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Tiingo Static Provider

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What it is

This is a Wealth-Lab static and fundamental provider for free daily data from Tiingo.com. The feed makes available the data for 37,000 U.S. and Chinese (Shanghai/Shenzhen exchanges) stocks, mutual funds and ETFs.

If you're familiar with the built-in Yahoo! provider, you're going to get common with the Tiingo provider very quickly. Its features include:

  • Split and dividend history is stored locally and can be optionally applied to price data. This means that DataSet refreshes are never required in order to apply the most-recent split and dividend data.
  • Chart Annotations: "Split (Tiingo)" and "Dividend (Tiingo)".
  • Automatic data corrections for data changed on the Tiingo server (usually affects volume).
  • On-demand data requests supported.

Setting it up

Before you're able to download any data, you have to register a free account at Tiingo.com, verify it (click on link you get by email) and type in the credentials in the Data Manager's Tiingo tab that appears after installation of the extension and restarting WLP/D.

Notes:

  • Username and password are case sensitive
  • Do not use email as username. It must be the username or you get a not authorized error on data update.

Provider tab in Data Manager

Provider tab in Data Manager


  • Never perform On Demand data updates: Overrides Wealth-Lab's On demand update option so that backtests in the Strategy Window/Monitor always run quickly with cached data.
  • Perform Dividend/Split Adjustment: Data are adjusted at the moment they're passed to Wealth-Lab by the Tiingo provider so that the newest dividends are applied automatically to the price data. Note that split and dividend adjustments affect both price and volume. The dividend adjustment factor equation is 1 - dividend/close. Prices (pre-ex-date) are multiplied by the adjustment factor(s), whereas the factor becomes the divisor for volume.
    • Adjustment mode when Data Range specified: Choose "Keep" so that price and volume data are always the same, historically, even when specifying a past data range. "Ignore" is an advanced option for testing with past adjusted data without the influence of future splits or dividends that are excluded from the chart's Date Range.
      • To use the right-click bar data editor for anything besides deleting a bar in a Tiingo chart, you must apply the "Keep" option during the edit. See Data Editing below.

Working with Dividends

The Tiingo Fundamental Provider always returns split-adjusted dividends for a chart's dividend popup as well as when accessing the "Dividend (Tiingo)" fundamental item in Strategy code. While the dividend adjustment factor maintains proper percentage relationships between prices, it's possible that new dividends affect previous backtest results (trades) for some strategies. Disable "Apply dividends" in the Backtest Settings Preferences when using dividend-adjusted data for backtesting. If you don't, the dividend effect could be duplicated in the Performance results, especially for the Buy & Hold Strategy.

Data Editing

To edit bar data, open a chart and either:
  1. double-click the bar to edit, or,
  2. right-click the bar and select Edit Bar Data.

When editing Tiingo data, be aware of the Perform Dividend Adjustment selection since the chart values will reflect this adjustment. Deselect this option and refresh the chart to edit raw price and volume.

With the "Ignore splits and dividends which fall out of the range" option selected (disabled by default), only deleting bars is possible.

Issues and Limitations

  • Be patient as initial historical data backfill will take quite a time from Tiingo's server to satisfy your requests. However, daily updates are as fast as with any other data provider.
  • GetSessionOpen is not supported because data feed doesn't return today's incomplete bar data
  • In rare case you'd need to reload the fundamental items, you have to delete the TiingoFundamentalProvider folder.

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


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