I just noticed that UGAZ is not adjusted for split on Sep 9 2015. Is it just an error ?
Max, that looks like a data error. We'll get that fixed, thanks!
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We fix data issues in batches, depending on their severity, and the last one was shared here: https://www.quantopian.com/posts/bug-fix-anomalous-dividends-in-long-running-backtests
We balance data fixes with our upcoming engineering projects, and the next time we'll do a fix, we'll share it in the forums.
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This has been fixed.
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Hi Jamie,
Any thoughts on how to report data errors better? It seems that there should be a user-facing database, perhaps linked to a list accessible from within an algo and the research platform.
Grant
Hi Grant,
The best way to report data errors is either by posting in the community with a backtest highlighting the issue, or by emailing in to [email protected].
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I've noticed a few tickers like this. I believe JDST or DUST has the same issue at some point in time. I may have seen it in DWTI or UWTI at some point as well.
Hello Jamie,
I was not talking about user reporting. I meant that Quantopian should consider a consolidated means of reporting all of the various data errors that you collect, and making it so that they could be avoided conveniently in algos.
@Eric: UWTI recently had a bad split fixed. I'll have a look into JDST and DUST.
@Grant: Thanks for the request. If I'm being honest, I don't think it's something that will surface to the top of the priority list in the near future. We simply have many other features that we would rather build. You might find it useful to start a thread to keep track of them or something to that effect.
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@Jamie,
Well, my thought is that it could be as simple as adding symbols to something like
security_lists.data_errors. Then, on the forum, you could simply report add/drops to the list. And the list could be used in algos (although I'm not sure if such a list would be compatible within pipeline?).
Seems like a trivial bit of coding, since you already have security_lists.leveraged_etf_list. Then it is a matter of keeping the list up to date. Since you already have a list, presumably, again, it seems trivial, but maybe I'm missing something?
Grant
Jamie McCorriston,
What I see from attached backtest :
Returns are adjusted but not prices.
Missing 1:5 split price adjustment.
What about this:
https://www.quantopian.com/help#overview-datasources:
When your algorithm calls for historical price or volume data, it is adjusted for splits, mergers, and dividends as of the current simulation date. In other words, if your algorithm asks for a historical window of prices, and there is a split in the middle of that window, the first part of that window will be adjusted for the split. This adjstment is done so that your algorithm can do meaningful calculations using the values in the window.
Vladimir,
There is currently a bug where the split adjustments are not properly applied in data.history on the first day after a split occurs. This is leading to the 1 day lag between ma and the other two series in your example. We are currently working on a fix for the issue and I was told that it was just merged to our staging server, so it should be ready soon. The price and price_h series are correct in your plot.
Is this what you were referring to?
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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.
Jamie,
price_h = data.history(context.asset,'price',20,'1d')[-1]
price = data.current(context.asset,'price'))
ma = data.history(context.asset,'price',20,'1d').mean()
Sep 9 price 1.67
Sep 10 price 8.29
The price and price_h series before Sep 10 are not split adjusted.
Do you see the difference between UGAZ equity which is adjusted and UGAZ prices in custom data?
Bug notwithstanding, I think part of Q2 was changing history so it only adjusted up to the point in time of the simulation. So, if there is a split on the 10th, nowadays you should expect the output of history as simulated on the 9th to differ from the output of history as simulated in the 10th.
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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.