How-To: Migrate your intraday Fidelity data to AlphaVantage

Harapa

#1

7/16/2020 4:23 PM

Here is a tip on how you can easily move your data from Fidelity folder toa new provider.
1.
Simply copy your data files (fidelity) to a data folder for the new provider.
For example I moved VXX and VXZ 5 minute data file to AlphaVintage. AlphaVintage provides free intraday (delayed till EOD) data. For 5 min you get few weeks worth of data but by this method you can have a data file with all of your historical data capable of being updated in the future.

QUOTE:
Updating DataSet AlphaVantage (Minute,5)b ...
[1] VXZ 318423 bars 7/16/2020 0 bars added 48 bars corrected
[0] VXX 318285 bars 7/16/2020 0 bars added 1090 bars corrected
Update completed (7.896 sec)

Above will work for any time frame as long as new vendor is using the same symbol.

Disclaimer: AlphaVintage updating is a little spooky. I could reliably get update in batches of maximum of 4 symbols at 5 min resolution. I have no experience on the quality of the data.

Harapa

#2

7/16/2020 4:42 PM

2. You can use this code to rename ( if symbols don't match) the data file.

CODE:
Please log in to see this code.

Open a chart for a symbol with long history and apply this strategy. When executed, you source data will appear as a second plot and a new data file will be created in the destination folder. You can move this file to new vendor as proposed in #1.

Size:

Color:

2. You can use this code to rename ( if symbols don't match) the data file.

[code]using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute(){
			/* Create a data series  and save the resulting bars to file */

HideVolume();
			PadBars(25);
//Instruction for input data
			Bars bars = new Bars( Bars.Symbol.ToString() + "GLD", BarScale.Minute, 5);//
			Bars EQ01 = GetExternalSymbol ("MT4 (M05)", "GLD", true);//Data source will be synchronized with the main plotted data series

// Create Data series for new file
			DataSeries HO = EQ01.Open;
			DataSeries HH = EQ01.High;
			DataSeries HL = EQ01.Low;         
			DataSeries HC = EQ01.Close;
			DataSeries HV = EQ01.Volume;
    
			// Build the Bars object
			for (int bar = 1; bar &lt; Bars.Count; bar++)
			{
				bars.Add( Bars.Date[bar], HO[bar], HH[bar], HL[bar], HC[bar], HV[bar]);
			}
			string Security_Name = "GOLD ETF";//Don't know how to append the name
			// Save the re-constructed/produced Bars to disk
			string file = @"D:\WL\GLD.WL";New data file destination. You can name this file as you wish.
			bars.SaveToFile( file );
    
			// Verify by loading from disk and plotting
			Bars haBars = new Bars(Bars.SecurityName.ToString() +"SP500 ETF", BarScale.Minute,5);
			haBars.LoadFromFile( file );            
			haBars = Synchronize( haBars );
			ChartPane haPane = CreatePane(50, false, true);
			PlotSymbol(haPane, haBars, Color.DodgerBlue, Color.Red);            
		}

}
}[/code]

Open a chart for a symbol with long history and apply this strategy. When executed, you source data will appear as a second plot and a new data file will be created in the destination folder. You can move this file to new vendor as proposed in #1.

Eugene

#3

7/16/2020 4:45 PM

QUOTE:
Simply copy your data files (fidelity) to a data folder for the new provider.

While the upcoming WLP Migration Tool will preserve your strategies and data, I find this how-to a good solution. We discussed building a dummy provider to import WLP data files (think intraday) but using them to backfill another provider's (like AlphaVantage) shorter intraday historical data may become a workaround after subscribing to its service.

Thanks for sharing.

Eugene

#4

7/17/2020 6:00 AM

QUOTE:
2. You can use this code to rename ( if symbols don't match) the data file.

No need in this. There's much easier way - use the Data Tool:

CODE:
Please log in to see this code.

kelvinyip

#5

7/22/2020 8:34 PM

QUOTE:
Here's one of possible ways to do it: How-To: Migrate your intraday Fidelity data to AlphaVantage

Can method in post 110 of linked thread be applied to Fidelity Fundamental Data ?

Eugene

#6

7/22/2020 8:55 PM

No.

kelvinyip

#7

7/24/2020 10:12 PM

I have moved everything over.. thanks. looks like AlphaVantage datadownloader knows how to figure out the gap I have in Fidelity data as well and downloaded new data for me.

Eugene

#8

7/25/2020 5:18 AM

Good to hear about your success story.

akar

#9

8/9/2020 7:03 AM

Thanks Harapa for the tip. It proved really valuable.

Cone

#10

8/9/2020 12:18 PM

I suspected this was the case for IQFeed as well (and any Provider that uses the WealthLab DataStore), and I finally got around to testing it - works there too.

The only thing is that Fidelity data are split-adjusted, whereas IQFeed intraday are not. You'd have to keep up with that manually if you didn't want to apply the on-the-fly AdjustIntradayForSplit method available now in Community.Components.