bug w/ security_end_date?

Quantopian's community platform is shutting down. Please read this post for more information and download your code.

Back to Community

bug w/ security_end_date?

posted Sep 7, 2013

Quantopian folks,

According to the help docs:

security_end_date

Datetime: The date when this security stopped trading (= yesterday for securities that are trading normally, because that's the last day for which we have historical price data).

When I run the attached backtest (on 9/7/2013), I obtain (from print context.stock.security_end_date):

2013-09-04PRINT2013-09-09 05:00:00+00:00  
2013-09-05PRINT2013-09-09 05:00:00+00:00  
2013-09-06PRINT2013-09-09 05:00:00+00:00

Is this the expected output?

Thanks,

Grant

2 responses

Hi Grant,

Looks like a bug to me. I think it should be 2013-09-06.

Regards,
Ed

Jonathan Kamens

Hi Grant,

The end date we report is the one provided to us by our data vendor. I just checked the data file we got from the vendor on September 7, containing the data for September 6, and it indeed lists September 9 as the end date for SPY and many other securities. Then I checked the data file we got from the vendor on September 6, containing the data for September 5, and it lists September 6 as the end date. So the end date we're giving to your algorithm is consistent with our vendor's data, but inconsistent with our documentation.

My best guess -- and I'm saying this as a software development guy, not a finance guy -- is that securities are never delisted with less than a day's notice, so by the time the vendor does their nightly data dump, they know whether each security will be listed on the next trading day, so the end date they provide indicates that.

I'll open an issue in our internal tracking system about updating the documentation to reflect reality.

Regards,

Jonathan Kamens

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.

You've successfully submitted a support ticket.

Our support team will be in touch soon.

Need help? Contact support.

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.

About Quantopian

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.