Bogus data for the period 4/16/2009 - 3/4/2010. See attached test.
2009-04-15 PRINT GGP 0.801761147538 54506
2010-03-05 PRINT GGP 10.6387536885 2370
Thanks!
Rob
Bad Data for Symbol GGP from 4/16/2009 - 3/4/2010
Hi Rob,
I did some digging, and it looks like GGP filed for bankruptcy and was suspended from being traded on the NYSE on April 16, 2009, and then was traded as an OTC stock until March 3, 2010 when it began trading on the NYSE again. Here are 2 relevant articles that explain the story:
Bankruptcy: http://www.costar.com/News/Article/Updated-General-Growth-Properties-Files-for-Bankruptcy-Protection/111481
Trading on NYSE again: http://www.streetinsider.com/Corporate+News/General+Growth+Properties+(GGWPQ)+Moving+Back+To+NYSE+Under+Symbol+GGP+on+35/5397795.html
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
Thanks Jamie! That makes total sense. I added some more print debug and you can see now that during that range the price/volumes are all bogus:
...
2009-04-15 PRINT GGP 0.770924180325 86577
2009-04-15 PRINT GGP 0.770924180325 176776
2009-04-16 PRINT GGP 0.770924180325 176776 <---- Notice that this just repeats during the missing period
2009-04-16 PRINT GGP 0.770924180325 176776
2009-04-16 PRINT GGP 0.770924180325 176776
2009-04-16 PRINT GGP 0.770924180325 176776
2009-04-16 PRINT GGP 0.770924180325 176776
...
Any idea on how I might be able to test for this condition in the code to know to not try to trade it during that time range? I used set_universe with a DollarVolumeUniverse and it was returned as a valid security (in data[]). As the additional print debug shows it even has non-zero price and volume figures. How would I know that I can't trade it on 4/16/2009 for example? If not, then perhaps the data needs to be manually adjusted to remove these days (of bogus entries) from the data set?
Hi Rob,
When there is no data for a given bar, we forward fill the price/volume info from the last bar with a value. Along with this, there is a datetime field called 'dt'. You can check the datetime of the bar you are on against the dt value in data to determine if the data is from the current bar, or forward filled. Here's a backtest that prints out the relevant info.
Disclaimer
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.