Fidelity?

Thanks.
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LenMoz

#4
Perhaps try Fidelity Active Trader Services - 877-907-4429. They've been responsive, if slow.
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mkbryan

#5
Thanks, Len. I've give a ring during east coast hours tomorrow morning. ~Marc
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Cone

#6
Since IQFeed (symbol SPX.XO and also OEX.XO for S&P 100) is also missing the data for precisely the intervals mentioned, it's most likely that the problem was at the exchange feed...
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Eugene

#7
...and today 07/08 we have a NYSE outage.
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mkbryan

#8
Yes, Cone and Eugene, because Fidelity and TD Ameritrade showed the exact same missing intervals, the data origin (exchange feed or index calculator/distributor) is most likely where the problem occurred.

For the sake of others experiencing this problem, I spent the time in strategy code development handling the fact that data is not always what it is expected to be. It's just another real-world situation (like data connections) that one must be prepared to handle.

Thanks for the info, everyone.