Difficulty Running Strategies on ADRs
Author: swuzy
Creation Date: 6/3/2009 7:52 PM
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swuzy

#1
Since foreign stocks are supposed to be doing pretty good lately, I've put together several American Depositary Receipt stock lists, one a list of 250 symbols and one a list of about 371 symbols. These are daily data collected from Fidelity updates.

When I try to run various canned strategies on them, about halfway through, the strategies freeze up with similar messages:

QUOTE:
Runtime Error: Cannot convert 212506928 Bars to Daily Scale
at WealthLabPro.ChartForm.n()
at WealthLab.BarsLoader.Get (Data source ds.string symbol)
at WealthLab.BarScaleConverter.ToDailyBars(sb)


The run Strategy freezes midway, showing it "collecting data" on a symbol. So I delete that symbol, and it freezes on the next symbol. So I delete the next symbol and it freezes on the next symbol, .... etc.

Since I set up the data set as for daily bars, why should it need to try to convert any data to Daily Scale?

I understand many if not most or all ADR symbols may not have as complete information as to fundamental data, but I tried running several different strategies, and they all choked similarly.

Any ideas what might be going on?

Thanks. Below is a list of 250 ADRs:

QUOTE:
AAAGY ACTS ADHLY AESYY AFSGY AGPDY AIXG AKOA AKOB ALCRY ALTKY AMCN AMRN ANZBY APELY APSA ARCAY ARYRY ASGLY ASMI ASR ASTTY ASWAY ATAI ATS ATSMY ATV BCA BCAHY BESIY BFR BKLYY BMA BOCOY BSI BTAHY BTLCY BZLFY CCKLY CDURQ CEA CEDU CESDY CHA CHRT CISG CLVLY CMED CNTF CPKPY CPOKY CRESY CRGI CRXL CSBHY CSQSY CSRMY CSUN CTC CTEL CTOHY CTXNY CU CVGFY CXSP CYRLY DAIEY DANKY DBHMY DELTY DIPGY DMHYY DMYDY DROOY DSITY DVDCY EBCOY EDAP EDN EJ EPCYY EQSHY ETEL FLML FLY FMDAY FORTY FPAFY FUAIY FWRLY GENE GENT GFA GGAL GLS GMK GMKT GNCGY GNSYY GOL GPCB GRIN GRO GRRF GRVY GU GUORY HDVTY HEDYY HIMX HLMXY HMIN HNMEY HRAY HSVLY IBA ICABY ICLJY IHLDY IIJI ILOG INSGY IOCJY IONA IRS JDGRY JDWPY JELCY JEXYY JHX JOBS JRJC KJWNY KONG LFT LNCGY LONG LTON LVCLY MAD MAUSY MGS MLGGY MNOIY MNXBY MTE MTSX NCTY NED NICE NINE NIS NPD NPKLY NTL NTZ NVGN OBTLY OIIM OMAB PAC PRAN PSDV PSJEY PTI PTIL PTPIY PTTPY PUODY PVD PVTCY PWRD PXPL PXSL QI QPCPY RC REDF RFLXY RHAYY RNGZY RSRZY SAB SAVXY SBTLY SCPXY SCR SDNVY SHTGY SIFY SIG SILXY SIMO SINPY SKIL SKYEY SMGBY SMI SNDA SOL SOLF SPHRY SPRD SSN SSRX STTFY STV TAM TAR TCM TCN TGS TKPOY TMB TMM TMRAY TMS TNMRY TRDFF TRIB TSGTY TSL TTPA TYNLY UOLGY UVYZY VARXY VCISY VCO VIAAY VIMC VISN VIT VLGAY VNLSY VTKHY VTO WACLY WECFY WH WNS WVCM WX WZEN XFML XHFNY XIN XTLB YGE ZNH
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Eugene

#2
Let's isolate the problem.

1. It appears you have on demand updates on. Please turn them off in the Data Manager tool, then see how it goes.
2. Next, which bundled Strategy can help us reproduce the issue.
3. Then, double check that the basis scale is really daily - for it looks the dataset could be intraday.
4. Finally, take a look in Preferences-Advanced Settings: is the Data Scale checkbox enabled?
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swuzy

#3
1. Demand updates is off and was off.
2. Darvas Box; Two Bar Breakout; 3x2 System; Head and Shoulder Top; A Seven Liner; NeoMaster; DipBuyer; T2 Trend Friend; etc.
3. In Data Manager, under the Scale heading all of my data sets say "Daily" (I do not and have not use intraday data or do intraday strategies).
4. No, Data Scale checkbox is not enabled in Preferences-Advanced Settings.
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Eugene

#4
Thank you. Using WLP 5.4, so far I was unable to reproduce the problem using different data loading settings with the strategies specified. More than 100 of these symbols have no data at all (assuming Fidelity data), so you may want to rule them out anyway. Also try deleting the existing data and reloading them again (Data Manager, "Delete data for symbols that are not contained in datasets").
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swuzy

#5
I am still using WLP 5.3.

I have already done the delete data and reloaded the data, to no avail.

From Data Mgr / Fidelity Data / Action / Delete Symbols / I've deleted the null symbols and they are no longer in that list. ... However, after exiting WLP 5.3 and reloading WLP 5.3, I see that my Data Set still has the same count of symbols. I thought this process would have removed such null symbols from my Data Sets as noted in the sidebar? Maybe I need to do an update symbols to refresh them? It takes between one hour to over two hours to update my symbol lists of between 3 to 4 thousand, so I usually wait til 2 pm PST before doing so.

Tried to upgrade to WLP 5.4, but system replied Installed Version of Wealth Lab (5.3) is current.


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Eugene

#6
Re WLP 5.4: it's not yet released, I just couldn't reproduce the issue with a pre-release build.

Re: deleting null symbols -- did you hit the "Apply" button on the DataSet?
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Eugene

#7
Please create a support ticket for tracking purposes, linking to this thread.
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swuzy

#8
I completed running an update on the data sets (59 minutes). Of course being end of day sets, much as to price does not require updates, but there may have been other data to be updated.

Having already "deleted" the bad symbols, now, checking the bad symbol list, nothing is listed as bad (previously there were quite a few). However, there are still the same number of symbols in the ADR sets.

Since you said about 100 or so of the 250 ADR list are null value, is there some other way to generate a list of which symbols are of null value, for manual deletion from the Data Sets?

I do not see any "Apply" button on the DataSet at this time. I do not recall hitting any "apply" button earlier. I did have "Symbol Mgmt" turned on, and do recall hitting "Delete Symbols" which says "Deletes the data from these symbols and removes them from the data sets."

Will create support ticket for this. Thanks for your help.
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Eugene

#9
QUOTE:
I do not recall hitting any "apply" button earlier. I did have "Symbol Mgmt" turned on,

I'm not talking about Fidelity Symbol Management, rather the unified operation of modifying a DataSet. Please see the WL User Guide, Data > Data Manager > How to: Add Symbols or Modify a DataSet.
QUOTE:
However, there are still the same number of symbols in the ADR sets.

In the Data Manager tool, highlight the ADR DataSet and click "Symbol Details". Sort the list by Bars.
QUOTE:
is there some other way to generate a list of which symbols are of null value, for manual deletion from the Data Sets?

Pretty easy. In the Strategy code, check if the symbol has its bar count greater than 0 and print the symbol name to debug (or file). Run it in MSB mode, thereby collecting only the valid symbols. Copy and paste the list into a new DataSet and ditch the old one. Voila, your done.
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swuzy

#10
Well, I weeded out the null symbols as you suggested.

Now everything is working fine; the ADR data sets do run.

Thanks, I'll be cancelling the support ticket.
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