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Different data between get_pricing in notebook and data.history in algo
Matt
posted
Seeking Help

Hi all, very new to algorithmic trading/python/etc., so go easy on me :)

Basically I'm trying to make data from my algo match what I'm seeing in my notebook, if possible.

For example, in my notebook, I'm retrieving intraday prices using:

prices = get_pricing(symbol, fields='price', start_date=END_DATE, end_date=END_DATE, frequency='minute').dropna()

In my algo I'm using:

price = data.history(security, fields="price", bar_count=1440, frequency='1m')

But I'm getting different results. I've read a few forum threads about similar issues, but I couldn't find a solution to my problem.

3 responses
Dan Whitnable

Hmm. Maybe I've misunderstood your question?

I used the lines of code you had for a notebook and then for an algorithm. I got identical data returned for each. Attached is a notebook which gives the prices returned by the 'get_pricing' method. I'll post an algorithm next which get's the same data using the 'data.history' method. At least for AAPL on 2017-12-19 the prices match perfectly. I didn't look at a lot of other dates or securities, but they seem to match in this small sample?

Perhaps give an example of where a difference is seen.

Dan Whitnable

Here is an algorithm using the 'data.history' method to get the same data. Check the logs which print the last 20 prices.

Matt

Hi Dan, Yeah I think I had brain fart with that. I was comparing results from a linear regression (forgot to explain that) on static price data from get_pricing and rolling price data from data.history, expecting the same results. At least I think that was the problem. Thanks for your help!

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