Yahoo data inconsistent and extra bars since the beginning of 2017
Author: AgentFF
Creation Date: 1/11/2017 7:07 PM
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AgentFF

#1
Hello there,

as this is my first post in this forum and I'm not sure if anyone else has openend a thread treating the same issue, so please be lenient with me. And just in case, please refer to the other issue if already existing.

Since the change from 2016 to 2017 I realized that there is quite a bit of inconsistency in the daily updates for the historical Yahoo Data.
Either I get no data for the previous day (i. e. yesterday) or there are more than one new bars added. Both situations disturb my way of updating my daily data and generating new signals.
Today in the morning at about 5am (at UTC) there was no new data available. At about 4:30pm (at UTC) there was a new bar for the date of today (01/11/2017). That doesn 't make sense to me as the NYSE was still open at that time.

The time (as above) transfers to about:

5:00 am UTC = 9:00 pm Pacific Time or 11:00 pm Central Time (01/10/2017).

4:30 pm UTC = 8:30 am Pacific Time or 10:30 am Central Time (same day).

Does anyone of you know if there was a change of the update times for the Yahoo Servers recently? Or has the Yahoo server been moved to a different location (or another timezone)? As far as I know it is located in Chicago, Illinois.

Any help/idea to solve this issue is highly appreciated.

btw.: I'm using WL Developer (64 bit) Version 6.9.15 with Yahoo Extension 01.2017

Many thanks in advance.

Florian
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Eugene

#2
Hello,

Why not use Wealth-Data or, if some symbols aren't covered, use a different data provider?

QUOTE:
Today in the morning at about 5am (at UTC) there was no new data available.

Sometimes this happens for some customers whereas for others the data may be available if they're hitting different Y! servers.

QUOTE:
At about 4:30pm (at UTC) there was a new bar for the date of today (01/11/2017).

It makes good sense if "Always return data with partial bar" is activated on the Data Manager's "Yahoo! data" tab. Is it in your case?
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AgentFF

#3
Hi Eugene,

thank you for your fast response!

Well, I tried Wealth-Data. For some reason, the signals my strategies generate vary from those with Yahoo when using Wealth-Data instead.
I'll try to find some time to run a couple of backtests to see if my strategies would work with W-D too.

For sure, but what could be the reason for receiving EOD data for 01/11/2017 at about 10:30 am Central Time? As far as I know at this time the market is open for about 2hrs. So it can't be EOD data for US stocks.
I guess receiving data for the current day too early means some kind of 'fake' intraday data or temporary data... However this is would be useless for me.

Btw: Is it possible to use intraday data feeds with Wealth-Lab?

I tried "Always return data with partial bar" being activated and being deactivated. I couldn't see any difference.

thanks,

Florian
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Eugene

#4
QUOTE:
Well, I tried Wealth-Data. For some reason, the signals my strategies generate vary from those with Yahoo when using Wealth-Data instead.

This is OK because Wealth-Data can and will differ from Y! data which is not as clean and less reliable.

QUOTE:
For sure, but what could be the reason for receiving EOD data for 01/11/2017 at about 10:30 am Central Time?

If it's not a Yahoo data glitch, this must be "Always return data with partial bar" working.

QUOTE:
I tried "Always return data with partial bar" being activated and being deactivated. I couldn't see any difference.

Just try it during market hours to see the difference. Although it's mentioned in the Wealth-Lab User Guide (Help menu), this option lets you see today's partial (incomplete) bar on the chart and have it corrected (updated) on each update.

QUOTE:
Btw: Is it possible to use intraday data feeds with Wealth-Lab?

Sure - IQFeed, for example.
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AgentFF

#5
Hi Eugene,

again thank you for your fast and detailed response!

It's good to know that Wealth-Data is more reliable. I wasn't aware of that. Since a few days have passed, the Y! Data seems to be ok again. So eventually it was just a data glitch. For that reason this post can be closed on admins choice.

Anyway, I guess it makes sense to switch to Wealth-Data and eventually use Y! as a backup solution.


thanks,

Florian