There will often be a discrepancy between Quantopian close prices and other sources. Quantopian uses the last traded price as the close price for a security. This is the last price at which a 'typical' order filled. It does not include final auction orders. Yahoo, and other sources, use end-of-day (EOD) prices which do include these final auction orders.
What is an 'auction'? Each exchange handles the open and close auctions a bit differently but they all are basically a modified dutch auction where a number of buyers and sellers participate at one time. This is different from the ongoing trading throughput the day where single buyers and sellers are matched. Generally these auctions only include specific order types and exclude 'market orders'. This is the main reason why Quantopian uses 'last traded' prices and excludes 'end-of-day' prices. Unless one places a Market-On-Close (MOC) or Limit-On-Close (LOC) order type, one would never actually trade at the EOD close price. The backtester and notebook environment are premised on filling 'market' and 'limit' orders and not these special MOC and LOC orders.
Here are a couple of resources to learn more about opening and closing auctions:
https://www.nyse.com/article/nyse-closing-auction-insiders-guide
https://www.investopedia.com/articles/investing/091113/auction-method-how-nyse-stock-prices-are-set.asp
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.
