Wealth-Data Static and Fundamental
Author: Panache
Creation Date: 2/5/2016 11:46 AM
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Panache

#1
I'd be interested in beta testing your new provider.

Eugene -- As you know, I have a fair amount of experience with data providers and their limitations.
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Eugene

#2
Thanks for your interest Kurt. We'll let you know soon.
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vk

#3
Hi Kurt,

I guess you have seen the website and the part where we display the difference between WealthData and Yahoo. Ok Yahoo is a free service, but basically they come from CSIData. We compared other providers and they are mostly just as bad as Yahoo.

Please keep me posted on how you like the data.

VK
PS: We might need a day to put you on the beta list since Cone is traveling right now.
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Eugene

#4
Please head over to wealth-data.com and sign up. Then enter the credentials in the Wealth-Data tab. Voila.
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Panache

#5
So far, I'm generally very impressed.

How would you like us to report issues with the new data?

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Panache

#6
Attached is my initial list. Many (but not all) of the OHLC errors appear to be data precision errors.
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Eugene

#7
QUOTE:
How would you like us to report issues with the new data?

You're welcome to use the forum. Later we may be able to utilize community-based edits that the provider collects when you guys add (edit, update) a bar.

QUOTE:
My first one, is that almost all the US symbols are missing data for January 30, 2014.

Thanks but have you double checked that you're not doing something wrong? This bar is present for all U.S. symbols except the only one (AAL) and naturally those which started trading past that date (e.g. PYPL KHC AGN KMI JD).

QUOTE:
Many (but not all) of the OHLC errors appear to be data precision errors.

What is a "precision error"? I see that there are "valid" errors (like H < O) but many just don't ring a bell to me. Your best bet in generating a data report is perhaps to use the Data Tool's built-in Check data integrity feature.
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Panache

#8
QUOTE:
My first one, is that almost all the US symbols are missing data for January 30, 2014.

Thanks but have you double checked that you're not doing something wrong
Yes. I realized my error and edited my post.

QUOTE:
What is a "precision error"?
The quote for ISRG on 11/10/2014 is what I call a data precision error. The Open is 499.1199 and the Low is 499.12. That 0.0001 difference certainly isn't meaningful.
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Eugene

#9
Here's my list (excluding delisted symbols).
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Panache

#10
How do you access the split information in Wealth-Data? I've found Yahoo! in particular has bad data right around splits, and I'd like see how Wealth-Data compares.
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Eugene

#11
The fundamental item names by WD are "Split (Wealth-Data)" and "Dividend (Wealth-Data)".
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Panache

#12
Are the splits not supposed to be in order? AAPL shows:

2:1 Stock Split (2/28/2005)
2:1 Stock Split (6/21/2000)
2:1 Stock Split (6/16/1987)
7:1 Stock Split (6/9/2014)

Here's the code I'm using:

CODE:
Please log in to see this code.
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Panache

#13
My first test of the Wealth-Data volumes on AAPL is not making me feel comfortable with how you are handling split volumes.
(Sorry about the formatting. It looked pretty in the Debug Window, but when I cut and pasted it here, it lost the formatting.)

7:1 Stock Split (6/9/2014)
Wealth-Data 06/06/2014 92.86 93.04 92.07 92.22 12,439,525
Fidelity 06/06/2014 92.84 93.04 92.07 92.22 87,620,998
Google 06/06/2014 92.84 93.04 92.07 92.22 87,620,911
Nasdaq 06/06/2014 92.84 93.04 92.07 92.22 87,403,076
Yahoo 06/06/2014 649.9 651.26 644.47 645.57 87,484,600

Wealth-Data 06/09/2014 92.69 93.88 91.75 93.7 75,294,594
Fidelity 06/09/2014 92.7 93.88 91.75 93.7 75,414,804
Google 06/09/2014 92.7 93.88 91.75 93.7 75,414,804
Nasdaq 06/09/2014 92.7 93.88 91.75 93.7 75,295,450
Yahoo 06/09/2014 92.7 93.88 91.75 93.7 75,415,000

Fidelity, Google, Nasdaq and Yahoo (not adjusted) are all showing a volume of 87 million shares for the day before the split, but Wealth-Data is only showing 12 million. Given that all 5 providers are showing 75 million shares the next day, I'm inclined to believe the problem is with Wealth-Data.

Are you starting with Yahoo! (CSI) as your provider? If so, you can't rely on their volume. I can't find the post quickly, but Cone and I (and I think Eugene) discussed my "roll your own" approach to dealing with this awhile ago.
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Eugene

#14
Re: split not in order. Indeed, but Wealth-Lab manages to handle it so this is not an issue.

Re: AAPL volume. No, we're not starting with Yahoo. I'll get back to you with answer.

EDIT. Although we're using the Yahoo!-like notation for German symbols (DAX, MDAX), the data is not coming from Yahoo. This is just for the sake of convenience and unification.
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Eugene

#15
AAPL's incorrect volume adjustment has been fixed. You can update WealthData and the correction will be picked up automatiaclly. Thank you for the heads-up.
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Panache

#16
Attached is most of the printout from my volume checks the day before and the day of the split. I started manually going through deleting the ones that weren't a problem. However, as I realized that there were more problems than non-problems, I stopped deleting at AGN and am just giving you the raw data.

One of the interesting things I found is that Wealth-Data is showing volumes which are not in the same ballpark as ANY of the other providers, ie. ADP and ADSK.

There is one other thing that took me awhile to debug. The split information includes splits that occurred before the first bar, ie. ADBE and AGN.

If you want the code that I use to generate this, let me know.
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Cone

#17
@ Panache from Post #6
QUOTE:
Attached is my initial list. Many (but not all) of the OHLC errors appear to be data precision errors.

Thanks for doing that!

1. As you mentioned, some (5) of the errors were precision errors. These were corrected.
2. AAL 01/30/2014 Missing - fixed!
3. ADP 01/02/1987 opening price fixed (was equal to low of the day)
4. HD 11/18/2014 Missing - this record was accidentally marked as deleted, but it's back now!
5. KO 06/26/2015 - the Low fixed to equal the settlement Close (40.00)
6. JPM - offset for opening prices corrected for all bars prior to the 3:2 split on 6/12/2000. Also, Low from 05/04/2001 was corrected.

All other missing bars are correct - no trading activity existed for those days.


@ Panache from Post #16
QUOTE:
One of the interesting things I found is that Wealth-Data is showing volumes which are not in the same ballpark as ANY of the other providers,

I'll take a look this week. In many cases, we can expect this due to our use of splits for corporate dilutions.
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Cone

#18
@ Panache from Post #16
QUOTE:
The split information includes splits that occurred before the first bar, ie. ADBE and AGN.
I'm not sure what you're seeing for ADBE (please share), but AGN is an interesting case.

Previously I had started AGN in 2015 because:
1. Actavis plc (ACT) acquired Allergan on 16 March 2015 (and was added to the S&P 100 on 20 March 2015), but then changed the name and symbol of the combined company to Allergan (AGN), and,

2. I thought it would be confusing to add the formerly-ACT history to the AGN symbol.

Nonetheless, the provider was picking up the ACT (now AGN) split in 1997, so I inserted the ACT history. It's better for continuity even though the history before 2015 doesn't really belong to the company formerly-known as Allergan! (If that makes sense.)
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ajrdwv07

#19
Will Wealth-Data include at least spot currencies and yields (like 2,5,10y US Treasury yield and/or G10 countries)? that would be great!
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Eugene

#20
Not in WD but there already are existing providers that may deliver this kind of data (please ask in other forum threads if interested).
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Cone

#21
@ Panache
Re: Wealth-Data Errors.txt from Post #16
I've gone through enough of those items to convince myself that the title of your doc should be Errors in non-Wealth-Data Providers.txt

Some good came out of checking the volumes, however... I found that our Yahoo! Provider adjusts volume prior to the ex-date precisely opposite of the way that it should. For example, if a stock splits 2:1, you divide the stock prices by 2, but multiply volume by 2. WL's Y! Provider was dividing volume by the split factor instead of multiplying. (Look for a fix in v2016.04.)

Also, as I mentioned Wealth-Data uses splits to adjust for corporate dilutions. Other providers may completely ignore adjustments for spinoffs and mergers, leaving "cliff" in the data. In the case of spinoffs (e.g. ABT -> ABBV), we think it is correct to adjust the volume in the normal way because it maintains the Price * Volume product (dollars traded) at the same value historically (even though that the remaining company is not actually as large as it was before the spinoff).

Anyway, thanks for checking out Wealth-Data, and if you find specific cases that you'd like to discuss, feel free to post ;)

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Panache

#22
Sorry. I've been away for awhile.

QUOTE:
I'm not sure what you're seeing for ADBE (please share)


The text file attached to #16 shows the first split is:

$Also 3:1 Split and dividend per share Non-Regular Dividend (7/5/1985) Adjustment Factor 1.107520

However, the data I downloaded has the first bar for ADBE on 1/02/1987 (one and one half year's later!)
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Cone

#23
Hi Panche. I missed seeing this.

Your file has that information, but those split and dividend data for 7/5/1985 do not exist for ADBE in Wealth-Data. Do you still see that? If so, please post the script that you used. Also, you can try refreshing Wealth-Data... Data Manager > Wealth-Data tab > Clear All Data; and then follow up with a W-D Provider update.

Re: 1987
Wealth-Data artificially limits symbol series to begin in 1987 for a couple reasons: Data prior to that date (and even until 1990 in cases) often is "visibly" lower quality, nonetheless, we wanted to include the Oct 1987 crash event where possible. Also, you have to judge how to use data for backtesting prior to NYSE decimalization in 2001. Remember, previously stocks traded in increments of 1/16 of a dollar (6.25 cents).
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Andrii

#24
I have tryed to use Wealth Data fundamental provider. I had registered on site and activated credentials in platform, updated but the list of fundamental items did not renewed with this data - I need latest and historical financial ratios for use within modelling tasks. Please let me know the proper use for this extention. Thank you very much for any idea.
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Eugene

#25
There's only two fundamental items in Wealth-Data: "Dividend (Wealth-Data)" and "Split (Wealth-Data)". That's all. We don't plan to include other financial ratios at this time.
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Eugene

#26
In an unsuitable thread, ReneW asked:


Wealth-Data-Provider works here, but I am getting a one line warning:

LLTC: Access denied: This symbol is not part of your subscription.

Whats happening here ?
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Eugene

#27
Rene,

"This symbol is not part of your subscription" is explained here:

WealthData Supported Symbols
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xramx

#28
Is there any info on employing WealthData with WLP? My searches have proved fruitless. I've read (and was impressed by) the FAQs, but clicking on the other links on the site, just take me back to WLP. Forum search only shows the 2 exchanges, neither discussing how to use ... or if it is still in "personal beta", can one join it?
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Cone

#29
Step 1. Sign up at www.wealth-data.com

Step 2. Download and install the Wealth-Data Extension. (This is not a "Fidelity Supported" extension, so you must go to the Extensions page to download the wle file to install it.)

Step 3. Open the Data Manager > Wealth-Data view > Enter your wealth-data.com credentials

Step 4. Create a new DataSet > Wealth-Data > choose option desired.
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xramx

#30
Thank you.

I missed the "Sign Up" link in the upper right corner and it went downhill from there.

Using your instructions, I downloaded using your link, saved it in a temp folder, dragged it to the Extension Manager and all was good!!!

This is a great addition to WLP. Just providing the updated index symbols will save me much time. I spent hours this past weekend on my quarterly update of the index sets I use with WLP. A few years ago there were several provides of the index constitutions ... Yahoo, WLP, ...
but most have gone away or are not kept up to date. (except for the SP 500 avail. thru wikipedia),

To have both accurate symbol sets and quotes is great ... and much appreciated. I will stress again when I converse with Fidelity how important WLP is to our continued relationship.
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Cone

#31
Thanks for your comments xramx.

Note that automatically updating symbols for an index is a "damned if you do / damned if you don't" scenario. You just have to be aware that when trading live, you could have a position in a symbol that is suddenly removed from the index! Likewise, you could get an exit Alert from a new symbol for which you don't have a position.

We're working on the S&P 500 too and have actually been tracking the new symbols and changes. The difficulty is doing the historical filtering necessary to call these symbols "Wealth-Data". I'd like to think we can get it done by year's end.