why fidelity downloads the entire stock history

Author: momop

Creation Date: 9/17/2009 2:47 PM

Wealth Lab » Data » why fidelity downloads the entire stock history

momop

9/17/2009 2:47 PM

Does anyone know why fidelity downloads the entire stock history even if the data range selected in the data manager is small ? For example, I have AAPL in the data manager and I only want the last months of 1 minute data for analysis in a spreadsheet. But it looks like it downloads all the data from 2004! Is there a way to limit the *.WL download to only the range I set in the data manager ?

Thanks
momop

Eugene

9/17/2009 3:25 PM

Let me disagree. For some good reasons, it makes great sense to download the entire history. Such as: simplification, instant availability, easier to maintain. Data Manager doesn't have an option like this by design - and I hope this will continue.

Workaround below was found by a Fidelity customer. (Thank you, Craig.)

QUOTE:
I created 1-bar WL "starter" files for each symbol containing a start date that I set. For the 5min data I'm going back to 1/5/09 and for the 1min data I'm using 6/29/09. Then when I updated the prices through Data Manager it only brought in data from those dates forward.

I used the backtest on a daily dataset with each stock symbol in order to run the attached script. Also attached is a batch script to create the letter-based folders and copy the starter files from the temp folder to the appropriate folders. It must be executed from within the 5min or 1min folder.

CODE:
Please log in to see this code.

The idea is to create a new Bars object that has zero bars and add a bar with a specified first date e.g. one month ago. Then you save it to the file. (AFAIR, we've touched LoadFromFile before so the concept shouldn't be altogether new for you.)

Next step is to place the dummy file in Wealth-Lab's data folder (assuming it wasn't Relocated), namely to:

Data\FidelityStaticProvider\1-minute\[the first letter of a stock]

You'll find the Data folder location in the Wealth-Lab User Guide, Data.

Size:

Color:

Workaround below was found by a Fidelity customer. (Thank you, Craig.)

[QUOTE]I created 1-bar WL "starter" files for each symbol containing a start date that I set. For the 5min data I'm going back to 1/5/09 and for the 1min data I'm using 6/29/09. Then when I updated the prices through Data Manager it only brought in data from those dates forward.

I used the backtest on a daily dataset with each stock symbol in order to run the attached script. Also attached is a batch script to create the letter-based folders and copy the starter files from the temp folder to the appropriate folders. It must be executed from within the 5min or 1min folder.[/QUOTE]

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;namespace WealthLab.Strategies
{
	public class RemoveLastDay : WealthScript
	{
		protected override void Execute()
		{
			string sym = Bars.Symbol;
			DateTime dt = new DateTime(2009, 1, 4);
			Bars bars = new Bars( sym, BarScale.Minute, 5 );
			bars.Add( dt, 0, 0, 0, 0, 0);
			string file = @"C:\temp\" + sym + ".WL";
			bars.SaveToFile( file );
		}
	}
}[/CODE]

Next step is to place the dummy file in Wealth-Lab's data folder (assuming it wasn't Relocated), namely to:

Data\FidelityStaticProvider\1-minute\[the first letter of a stock]

You'll find the Data folder location in the Wealth-Lab User Guide, [i]Data[/i].

momop

9/17/2009 3:33 PM

Eugene - OK. One related question, so let's say I upgrade my system and simply move the .WL file to the new system (corresponding file location), will fidelity data manager will automatically recognize what is already stored in the *.WL file and will only download the updates since ? That would be really cool.

BTW Yes, I got the LoadFromFile related code all complete. No issues there. In anycase, downloading the entire data is not a big issue. Except that the first time download will consume some time.