Origin the data? Splits and Dividend Adjustment by Thomas Dullien

Thomas Dullien INVESTOR

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Hey there,

looking at the per-second stock data, specifically at the "Open" prices, I am curious how they

are calculated. Calculating per-second deltas between stock Open prices, I get a lot of 0.98(...) cent

or 0.49(...) cent deltas. In theory, this should never happen, as the "Open" price should be the last

traded price for a given second, right?

Also, my code isn't doing much, but I regularly get the message that I am maxing out RAM. Is there

a memory leak outside of the C# code in QCAlgorithm? It seems running out of RAM during the test

is as simple as subscribing to 50 different equity / second feeds and doing nothing.

Cheers,

Thomas

Update Backtest

Thomas Dullien

Accepted Answer

Update Backtest

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Jared Broad

Hey Thomas - the data is backwards adjusted - so it includes splits and dividends. For example in reality it may have been $97.01 with splits & dividends adjusted it was multiplied by 0.98765 to give the price of $95.8119265.

We're open to making this configurable and once it is all open sourced you'll see how it all works under the surface. I don't think it will be too hard to update. The other way is for your quantity & cash to change - i.e. when split occurs quantity doubles, and when dividend is paid the portfolio cash increases.

There may be a memory leak! :) I welcome your help tracking it down!

Thomas Dullien

191 ,

Hey Jared,

ah, ok, that makes sense. If I wanted to get the "actual" price at which a security traded that
day, I'd probably wish to iterate over the tick data?

Cheers,
Thomas

Jared Broad

For right now you can't - but in theory if you could get the raw trade price without having dividends deposited as cash, or splits adjusted in quantity it would be almost meaningless since e.g. without split adjustment Apple's share price & your equity would have appeared to plummet from $700 to $100.. :|

To account for this your quantity would have been increased 7x -- so for now -- its not possible. But definitely easy to do and on the list :) Stacktraces in runtime errors will be released this evening :)

Thomas Dullien INVESTOR

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