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Q2: using as is prices vs adjusted prices issue
Steve Grayson
posted

From the Q2 documentation:
"The algorithm gets all prices in the as-traded form during simulation. When orders are placed, the fill price, slippage, and commissions are calculated using the as-traded price. Slippage and commissions are now applied correctly, without distortion. Backtests are now reproducible over time."

What happens if you buy a stock before it splits, and the trade remains open until after the split? Eg, I buy xyz at $100/share, and after the split sell it for $55/share. Does Q automatically update the fill price?

2 responses
Grant Kiehne

Hi Steve,

Note that all open orders are automatically cancelled after the close every day, when backtesting (and live trading). So if I'm thinking about this correctly, there is no way for an order to remain open across a split, since the split would be applied after the open order was automatically cancelled.

Grant

Dan Dunn

Grant is correct that an order can't be open overnight in Quantopian, so that particular question is moot.

You implied a different scenario where you buy at $100/share, and then there is a split, and then you sell at $55/share. All of those common operations are handled properly; the split is applied to the prices and volumes. Expanding your example, you can buy 100 shares at $100, and then you'd be selling 200 shares at $55.

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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.