MFD static/streaming data provider

Modified on 2019/05/30 10:59 by Eugene — Categorized as: Providers

What is it

This is a static and streaming provider for Wealth-Lab Developer that downloads free intraday and daily historical price data provided by Russian company "MFD". It covers all Russian exchanges and a number of world indices, futures and currency pairs (Forex). Historical data downloads are multithreaded and fast.

Setting up

It's required for the MFD provider provider to work that you download classification groups. When creating the very first DataSet, you'll be prompted to do it:

Classification not found

Classification groups

Currently, MFD offers historical data broken in 25 supported groups ranging from Russian markets to world indices. Classification will be downloaded from MFD's site and stored in your AppData folder. Once classificiation is saved locally you can create new DataSets by selecting symbols from the various groups:

Create a DataSet

At any time you can refresh the classification groups by loading the "Create dataset" dialog box and clicking "Refresh". This step is helpful when the data vendor adds new symbols or removes dead entries.

You can select all instruments from a market group by double clicking on its title. To remove a range of instruments, click on the first one in the right pane and press Shift-Home (from here to the beginning) or Shift-End (from here to the end), or click with Shift or Ctrl pressed (multiple selection) etc.

Streaming data

Provider supports free Streaming intraday and daily data. To enable, open the Wealth-Lab's Preferences dialog > "Streaming Data" and tick the "MFD Streaming Provider".

To conserve bandwidth and reduce server load, partial bars are updated once every 10 seconds for snapshot quotes.

Weekend bars

MFD data may include data on weekends. Sometimes this is correct and sometimes totally wrong. For example, it's correct for Russian stocks and bonds because from time to time these markets may trade on Saturdays (the so called "Black Saturdays"). And cryptocurrencies just trade every day. For mostly all the rest, the weekend bars are plain wrong and are probably caused by timezone offset (by the time a U.S. exchange closes for the weekend it's already Satruday in Moscow).

You can control how the provider handles this in the "Create New DataSet" on a per DataSet basis. "Keep weekend bars" is disabled by default, effectively merging the fake Saturday trading with the preceding Friday bar and then deleting the weekend bar. Check this box for all Russian markets (RTS, FORTS, MOEX, SPFB) and cryptocurrencies to preserve the bars as is. Keep it disabled for everything else like ADRs, Forex currencies, international indices, global futures and commodities.

Partial bar

Although the partial bar isn't included in MFD's Daily data, some users prefer seeing today's incomplete bar. To enable it on a per DataSet basis, check that option in "Create New DataSet". It will add today's "ghost bar" to the data in Daily DataSets (only).

Note: there will be no partial bar during on demand data update, Strategy Monitor operation or "Reload chart history".

Usage notes

Important! Across the market groups there are symbols with identical names e.g. GAZP traded on RTS and GAZP as a FORTS futures contract. By design, it's not possible to keep multiple symbols with identical names. When updating, their data may get mixed up and broken. Do not include more than one non-unique symbol across your DataSets! There is no workaround for this.
Since this provider is catered to Russian-speaking customers, having Russian locale enabled in your operating system is an absolute must to view the stock symbol names in a correct fashion.
The provider can be installed and used in Wealth-Lab Developer only.
When manually editing a DataSet, make sure you wrap symbols with a space in double quotes! e.g. "Company Ltd", NOT Company Ltd. Otherwise you'll get an exception.

Limitations

Intraday data is delayed. Daily data doesn't include the partial bar for today.
"Keep weekend bars" is ignored when doing a "Reload chart history", making on demand requests etc.
The intraday historical data is limited to 1 Year by the data vendor (regardless of bar scale)
Tick data is not supported at the moment by the provider
Paper Trading is not supported
Provider does not have the means to adjust for splits and dividends. To maintain your data in good shape, either perform splits manually or reload the DataSet from scratch using the Data Tool's "Remove all data" feature and then updating the DataSet.
Running multiple Strategies using MFD data in the Strategy Monitor is not recommended since doing this may result in incorrect data.