Fractional cents being rounded?

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Fractional cents being rounded?

posted Sep 12, 2017

I believe security prices below $1 are traded on the markets utilizing four decimal places, eg $0.9999

It would appear that Quantopian always uses only two decimal places. The difference between $0.5049 and $0.4950 is a whole 2% difference in price, but both are interpreted as $0.50.

Sub-dollar securities are up to 13.55M volume, which I think could find their way into a large capacity algo, so this could skew backtests for allocation funds that don't screen out sub-$1 stocks. Especially if using limit orders, orders will both look like they fill that in reality would not have, and will appear to fill at better prices than they would have. The effect of rounding is significant.

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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.