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I can no longer find a way to add data issue, so I'm just starting regular topic.
There was a GOOG split this Monday on 7/18. For some reason adjusted data looks adjusted incorrectly, take a look at the price chart:
As you can see at the end of June price has a bump. Checking split events I see that there are actually two pairs of the same 20:1 split events, one at the end of June (I assume when it was reported) and another in the middle of July (when it was actually became effective, as reported in TradingView at least):
So I assume for some reason split was recorded twice and it has caused the issues.
Another weird thing I have noticed is that when I was first checking, I was getting even more weird prices:
but it didn't happen every time, like there are multiple databases with different data. Unfortunately I have deleted these backtests when I was trying to organize things for reporting.
P.S. Backtesting shows unrealistic 1774% returns, if you buy in June and hold.
We actually had a problem with holding.UnrealizedProfit becaming -2000% on 7/18, because we had open GOOG position in live instance. I'm not sure if this was caused by the data, or it is a separate problem.
Anyway, I hope you sort this out, this looks important.
Fred Painchaud
Hi Yuri,
If you would like to open a data issue, it is here:
https://www.quantconnect.com/data/issues/open
Fred
Martin Molinero
Hi Yuri Lopukhov !
Thanks for the report, we will fix this ASAP and let you know.
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.
Martin Molinero
Hi all,
The issue is now fixed, thanks again for the report Yuri.
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.
Yuri Lopukhov
Martin Molinero this is good, but is it possible that there will be more problems like this in the future? It doesn't seem like there is a good way to prevent this from my side and such errors may cause a lot of trouble under some circumstances.
I mean I will probably add a check for a situation when price suddenly changes x times over night, but this doesn't seem like a proper solution.
Fred Painchaud
Hi Yuri,
Since multiple data errors can happen all the time for multiple reasons, I implement multiple checks on them that run in real-time all the time.
For that one, I implemented some kind of warning if the price point is > +3 stdev or < -3 stdev from the last day (if I recall right) price mean. If I recall right again, if I get only one of those warnings, I consider the price point invalid. If I get a few close together, I consider them good, as multiple errors in prices close together is less likely (still possible). It's all about balance between actioning invalid data and not actioning real but surprising data…
With my checks (it grew to the point where I have put A LOT of work/hours on that), I get warnings all over the place on all kind of assets… “Perfect” data does not exist in my humble opinion. In fact, it kinda looks like the more markets are automated and digitized, the more errors there are, to some extent. But of course, this may not be true, it may only be because a lot MORE trading is happening, so more errors happen in absolute, but in relative, there are less…
Anyway.
Fred
Martin Molinero
Hi all,
Just wanted to clarify that we found the underlying issue in the integration to one of our data providers and it wont happen again.
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.
Yuri Lopukhov
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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