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Missing Stock Split Error in Quantopian Database?

Looks like there is a missed stock split for DGAZ in the database? 1 for 20 reverse split on Nov 26, 2018. The code below, run today, pulls prices that do not adjust for the split. Please let me know if I have done something wrong.

2018-11-20 00:00:00+00:00 2.775
2018-11-21 00:00:00+00:00 2.860
2018-11-23 00:00:00+00:00 2.851
2018-11-26 00:00:00+00:00 66.340
2018-11-27 00:00:00+00:00 68.380

prices_df = get_pricing('DAGZ', fields=['price'],
start_date='2018-11-20', end_date='2018-11-30',
frequency='daily')['price']

5 responses

Hmmm, if that's confirmed, this is the second reverse stocksplit @Jay has found that's not accurately reflected in the pricing dataset, which to me is a bit worrisome. One I'd let slip, but two...? Is it just a 'two-off' or indicative of some underlying problem? Personally I think this might warrant further investigation. These are just suggestions but I'd look at:

  1. Self-audit all splits and reverse splits to find and fix any others that were missed.
  2. If there were, try to find the root cause for why the splits/reverse splits were missed, and fix that.
  3. Implement some detective control that would catch anything that might still fall through the cracks. E.g. an overnight price move of > +100% or < -50% might indicate a split or reverse split not accounted for. Sure, there might be a few false positives, especially for penny stocks.

In the meantime, I'll look to create a strategy going long announced reverse splits, and short announced splits. ;)

Outside of the QTradableStocksUS() universe there are tons of data errors. I agree it wouldn't be too hard for Quantopian to catch unaccounted for splits -- any time a stock jumps or drops by an even multiple such as 5x, 10x, etc. overnight is a good start -- but since these typically occur outside of the their tradable universe, I bet they want to spend their energies on other things.

Thanks @Viridian. I didn’t realise these were outside of the QTU. I’m a lot less concerned then. Others might want it fixed though.

That's a good point about not being in the QTU. Perhaps it is not worth the effort. Thank you for noting that.

@Jay Hattler
Thank you for reporting this bug.

'SPY', 'DIA', 'QQQ', 'XLV', 'XLK', 'XLI', 'XLP', 'XLE', 'XLU', 'XLB', 'XLY', 'XLF', 'IYR' and hundreds other ETF are outside QTradableStocksUS().

This does not mean that their data should be treated as something secondary.

@Quantopian

Is DGAZ in QTU or not, the bug should be fixed, because it may have a good information to create a good signal for hundreds stocks in QTU.