Fidelity Streaming intraday Volume data for .SPX is different on clicking Go button
Author: edwkelly
Creation Date: 4/14/2018 10:27 PM
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edwkelly

#1
I am having a problem when streaming and running .SPX (not sure about other indexes) intraday as the last bar volume data is incorrect. This is forcing me to reload (go button) often to get the correct volume. I'm not getting this for symbols or the SPY etf. I've tried to work around it with no luck, My version is 6.9.19.0 and I did an uninstall on the previous version prior to install. Thanks
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Eugene

#2
1. How did you determine that the volume data was incorrect? Have you taken screenshots to illustrate it?
2. Have you already contacted Fidelity on this and what was their response? (Fidelity data is not our i.e. MS123 LLC business).
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edwkelly

#3
Attached is a pic of the issue which is easy to reproduce.

New Chart -> SPX at 5min -> flyover volume at 5min -> refresh at 6min flyover -> volumes different for same time

Please confirm you still think this is Fidelity's issue.

Thanks

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Eugene

#4
Does this mean that the last bar's volume for .SPX is "stuck" (i.e. won't update) until you hit "Go"? Please clarify.

Have you made sure your PC clock is correct?

When has the problem started?
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edwkelly

#5
Flyover just means mouse over. All i meant was wait until the 5min scale elapsed, read the volume, wait 1 min then refresh (go button) and re-read the last 5min bar's volume as shown in the png.

QUOTE:
"Does this mean that the last bar's volume for .SPX is "stuck" (i.e. won't update) until you hit "Go"? Please clarify". -
If you mean the last bar's volume is stuck at the wrong value and wont update until "Go" then Yes this is what happening.My clock is correctly set to Arizona time.

Not sure when I first noticed it since I use volume in a different way than just reading a volume pane. When i did notice it (1 week ago) I updated WLP to 6.9.19.0 with no change.

Sorry but i don't have any more info than this.
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Eugene

#6
This may be related to a bar-update problem in WLP 6.9.19 which was reported by other customers:

Fidelity static data stops getting updated automatically in WLP 6.9.17

May be not. Sorry, at the moment I don't really have more to suggest as I don't work with Fidelity WLP.
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KGo

#7
The behavior described where the data changes when pressing Go or run is consistent with my past observations. I have experienced streaming strategy charts maintaining data and adding the next bar throughout the day when new charts on the same symbol show different data or have become severely corrupted.

Index data I suspect is more often restated than ETF or stock data because indexes reflect the data of so many stocks. What you are likely seeing is historical index restatement which will only be picked up when the strategy executes from Go or Run. IMO this is preferred streaming behavior since changing prior bars while streaming could change prior signals and not match what happened live. Changing historical data in unattended streaming is bad news so seems WL does not allow it.

Of course restatements can cause differences between backtest and live performance. Variances are likely increased using index OHLCV based indicators. However, WL seems to be working normally.

You could test by writing live streaming last bar OHLCV to a file one bar at a time and later compare it to the finalized historical Fidelity data which is not ready until the next morning. It might give a sense of how stable the data is.
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edwkelly

#8
Thanks for your input Kevin.