Problem downloading investment transactions from Fidelity

Sometime this month after downloading transactions from a Fidelity brokerage account, I got the message that the online share balance for an investment did not match my quicken share balance. I compared activity and found that one buy transaction was not downloading. I manually recorded this buy transaction, and all is fine. Until I do the next download. Once again, this transaction is deleted. Why is Fidelity missing this one transaction in it's downloaded activity? How do I record it so it does not get deleted?
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