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Adjusted price differences between QuantConnect and Quantopian

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?

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This is covered in the Migration from Quantopian thread top of the front page. Quantopian doesn't backward adjust prices; we do but you can change the mode here.

https://www.quantconnect.com/forum/discussion/2317/migrating-from-quantopian-to-quantconnect/p1/comment-7057
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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.


Update Backtest





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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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