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UPRO Prices in history() not split adjusted
Raghavendra Kuroodi
posted Jun 3, 2015

UPRO had a 2:1 split on May 20, 2015. If you pull up the historical prices from say May 15 to now (June 3rd) you can see the price dropping by almost 50%. Can you please take a look at this issue. I am using the function history(bar_count=20, frequency='1d', field='price') to get the history. Based on the documentation, this is supposed to produce a split adjusted history. Please take a look and let me know if there is something I am missing and if there is any other way to get adjusted close prices.

Thanks
Rag Kuroodi

8 responses
Alisa Deychman
Jun 4, 2015

Hi Rag, you're right the UPRO and QLD data isn't adjusted for the splits, it was recently brought to our attention and we're looking into it

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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.

Raghavendra Kuroodi
Jun 4, 2015

As you verify this can you check if all leveraged ETFs are affected similarly? like, SPXL, BIB, SPXU, SPXS etc. There are a lot of them. Also, in the interim, is there any way that I can access the split date or dates for these, so that I can manually adjust for this in my algorithm?

Raghavendra Kuroodi
Jun 4, 2015

Sorry, one more question. Can I use pandas to load historic prices from finance.yahoo.com (and get 'Adj Close' from there ?

Dan Dunn
Jun 4, 2015

In general, we strive to have good and accurate data for all prices and splits. As with any data source, though, there are errors. We don't have a canonical way to check all splits or all dividends on all stocks - it's a never-ending set of data.

When we find mistakes, we report them to our vendor and we fix them as we find them. All of the split adjustment is done under the hood, before it gets into the backtester. Even if we did make it available, it wouldn't help in this case - we don't have the split in our database, so we wouldn't be able to tell you about it!

Splits are the most visible errors because they result in 2X mistakes or larger. Sorry for the inconvenience.

Disclaimer

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.

zQuant Advisory
Jun 4, 2015

Raghavendra, you can download splits and dividends from Yahoo Finance

http://ichart.finance.yahoo.com/x?s=UPRO&a=00&b=2&c=1929&d=04&e=25&f=2015&g=v&y=0&z=30000

http://ichart.finance.yahoo.com/x?s=QLD&a=00&b=2&c=1929&d=04&e=25&f=2015&g=v&y=0&z=30000

Add .txt to the downloaded file

Anh Nguyen
Jun 5, 2015

@Dan: would it help if you guys cross check your data (just for splits / merge) with other data sources, like Yahoo?

Raghavendra Kuroodi
Jun 5, 2015

Thanks. One could potentially write a wrapper around the history() results to detect abrupt price changes and treat it as a split and adjust prior prices accordingly. It would probably work fine for these broad market ETFs since they do not swing wildly, in spite of the leverage. Any thoughts? Would there be any interest for such a feature?

Raghavendra Kuroodi
Jun 5, 2015

Another solution would be to allow history() to load adjusted close prices from yahoo with an additional optional parameter. Can this feature be provided? It will address the dividend issue as well and make the all the calculations consistent, with other platforms. I would like to know if enough members are interested, can this be developed?

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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.