Why the historical datas for XIV in May 2011 are so different between those from Algorithm and Notebook?

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Why the historical datas for XIV in May 2011 are so different between those from Algorithm and Notebook?

edited

Occasionally by backtesting I found this stranger thing. See attached algo and notebook.

Here are what I get from algo:
... 2011-05-02 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 174.92
2011-05-03 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 169.85
2011-05-04 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 166.25
2011-05-05 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 164.19
2011-05-06 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 159.42
2011-05-09 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 163.25
2011-05-10 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 168.71
2011-05-11 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 174.25
2011-05-12 14:45 before_trading_start:48 INFO Original DF:
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Equity(40516 [XIV]) 171.0
...

3 responses

Here is the attached notebook.

By running the algo and notebook one can see in May 2011 the XIV prices in the range of 170. But those fro mthe notebook in the range of 17. The difference is 10x.

I guess this must be something wrong in Q's database.

The prices do differ by 10x because on June 27, 2011 there was a 10 for 1 stock split. The price of each share was reduced by 1/10 while the number of shares increased by 10x. See http://www.splithistory.com/?symbol=xiv .

The algorithm prices being printed are the actual prices as of that day of the backtest (ie the current day prices are not adjusted for any future splits). However the notebook prices using the 'get_pricing' method are split adjusted as of the end_date of the query.

Maybe take a look at this post https://www.quantopian.com/posts/help-notebook-vs-algorithm . See Jamie McCorriston's Jun 5, 2017 post towards the end for a good explanation of how 'get_pricing' and pipeline differ in handling splits.

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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.