First, Happy Thanksgiving everyone.

My price data is wrong! For Instance, it tells me to buy FAZ at 19.79 on 11/24/09 at 10:14 am but FAZ was 19.56-19.58 at that time?

What's going on here? Lots of other examples of where the price is wrong.

Thanks for your help in advance.

Known problem: Same code, Same Preferences, Same conservative pos-sizing, 3 different PCs, data errors on 2 PCs

Solution: (scroll down to I have a problem with Fidelity data.

So the solution is to call Fidelity? :)

I guess it doesn't really matter if it will use the same concept on Live quotes to place orders? Does Fidelity have problems with live intra-day quotes as well?

QUOTE:
So the solution is to call Fidelity? :)

Right.

Since it's being asked here I don't know (why) so many times, we decided to put this in the FAQ. ;)

Real-time and static data are two somewhat different animals.

Not sure if this connected by I was told by FMR the problem appears to rest with the socket feeds from their data feed(Reuters). Someone (high up in FMR/Merrimack) told me they are beta testing a new feed that they will move to sometime early next year but don't quote me...

Thank you.

I can verify problems with intraday Fidelity ETF data. Fidelity has been fairly unresponsive in correcting or informing me about this problem.

I had been trying to backtest an intraday strategy using ETFs and had noted gaps in my data. I have tried to resolve this problem with Fidelity but have been unsuccessful. They had me wipe out my data, uninstall WLP and then reinstall all of it. It didn't solve the problem. The WLP person then told me to post here. I sent a query to Eugene who explained to me that it is Fidelity's problem, that they know about it and that I had to have Fidelity fix it. I called back Fidelity and the rep said that he was looking into it. That was about 10 days ago and I haven't heard back from him since. In the mean time, I have some purchased intraday data from PI Trading that can be contained in an ASCII file which is accessible from WLP. I have tested some of it and it seems okay. Strangely, I have a colleague using WLP, who downloaded Fidelity intraday data months ago and his seems to not have some of gaps that I found in mine. I don't know at this time whether there are no problems with his data, however. I will transfer his data files and begin to test them on my computer as soon as I get a computer that can handle that mass of data.

I think users of WLP and Fidelity customers need to get Fidelity to deal with their product and serve their customers better.

QUOTE:
Strangely, I have a colleague using WLP, who downloaded Fidelity intraday data months ago and his seems to not have some of gaps that I found in mine.

Just the opposite: the problem with Fidelity data started only recently, so older downloads (e.g. your colleague) and updates are unaffected, only if you reload history chart or download some ETF for the 1st time.

It sounds like confidence in Fidelity data has been lost. We can not trust our strategy results if the data is suspect. Waiting for a feed sometime next year is too slow a response for me. I understand that is not the official response, but at the moment that sounds like the only response we have.

Currently I am using Fidelity Investments data too. I think most of us have assumed if we trade through Fidelity that we should use the Fidelity data provider. Are there any issues using other data providers? For example, if we rebuild our datasets using Yahoo Finance as the data provider, are there any issues we need to be aware of? I do notice that the symbol for indexes is different, but stock and ETF symbols should be the same.

Are there any good ways to test the data integrity of our downloaded data to rebuild our confidence in the data? I see a strategy in the Utilities folder called "Bad History Data Check". I've tried this against a few of my Fidelity datasets and they seem to be okay, but I'm using mainly daily scale datasets and the postings above seem to indicate ETF intraday data as the problem.

Just some thoughts.

After discussions outside this forum, I realized that Fidelity data may be the only method to get intraday prices. All other data providers appear to provide only prices on a daily scale.

That's not really true. You can get intraday subscriptions for MetaStock and TC2000 too. Nonetheless, very soon I think we'll finally be able to release an adapter for IQFeed static and streaming. ESignal streaming will follow in the first half of next year, though the static part will be much sooner - Januaryish.