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Bug Specifics
Dan Hill
posted

Anyone have specifics on the recent bug. I am trying to figure out how this would have affected an algo which is heavily dependent on minute level data?

"We've found a bug in our live data. Incorrect data is returned when a history call of granularity one minute ('1m') is made on a lookback window that falls entirely within today. We are stopping real-money trading in several algorithms that might potentially be impacted.

Paper trading algorithms are also impacted by this bug but they are not being stopped; the impact of the bug for paper trading is relatively minor.

We anticipate we will be able to make a fix tonight and resume trading normally tomorrow. "

3 responses
Simon Thornington

I do not, sorry. I know one of my real money algos was stopped all day yesterday, but seems to be running again today...

Dan Dunn

The problem occurred for a specific subset of history calls. If your history call did all of these things:

  • used minute sampling ('1m')
  • had a window that was entirely within today, e.g. was 60 bars long and the market had been open for 61 minutes or more
  • was requesting data for more than one security per call

If your history call did all of these things, then the history data returned was incorrect for most securities. Specifically, one security's data was overwritten into the other securities. The bug was a part of the code changes in Quantopian 2 - April 20th. Once it was found, we had the fix out a few hours later.

We're sorry about any impact the bug had, and apologize for any frustration we caused. Also, I should have made a post myself last night, after I put up that status page update. Sorry about the delay.

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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.

Dan Hill

Thank you.

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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.