Hello,
I am attempting to rewrite an algorithm I was running in Quantopian on the Quantconnect platform. The algorithm is simple, and is more of a test, but I cannot get the results to match up, and I believe this is because the prices I am getting filled at in each algorithm are different. I have made sure to disable slippage and fees on both platforms, and I am trading the same securities at the same time. My trade prices differ by over a dollar in some cases on an ETF that is $80/share at the time of the trade (so, fairly significantly).
From Quantopian: "When your algorithm calls for historical equity price or volume data, it is adjusted for splits, mergers, and dividends as of the current simulation date."
From QuantConnect: "By default equity data in QuantConnect is Split and Dividend adjusted backwards in time to give smooth continuous prices." There are also the different options for SetDataNormalizationMode() which I have tested, but the prices still do not match up.
For example, on Jan 31 2003, I am trying to buy TLT at 3:55 ET.
On QuantConnect, I am filled at $ 49.96669347. On Quantopian, I am filled at $88.06. This seems to be an extreme example, but I am using the default SetDataNormalizationMode() on QC. As far as I know, Quantopian does not have a similar feature.
Does anyone have any ideas how QC and Quantopian differ in terms of adjusting their prices and how I might be able to have them work off of similar sets of data?