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Incorrect Data for VXX

Hi,

I am seeing incorrect data for the symbol VXX when I run algorithm in QC for following dates

1) July 28: 3:59 pm EDT one minute bar reported close of 10.72 (this should be  around 10.5x)

2) Aug 2 3:59 pm EDT one minute bar reported close of 10.00 (this should be around 10.40 )

What is the best way to confirm/deny above ?.  Can I see specific data directly on QC or whereever QC gets it from ?

I know for the fact that data are wrong as I reported above, but I don't know if source of QC data has problem or data got corrupted within lean/qc software. 

 

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Hi Desi, we've discussed this many times in the forums (most recently here) Mostly its due to a misunderstanding of how data adjustment works, the start and end times of bars, or the bad untradable ticks that are filtered out. If you have a specific question for your algorithm send information to www.quantconnect.com/support .

If you are using LEAN please post detailed information and logs to the Google Groups.

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Hi JB,

I am using both QC web and Lean in local.  Error that I reported is seen in QC web (error is significant and not in vicinity of few minute before or after).  When I was using lean locally same algorithm returned correct data on same date and time (Data source was IB live).  

Based on your response I think it must be bad tick at the minute bar close.  I saw this twice and thefore I thought of reporting this. 

Only question I have now is if user is responsible for filtering out "BAD" ticks or LEAN/QC has some sort of filter built in the engine?  If filter is there how can one update it if bad data is seen ?

Thanks,

Desi

 

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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 QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect 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. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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