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Q-open and "AlgorithmError: SymbolNotFound: 0048 Symbol 'SKH' was not found."
Richard Prokopyshen
posted Feb 3, 2015

This morning two of my Q-open algo entries got turned off because of the "no run-time errors" rule.

As a long time engineer/coder, I get that rule and I do my best to make sure my algos account for every situation that I can possibly anticipate. Think lots of tests for detecting "None" and "Nan" and graceful exits.

Both of my algos got "AlgorithmError: SymbolNotFound: 0048 Symbol 'SKH' was not found."

Q's great client support was on the case before dawn today and let me know of the error because I also was using that symbol in an Interactive Brokers paper trading account algo I am testing.

I had coded symbol('SKH') - "Skilled Healthcare Group" - without doing enough due diligence to realize that effective this morning, the merger with Genesis Healthcare would take effect:

 Press Release: Genesis Healthcare Combines With Skilled Healthcare Group, Inc.

 1:37 PM ET 2/2/15 | Dow Jones  
 Genesis Healthcare Combines With Skilled Healthcare Group, Inc.

 The Combined Company Will Trade on the NYSE With a New Ticker Symbol of GEN

Needless to say, the algo passed every backtest I could throw at it and it was successfully screened by Q to enter the contest.

I dont mind the time out from q-open, but it seems to me this could be a high-risk/high-chance of disqualification for others in the q-open when mergers occur.

In a real money account, holders of SKH would continue on under terms of the merger with some type of exchange. And, in a real-money account I would just thank Q for the alert, recode and carry on.

But for the q-open, I am not sure what to suggest, so I thought I would ask the community on what should happen when a symbol you are using vanishes from Q's data feed like SKH did this morning? Today your algo breaks and you sit out. I was thinking maybe there should be a weekend maintenance period where changes could be allowed but that could easily be exploited.

Ideas?

Regards,
Richard Prokopyshen
http://quant-coder.prokopyshen.com

1 response
Jonathan Kamens
Feb 3, 2015

One of the ways to avoid this issue is to use SIDs rather than symbol names in your Quantopian algorithm code. When SKH became GEN last night, its SID was preserved, so an algorithm which referenced the equity by its SID rather than its name would have continued to function today.

But we know that's not a great answer. We provide set_symbol_lookup_date() for exactly this reason -- if you specify the symbol SKH in your algorithm, and you call set_symbol_lookup_date() with a date when SKH was a valid symbol, then your algorithm should work properly and convert SKH to the right SID regardless of whether it's still trading under that symbol. Your algorithm should work properly, but right now it doesn't. This is a deficiency of the platform, and we will fix it. When, exactly, I can't say. ;-)

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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.