Daily volume is different in Fidelity / Yahoo data
Author: hmg2020
Creation Date: 2/5/2019 5:56 AM
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hmg2020

#1
Why is daily Volume in wealth lab fidelity data different than that shown on fidelity web? How can it be corrected to display properly?

Example: Today 2/4 AZO in wealth lab shows 108,911 while fidelity.com shows 243,032
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Eugene

#2
Turn on demand update off, highlight AZO in a Fidelity DataSet, open up a chart, right click on the AZO chart and choose "Reload chart history". Does it help? If not you might want to report your Fidelity data issue directly - as a third party we cannot fix Fidelity data. Thanks.
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Cone

#3
I don't recommend updating Fidelity EOD data before corrections are applied, i.e., 5 - 6am on the day after the market session.

Here's the old, but related discussion:
https://www.wealth-lab.com/Forum/Posts/Fidelity-Static-Provider-Data-Corrections-32260

If you trade S&P 500 or Nasdaq 100 stocks, I recommend using Wealth-Data. If you haven't installed the extension for W-D, get it here: https://www.wealth-lab.com/Extensions/Details/59
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hmg2020

#4
Thank you Eugene and cone...The main issue is intraday...
I can get the correct 60 day average (double Vo15SUM = Sum.Series( Volume,60)[Bars.Count-1];) when I enable STREAM,
On the other hand, intraday VOLUME (double Vo1 = Volume[Bars.Count-1];) does not work, I get yestarday's volume if STREAM is enabled.
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Eugene

#5
If you expect intraday volume to match daily it's not true. And the partial bar's volume (incomplete bar) doesn't apply to Strategy processing. You'll see today's volume when it's available (i.e. after close, and preferably tomorrow as Cone suggests). Otherwise please clarify your issue in more detail. I have a feeling that you mix different issues.
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Cone

#6
I have the same feeling. Volume[Bars.Count-1] would only give yesterday's volume for the last intraday bar in a streaming intraday chart before the first intraday bar is completed in the next session. Maybe you're doing multi-timeframe analysis and haven't synchronized the DataSeries? Let us know what intraday scale you're using and please post an example of the code with comments about what you expect it to do.
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hmg2020

#7
Correct, I am using multi-timeframe during the day, but even after market closes I get a different volume when Stream is enabled... See attached pics, one with Stream ON (3,416,886) and the other without (2,892,724)... After market closes shouldn't I get the same for both? During the day I use different time frames and also the daily time frame... How can I get the correct daily volume during market open with stream ON or OFF and post/display the number on the chart panel?
CODE:
Please log in to see this code.
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Eugene

#8
The Close price is also different, not just the Volume. According to Fidelity website the Close is also 123.98 but the Volume is 3,420,126. Don't quote me on that but it looks like the Fidelity Streaming provider may be using a different source. Anyway, corrections may be applied up to 5-6 am as Cone suggested above. Even the volume in Yahoo data may get corrected later. So it may not be a too precise approach to compare the two sources that early.

Please avoid PDF for posting screenshots and/or error messages. If it's a modal Windows error dialog, you could strike Ctrl-C to copy the underlying error message and Ctrl-V to paste it when replying (a standard Windows shortcut). Please only attach text as text (TXT) and images as images (PNG preferred, MS Paint which is built in any Windows will do it). Thank you for your understanding.
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Cone

#9
QUOTE:
avoid PDF
That said, this pdf had images with very good resolution! :)

QUOTE:
Fidelity Streaming provider may be using a different source
Sorry for quoting :P but the answer is yes and no. The historical part of the data is the same for a streaming chart, but when streaming is activated, it continues to build the ghost bar which is initialized with the partial bar data. During the day, you'd expect the prices and volume to match unless the tick filter had been applied to some trades.

QUOTE:
After market closes shouldn't I get the same for both?
We're looking at the EOD data, so in this case, I would not expect the difference that we're seeing. However...

Note that the official close/settle price is 123.98 - a 50K block trade that occurred at 16:00:40. It's interesting that the streaming feed picks up that settled price. The static, non-streaming chart would be corrected the next morning after an update . If you updated the data before 5am the next morning, then it wouldn't be corrected until the following update as we described in the old link above.

Also, the settled/corrected volume is 3,420,126 in the static chart (I'm talking about my Fidelity chart today). This is more in line with the Streaming data.

In conclusion:
As I've stressed before, don't update or use Fidelity EOD data before 5am the next day. If you do, it may change with corrections.
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