Hi there,
Attached is a 15 minute chart of Tiingo data for FET (Forum Energy Technologies) as it displays on WealthLab that shows a sub-$1.00 price for 11/6/2020 and 11/9/2020.
For comparison, here is a 15-minute data from Fidelity. The Fidelity data shows FET at above $8.00 for the entire period.
I think there are other examples of such data discrepancies.
I believe that the Tiingo data (as it is fed to WealthLab) misrepresents the actual market prices.
Izzy
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Heard from Tiingo tech support. Their data is NOT adjusted for dividends or splits. In this case, the stock had a 20:1 reverse split.
This makes it difficult for a back-test. WealthLab shows buying the stock at about 0.40 and selling it for about $8.00. Too bad it's not doable in real life.
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Wealth-Lab's Tiingo provider does not apply splits to intraday data (daily only). Something to think about for WL7.
IQFeed also does not adjusts their intraday data for splits as per its community decision. However, our provider supports split adjustment of intraday data.
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Hi Eugene,
When you say "our provider supports split adjustment of intraday data", which provider do you mean?
Thanks,
Izzy
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Bottom line - I'm looking for a Wealth-Lab data supplier that will enable intra-day backtesting (which is what the platform was designed to do).
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When you say "our provider supports split adjustment of intraday data", which provider do you mean?
I mean that recent versions of our IQFeed provider can split adjust the intraday data.
P.S. As far as I know, Tiingo's intraday data comes from the IEX exchange so it does not necessarily match the official bars.
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The issue is that IQFeed (even the most basic level) is almost $100 per month.
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Alphavantage has premium plans that start at $30 (for 30 API requests a minute). Their intraday static data becomes available next day and there's no streaming provider but for intraday backtesting it should be sufficient. BTW the data isn't from IEX and is official but you would want to check that with the vendor.
AlphaVantage static data provider
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