Security in history but not in data?

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Security in history but not in data?

posted

When choosing stocks from the dollar volume universe via history, my algo will error when I try to order a stock that isn't in data. I have to add a line if security in data: as a safeguard. Is this normal?

2 responses

Simon Thornington

It's normal, but very, very tedious. The fact that it is impossible to place the first trade of the day in a stock is very frustrating, if your algo runs into the issue.

There's a discussion on the help page:

https://www.quantopian.com/help#overview-checkingdata

To me, it is not exactly clear, and I think one always has to guard against encountering a stock that is tradeable (at or beyond its start_date, https://www.quantopian.com/help#api-sidinfo), but cannot be transacted via Quantopian due to the weirdness described by Simon. I think the rule is that upon introducing a stock to your algo's universe (i.e. adding it to data), you need to wait until the first trade comes along in the feed (either from the backtest database or from Nanex). Once the feed is established, the platform starts forward-filling the gaps (relative to the most frequently traded security). For a discussion, see https://www.quantopian.com/posts/thinly-traded-stocks-why-no-gaps.

Or maybe the problem only applies to the first day of trading for a given stock (its start_date)?

Either way, you have to code a guard into your algo to prevent an error.

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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.