Back

TVIX incorrect split, Minute The issue starts from Jun 7th, 2018 09:30 AM; and continues until Jun 10th, 2018 10:00 AM

Ticker TVIX incorrect split
From 2018-06-07 09:30:00
To 2018-06-10 10:00:00
Security Type Equity
Market USA
Resolution Minute
Status Closed

The price did correctly show after split on 6/8/2018, but the quantity did not show correctly.

Update Backtest








JayJayD has marked this issue as in progress.

0

Confirmed, this issue has to do with the fact that June 08, 2018 split is not present in our factor files, but it's reflected in the prices.

0

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.


I'm curious when this issue will be resolved. I notice the same problem on my backtested conducted today. 9/10/2018

0

This issue was already reported to our data vendor, and we're waiting for their response.

Sadly, there is not much we can do before they fix their side.

0

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.


Wally Tung and Stephen Hyer, this issue is fixed, please check the attached backtest.

Thank you very much for reporting the issue!

0

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.


JayJayD has marked this issue as closed.

0

What is the fix here? @JayJayD

It looks like the split was gone. As oopose to recognize the split and reflect accordingly with changes of price and quantity

0


I'm sorry but I don't fully understand what you mean.

Please note that by default Lean works with adjusted prices. If you want to work with raw prices please refer to this example algorithm.

Otherwise, can you please detail the expected and actual results? That will make easier to focus on the issue to fix.

Best.

0

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.


Hi JayJayD, 

For example, I would expect:

6/7: purchased 30 stocks at $10.00

6/8: split 1 for 10

6/9: check and should expect 300 stocks at $1.00

Actual:

6/7: purchased 30 stocks at $10.00

6/8: split 1 for 10

6/9: 30 stocks at $10.00

0

Wally Tung, please check the attached backtest, is the same you shared except it explicitly asks for raw data.

The logs are:

2018-06-07 00:00:00 Launching analysis for 457044b2a1840d7ec5967f495d89ffe4 with LEAN Engine v2.4.0.0.4849
2018-06-07 10:00:00 TVIX bought 100 at $4.24
2018-06-12 10:00:00 TVIX currently holds 10 at $41.2100

Is this the expected behavior you meant?

0

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





0

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.


Loading...

This discussion is closed