Fidelity Static Provider Data Corrections
Author: Cone
Creation Date: 1/25/2012 6:43 AM
profile picture

Cone

#1
Here's a great example of the effect of corrections in Fidelity EOD data. Refer to the image:



What happens is that all that post market activity is part of the trading activity for the daily bar (image left). Corrections are not applied until the early morning hours (image right). Although I don't know all the details of what actually goes into to the corrections, it's clear that the corrections filter the activity after the 4pm close.

The problem is that if you update WLPro during the evening without corrections, you won't be able to obtain the corrections until after the close of the following session. That's because once the Fidelity Provider thinks its EOD data is up-to-date, it doesn't try to update it again until the next session.

My current recommendation would be to avoid updating Fidelity EOD data until 6am the following day so that corrections are applied during the first update. Otherwise if you run a strategy on data that changes from one day to the next, you risk getting trading signals that appear one day, but disappear the next.

(If you need to correct AAPL for today, just right click and reload the chart.)
profile picture

Eugene

#2
QUOTE:
That's because once the Fidelity Provider thinks its EOD data is up-to-date, it doesn't try to update it again until the next session.

...but it can be forced to update (and to grab latest corrections) by truncating the last bar before updating.
profile picture

Cone

#3
Thanks for that, it's a good stop-gap measure until the Fidelity Provider EOD update behavior is changed.