Are the daily close prices provided on the research platform the official price from the closing auction or the mid of the last trade of the day?
Thanks,
Sonesh
Good question. Quantopian daily close prices are the last market traded price of the day (not the mid but the actual transaction price). This price does NOT include the end of day auction. For this reason they differ from some sources such as Yahoo and even the posted exchange data which do include the EOD auction. The main reason Quantopian uses the last market traded price is to more accurately reflect real trades in the backtester. The only order types supported in backtesting are market or limit orders. Market-On-Close (MOC) and Limit-On-Close (LOC) orders are not supported. Those two order types however are typically the only orders which are included in the end of day auction.
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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.