Two Missing days (6/18/2010 and 11/18/2010) in Fidelity's history
Author: 16xx25
Creation Date: 9/14/2014 1:09 PM
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16xx25

#1
Have other users of Fidelity's history through WealthLab noticed that 6/18/2010 and 11/18/2010 are missing. I've checked several active ETFs, e.g. SPY.

Thanks

Peter
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Eugene

#2
Please report Fidelity data problems and order/login issues directly into Fidelity phone support. This is a third party site that supports Wealth-Lab products. If you have a problem with or suggestion for Fidelity data, then please call them.
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Cone

#3
Whenever you see some missing or corrupt data, first try right clicking the chart and select "Reload Chart History". In this case, I think you'll find those bars are there.

That said, before doing any serious backtesting, make sure to run a data check first. In the Utilities folder, open Bad History Data Check [Rev A]. To get that script you need to perform a Strategy Download at least once using the "Strategy Download" feature (found in Wealth-Lab's Open Strategy dialog, Ctrl+O).

Make sure to read the Strategy Summary, especially in the Rev A section, for tips on how to use the script. Also, I've found that once you reload data, it's a good idea to close all chart and strategy windows before testing again so that the previous data are removed from the cache.

Finally, you may indeed find (especially before 2000) bars or even sections of data that are missing even after reloading from the server. If you need the corrections, the only practical way to deal with that is to find another source and insert the bars yourself. Backup your data after you have a known good set, so that you can refresh from that point in case some corruption occurs in the future.
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Eugene

#4
Just to expand slightly on Cone's reply, the Data Tool extension makes data checks even easier with built-in Data validity checker feature. Following that you can use the tool to mass reload an entire DataSet if many included symbols exhibited errors at once.
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Cone

#5
Eugene, the Data Tool's Missing Bar checker needs work to reduce false alarms - it needs to use the Holidays from Market.xml. Without doing that, the Missing Bar check is useless.
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Eugene

#6
QUOTE:
it needs to use the Holidays from Market.xml.

It can't for the same reason it can't correctly detect spikes in Yahoo! DataSets. DT operates on raw data, therefore MarketInfo is inaccessible. Hence the MarketInfo.Holidays property couldn't be read.
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Cone

#7
Does this give you any ideas?

CODE:
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Eugene

#8
Good idea​, thanks. It's not that simple because we may have another list on top of that:

CODE:
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However, this seems like a viable workaround.
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Cone

#9
You should ignore Markets.xml in the UserAppDataPath. That one is static after the first User initialization. It is not used nor updated with new builds.
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Eugene

#10
No, that's not it. This is the Market Manager's own list of holidays and special events that may override the default list, if MM is installed.
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Eugene

#11
In addition to handling the MM's own holiday schedule, there are other obstacles. Off the top of my head:

1) Detect if MM is installed and is really in use (and we're not dealing with leftover config file)

2) Determine which schedule applies to each symbol. The MM treats markets on a per symbol basis, meaning that a DataSet may contain symbols that have different holiday schedules. On the contrary, the Data Tool doesn't operate with symbols (but on DataSets).

While it may be possible to handle these difficulties, adding the MM into the equation looks like opening a can of worms. And I'm afraid of complicating the working solution to reduce some false alarms.
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Cone

#12
Instead of opening a can of worms, just add a sub-option (selected by default) to "Missing Dates".... "Use U.S. Market Holidays"
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Eugene

#13
I'll stick with this. Option will be added in next release. Thanks Robert.