Hi,

I observed the following during the 15 minute trading halt this morning
a) Running in streaming mode 1 minute intervals, WL Pro assigned OHLC values equaling 9:36 for all minutes in the trading halt interval from 9:36 to 9:51
b) I stopped the streaming run and ran the whole morning also in 1 minute intervals. So this was not a streaming up to the current minute. In this case the minutes 9:36 to 9:49 were skipped.

So in one case lost minutes were stuffed with identical values and in the other lost minutes were skipped.

Questions that come to mind:
i) Was (a) a patch provided automatically by WL Pro of by the provider (Fidelity)?
ii) Was (b) due to Fidelity or Wealth Lab Pro?

My code ran fine in both cases but this is an opportunity to learn more about WL Pro and the streaming provider (Fidelity).

Thanks!

a) It's WLP. The Fidelity streaming provider returned no change since the previous bar and so WLP built synthetic bars (O=H=L=C= C[bar-1])

b) Since no trading took place, there are no artificial bars inserted in the Fidelity static data

Smart WLP!

Hi,

Wondering if per minute Bars carry halt info.
You indicated that in stream mode WL adds identical bars to the last market bar.
I see this happening.

So WL knows market has halted (or data is not coming in).
Does WL somehow convey this information to the application?

Thanks!

Moved your post here from a new topic since it seems to be the same matter.

WL doesn't know a halt takes place, there's just no new Bars data coming in. Is this what you mean?

That is right. Thanks!
So one way to check for halt would be:
- if this bar is identical (OHLC) to the one before it must be because the market was halted.
- Very unlikely that candlestick will match to 2 decimal places.

Starting from v2020.04 (ETA end of March), the Data Tool should be able to detect such "synthetic bars" in the data. Just FYI.

I'm just coming across this now and was surprised to read about these so-called synthetic bars. Although it's up to the data adapter, generally Wealth-Lab convention is to filter zero-volume bars, after all, there is no trading activity. Do we want to repeat Friday's bar every Saturday and Sunday?

I wouldn't count on these synthetic bars to detect a trading halt. (Is there a need to detect this?) Anyway, there's a new Fidelity streaming provider in development for Wealth-Lab Pro and it may handle this "correctly" (no zero-volume bars).