from quantopian.research import prices
data = prices('IBKR', '2019-01-02', '2019-01-06')
data.head()
2019-01-02 00:00:00+00:00 55.77
2019-01-03 00:00:00+00:00 55.77
2019-01-04 00:00:00+00:00 55.77
Freq: C, Name: Equity(33807 [IBKR]), dtype: float64
https://finance.yahoo.com/quote/IBKR/
seems to be updating
Doesn't seem to have updated since Oct 3rd 2018, confirmed with yahoo finance historical prices. For an equity that is part of QTradableStocksUS seems to be too long of a time to go without an update.
Leo,
Thanks for flagging this. I dug into it a bit and the issue is coming from the fact that IBKR changed to the IEX (new exchange), which technically isn't an exchange that we support. NYS, NAS, and AMEX (now part of NYS, I believe) are the exchanges that we officially support in the US. Because of this, our software that processes pricing and volume data is not picking up data for IBKR. I've notified the team internally and fixing this will be prioritized. In the meantime, I believe IBKR dropped out of the QTU, probably due to the reported 0 volume, as you're seeing.
Sorry for the inconvenience and thanks again for bringing this to our attention.
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Thanks Jamie for the looking into the issue and the explanation. I was seeing a lot of these error messages in a backtest log starting 2018-10-08 so thought of following up.
2018-10-12 13:00 WARN Your order for 567 shares of IBKR failed to fill by the end of day and was canceled.
2018-10-15 13:00 WARN Your order for 567 shares of IBKR failed to fill by the end of day and was canceled.
Yes I have seen these too. One of my algos had traded IBKR and since a while it has been stuck in the portfolio as the Algo can not exit the position due to the reported error above.
BTW, do we know how many stocks are traded on IEX? what is the impact of that to the liquid stock universe?
Thanks
Leo,
That's an unfortunate symptom of the same problem. My guess is that your algo held a position in IBKR while it was in the QTU (makes sense) and was then unable to close the position because the volume is appearing as 0 every day since. The slippage model prevents the order from filling until there's enough volume to fill it.
Until the issue is fixed, I'd recommend holding IBKR out of future simulations. For any existing contest entries, the algorithm will hold that static position in IBKR until the data is fixed. Unfortunately, I don't have a timeline on when that will be, exactly.
Sorry for the confusing experience.
@Kamran: After doing a bit of research, it looks like IBKR is the first and (currently) only company listed on IEX.
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.
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.
