So my question, and I apologize if this has been answered already, is why there is such a dramatic difference between the closing prices seen in the backtester (specifically in this instance HYS) and the closing prices I find from every single other data source.
Here is the data Quantopian provides in its backtester for HYS (output from History function):
10/1/15 - 93.99
9/30/15 - 94.20
9/29/15 - 94.02
9/28/15 - 94.25
9/25/15 - 95.16
Meanwhile, both historical sources and charting sources provide the same (or very near the same, within a few cents) data (Google, Yahoo, FinViz, ect.):
10/1/15 - 94.41
9/30/15 - 94.62
9/29/15 - 94.85
9/28/15 - 95.08
9/25/15 - 96.00
Now I understand that Quantopian determines the closing price as the price of the last trade that occurred that day for that stock on any exchange as opposed to taking the last trade of the stock on a specific (NYSE) exchange. However that simply does not explain such large differences. I'm willing to believe that on some random exchange a trade occurred that was maybe 5-10 cents away from the EOD closing price. But I find it difficult to believe that a trade occurred that was 80 cents away.
