How to tell if a price jump is a stock split?

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How to tell if a price jump is a stock split?

posted Mar 3, 2017

How to tell if a price jump is caused by a stock split or it's a real stock price jump ?
If it's a stock split, would the quantopian API automatically map all the history prices in time to reflect the split?
Right now i am using a little codes to judge if a split would fail to be caught, would that help?

if current/yesterday>1.9 or current/yesterday<0.55:  
    log.info('Data Error detacted! Break!')  
    return

4 responses

The prices are split adjusted. Although every now and then there is an error in the data or a listing/de-listing with same ticker symbol can sometimes provide inaccurate information. Just last week I found a stock ticker that went from 0.79 to 10.xx overnight. The error was caused by the second reason mentioned above. Usually these are easy to detect by just looking for big spikes or drops in algo returns.

based on what conditions threshold values of 1.9 and 0.55 are used to detect any stock split not being caught? please help me out in understanding it

Is there a better solution to get proper returns, other than checking for jumps in USEquityPricing.close.latest ? Is there perhaps a field that is reliable?

If you're using pipeline then the Returns method should always give the correct split adjusted return. There's generally no reason not to trust the data. That isn't to say there may not be some problems as noted in the first post. But, if one trades the QTradableStocks, then the data is very good.

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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.