Request for VXX data is returning the wrong data.

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Request for VXX data is returning the wrong data.

posted Apr 17, 2015

Hello,
I am a beginner to quantopian and i have written a piece of code which logs every days high price. the code looks like this

def handle_data(context, data):  
    dat = data[symbol('VXX')]  
    high = dat.high  
    date = str(dat.datetime)[:11]  
    log.info("today's("+date+") high price is "+str(high))

I am trying to backtest it from 04-14-2010 to 04-20-2010, well the logs i am getting looks like this.

2010-04-14handle_data:11INFOtoday's(2010-04-14 ) high price is 1246.72  
2010-04-15handle_data:11INFOtoday's(2010-04-15 ) high price is 1233.92  
2010-04-16handle_data:11INFOtoday's(2010-04-16 ) high price is 1329.92  
2010-04-19handle_data:11INFOtoday's(2010-04-19 ) high price is 1309.44  
2010-04-20handle_data:11INFOtoday's(2010-04-20 ) high price is 1232.64  
End of logs.

Now the problem is that the data i am getting is not right. According to yahoo's this link the OHLC values should be in between 10-20.However my code is returning the right prices for 2015 dates. I don't know what is wrong with the data. please help me in solving this. Any help would be appreciated.
Thanks.

1 response

VXX does reverse splits at a 4:1 ratio when it closes below $25 (subject to Barclays deciding exactly when to do it). Quantopian is showing you the split adjusted price. You are looking at the non-adjusted price in Yahoo.

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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.