Price from data.history function doesn't match

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Price from data.history function doesn't match

posted Jun 24, 2019

API Seeking Help Getting Started Pipeline numpy/pandas

Hello I was building an algorithm based on simple average and trying to validate the price.
The data below is from the log, it shows the current price and the price 5 days ago. For instance, the price on 2018-09-24 is
52.47, but when I used the data.history function to find the price of 5 days ago on 2018-10-01(5 trading days later) and it has become 52.446.

2018-09-24 12:59 record_vars:189 INFO Current Price: 52.47 5 Days Ago:51.865
2018-09-25 12:59 record_vars:189 INFO Current Price: 52.725 5 Days Ago:52.135
2018-09-26 12:59 record_vars:189 INFO Current Price: 52.485 5 Days Ago:52.441
2018-09-27 12:59 record_vars:189 INFO Current Price: 52.46 5 Days Ago:52.486
2018-09-28 12:59 record_vars:189 INFO Current Price: 52.03 5 Days Ago:52.178
2018-10-01 12:59 record_vars:189 INFO Current Price: 52.18 5 Days Ago:52.446
2018-10-02 12:59 record_vars:189 INFO Current Price: 51.78 5 Days Ago:52.48
2018-10-03 12:59 record_vars:189 INFO Current Price: 51.635 5 Days Ago:52.42
2018-10-04 12:59 record_vars:189 INFO Current Price: 50.88 5 Days Ago:52.05
2018-10-05 12:59 record_vars:189 INFO Current Price: 50.62 5 Days Ago:52.16
2018-10-08 12:59 record_vars:189 INFO Current Price: 50.46 5 Days Ago:51.79
2018-10-09 12:59 record_vars:189 INFO Current Price: 50.316 5 Days Ago:51.64
2018-10-10 12:59 record_vars:189 INFO Current Price: 49.09 5 Days Ago:50.89
2018-10-11 12:59 record_vars:189 INFO Current Price: 48.53 5 Days Ago:50.64

Here's the code I used:

context.world = data.history(sid(33486) ,fields="price", bar_count=180, frequency="1d")  
log.info("Current Price: %s 5 Days Ago:%s"%(context.world[-1],context.world[-5]))

And the schedule function:

schedule_function(func=record_vars, date_rule=date_rules.every_day(),  
                                         time_rule=time_rules.market_close(hours=0,minutes=1),  
                                         half_days=True)

2 responses

Niccola Tartaglia

Check out the last few comments in this post, similar problem:

https://www.quantopian.com/posts/incorrect-pricing-on-quantopian

Thanks Niccola. I noticed that you were talking the get_pricing in quantopian research and it returns the adj price when querying the historical price but it returns current prices for that time period as of today. Does it apply to the data.history in the quantopian algorithm? If it's the case, do you know any function that returns the adj prices consistently even for the current prices?

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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.