It's harder than it sounds, but the IQFeed Provider logic could be a good start.
Rename
For references, there's some back and forth here on the issue of correcting data:
/Discussion/Please-restore-Data-Tool-in-WL7-5643
Background:
Currently, WL7 doesn't overwrite (see *Note) historical bars for Historical Providers that derive from DataProviderBase and "UsesPersistentStorage", i.e., caches data to local disk for use in backtesting. The idea is not to change data histories that a strategy may have used to generate signals for fear of altering those signals and missing exits.
*Note - If a stock split occurs that changes the data more than 10%, then WL7 will apply the split.
Weath-Data, however, applies corrections to historical data for special (one-time) dividends and other corporate actions like mergers and spinoffs by applying a correction as a split. Also, bars may require a correction in distant or recent history to be accurate. Generally, mergers and splits will exceed the 10% threshold, but special dividends most often do not.
Currently, WL6.9's Wealth-Data provider detects changes and automatically applies updates - stocks with corrections are indicated in the Update Log. In WL7, the only way to be sure you have all the corrections is to delete/reload all of Wealth-Data history every day.
Proposed:
Because there are two opposing camps, create an auto-correct option for updates.
/Discussion/Please-restore-Data-Tool-in-WL7-5643
Background:
Currently, WL7 doesn't overwrite (see *Note) historical bars for Historical Providers that derive from DataProviderBase and "UsesPersistentStorage", i.e., caches data to local disk for use in backtesting. The idea is not to change data histories that a strategy may have used to generate signals for fear of altering those signals and missing exits.
*Note - If a stock split occurs that changes the data more than 10%, then WL7 will apply the split.
Weath-Data, however, applies corrections to historical data for special (one-time) dividends and other corporate actions like mergers and spinoffs by applying a correction as a split. Also, bars may require a correction in distant or recent history to be accurate. Generally, mergers and splits will exceed the 10% threshold, but special dividends most often do not.
Currently, WL6.9's Wealth-Data provider detects changes and automatically applies updates - stocks with corrections are indicated in the Update Log. In WL7, the only way to be sure you have all the corrections is to delete/reload all of Wealth-Data history every day.
Proposed:
Because there are two opposing camps, create an auto-correct option for updates.
Is this Feature Request only related to Wealth-Data, or all providers that supply (at least Corrected Close) dividend adjustments, like Yahoo!?
Sure, this works for all Historical providers with their companion Event provider.
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