Heads up - VXX will split 4:1 on August 23rd - is Quantopian engine ready?
I have VXX positions in my LiveTrading and contest algos, as I am sure a lot of others do.
Is Quantopian engine ready to properly handle this split?
If not handled properly the ensuing volatility/spikes in performance and errors in order handling may happen.
Several variables affecting algo performance metrics such as Sharpe, drawdown, leverage in contest may be affected.
Barclays has announced that it will reverse split VXX 4:1 August 23rd, 2017
DATE: AUGUST 17, 2017
SUBJECT: IPATH S&P 500 VIX SHORT-TERM FUTURES ETN - REVERSE
SPLIT
OPTION SYMBOL: VXX
NEW SYMBOL: VXX2
DATE: 08/23/17
Barclays Bank PLC has announced a 1-for-4 reverse stock split of its iPath S&P 500 VIX Short-Term Futures ETN (VXX). As a result of the reverse stock split, each VXX Share will be converted into the right to receive 0.25 (New) iPath S&P 500 VIX Short-Term Futures ETN Shares. The reverse stock split will become effective before the market open on August 23, 2017.
