I'm still looking into this, but it seems that my algo got a wrong value for the 9/15/16 SPY close today. I get the historical values like this:
prices = data.history(context.spy, 'price', 3, '1d')
The value I apparently read was close to 214.23, but the correct value is 215.28.
Did anyone else happen to have the same experience?
Thanks!
Robert