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Fills dont seem consistent with real market data

Hello,
I just ran a very specific backtest for SPY for 2 days in 2013 (July 2nd - 3rd) for which I have tick level data stored from an independent source.

On QuantConnect I managed to get fills at prices in the $158 range when the stock clearly never traded below the $161 range on those days.

What might explain this disparity?
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Hey Andres, we backwards adjust the data for splits and dividends automatically. In this case the companies in the SPY have been releasing dividends so the price is adjusted to have a lower historical value. Yahoo does the same thing for its prices so its best to compare us with them.
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Hi Jared. Thanks for the quick response. I figured it must be due to some type of adjustment. However yahoo is exactly the data I compared with and found that it was also showing around $161 price point.
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Hey Andres, Yahoo adjusted column shows the same price - $158
http://finance.yahoo.com/q/hp?s=SPY&a=05&b=29&c=2013&d=06&e=30&f=2013&g=d

This is an example of how it works: from 2013-09 backwards to 2013-06 we multiply by 0.98 to account for the dividends. And from 2013-06 back to ... multiply by the next factor. etc

Factors:
2013-06-20.........0.9754547
2013-09-19.........0.980623

Raw:..................Adjusted:
160.8600.........157.743
160.8800.........157.762
160.8700.........157.752

The alternative we considered attempting to deposit the dividends into account as cash, and adjust the quantity of stock when they split. This is a little messier though but a possibility if there's demand.
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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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