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Why there is a big price gap on 2017-07-18 by SDS?

As I do the back testing I happen to find out there is a very big price gap by SDS on 2017-07-18.

But this doesn't happen by Notebook.

3 responses

There was a 4:1 reverse stock split for SDS effective on market open 7/17/2017. See http://www.proshares.com/news/2017-6-27.html

Thanks Dan. I've also reported to Q and they would solve this forgot reverse split.

Prices (and associated volumes) are identical between an algorithm (the IDE) and research (the notebooks). The one difference however is the 'as of' split and dividend adjustment dates. This is what accounts for any apparent differences between the two. They are the same just maybe 'adjusted' to different 'as of' dates.

Algorithms (the IDE) always 'see' the actual data as of the current algorithm date with all previous dates split adjusted to that current date. The research environment (notebooks) prices, when using the the 'get_pricing' method, are adjusted as of the end date of 'get_pricing'. So, unless that end date is the same as the current date in an algorithm, the prices may appear different.

Take a look at this post https://www.quantopian.com/posts/help-notebook-vs-algorithm. @Jamie McCorriston has a good explanation in his post towards the end.