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Data for VXX adjusted for splits contains an error

There was a split (?) between 08/08/2008 and 09/08/2008. The data presents the 10x overnight price jump and next day. 

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Under some circumstances this error can cause a "margin call" which impacts the test results.

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I disabled the margic calls model. Now I am getting "AlgorithmManager.Run(): Portfolio value is less than or equal to zero"

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The available VXX data starts on Jan 30th 2009, so it is odd that you are observing a price jump in 2008.
Running a buy and hold algorithm starting on Jan 30th 2009 and plotting VXX price, we cannot see a described price jump. 

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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.


Probably there is a bug in the algo, but I do not see it immediately.

In my log I see the following 

2016-08-01 15:00:00 NET=699596.7601680000000000 positionShares=-4260 price=39.92 amount=-122
2016-08-05 15:00:00 NET=704466.0001680000000000 positionShares=-4382 price=38.04 amount=-248
2016-08-08 15:00:00 NET=713898.6801680000000000 positionShares=-4630 price=37.42 amount=-140
2016-08-09 15:00:00 NET=304597.8701680000000000 positionShares=-1912 price=37.05 amount=-144
NET is Portfolio.Cash. Pay attention to the significant drop 2016-08-09Thanks you
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It looks like a margin call and forced cover of the short position. Size of the position went from -4630 shares to -1912 overnight. Is it a bad print or bad handing of the reverse split?

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I did not keep the test which demonstrated the "price jump" and will try to reproduce this problem tomorrow.

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Arkady M, we could reproduce the issue and will be working on a fix.
I will keep you updated.
Meanwhile, if you wish, you can subscribe to minute data and use consolidators to create hourly bars. 

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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.


Alexandre,

I appreciate your prompt response.

I have a workaround in place - you probably have seen it in the code. I blacklist some dates. I do not trade VXX normally. I just had one idea and wanted to check it quickly and get a sense of the historical volatility. I used this opportunity to try QuantConnect and discovered a very good product.

One unrelated question . Right now I have to wait for the backtest results for long time. Especially in the east coast night hours. If I subscribe $20/month plan can I expect reduction in the waiting time ?

 

Thank you, Arkady.

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Normally, there is no waiting time for backtests. While you were trying to run some them, QuantConnect Backtesting Server were experiencing a higher than normal load. You can check out the system status here.

Therefore you don't need to subcribe for that reason. However, if you want to support QuantConnect and get extra features, please do subcribe!

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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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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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