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Price Normalization Mode

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Hi Quantconnect team,

I have a question about function SMA.

I need to calculate MA(100,high) of "SPY". So i used a code : _sma100 = SMA("SPY", 100, Resolution.Daily, x => ((TradeBar)x).High) in Quantconnect

After that i compare result MA(100,high) any day of Quantconnect with result MA(100,high) of tradingview. They are so different.

In QuantConnect : MA(100,high) in 02/27/2015 : 206.19795

In Tradingview : MA(100,high) in 02/27/2015 : 203.9316

I don't know why. I think they are same but not. So could you help me to explain this problem ?

Many thanks :)

Author

Update Backtest

person upvoted this people upvoted this

Dungdt

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Accepted Answer

Update Backtest

Notebook

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.

Jared Broad

STAFF ,

Welcome to QC @dungdt! TradingView only adjusts the price for the splits not dividends. This means they're displaying raw price data which doesn't factor the true value created over time. We default to fully adjusted data (dividend and splits) which means we are different when looking at historical data. We're actually about to release a way to change this behavior so you can view Raw, Adjusted or TotalReturn price! Stay tuned this feature should be public by Monday :)

Dungdt

347 ,

Yes, so when you public a way to view Raw values, please let me know. Thanks :)

Jared Broad

STAFF ,

Even TradingView adjusts for splits so they can draw continuous charts for indicators; we will be probably using the Raw values so it still won't match their prices. E.g. MSFT was $154 at its peak price in 1998.

Dungdt

347 ,

Hi, As you said this feature will be public by Monday. So now Could you tell me how can i view raw price from Quanconnect's API :)

Jared Broad

STAFF ,

Hey! Yes its done we finished it Monday ;) We haven't had a chance to update the documentation -- there is a setter on each security called SetDataNormalizationMode. This will allow you to configure how the algorithm changes the price, so you can get the price in different formats.


Securities["MSFT"].SetDataNormalizationMode(DataNormalizationMode.TotalReturn);

The options are:


DataNormalizationMode.Adjusted //Factoring in splits and dividends, default
DataNormalizationMode.SplitAdjusted // Just factoring splits, paying dividends as cash
DataNormalizationMode.TotalReturn //Adding dividends to asset price
DataNormalizationMode.Raw // Price as raw, dividends paid as cash, quantity adjusted on splits

Indicators require a continuous signal so typically other charting websites such as TradingView would use SplitAdjusted prices. You can set each security price mode individually. The QC Backtest StockPlots in the results will only be in average prices though, so the trades won't line up with the prices if you use other data scale factors. The upside of these changes: we also have two brand new events! OnData(Splits split) and OnData(Dividends dividend)! See the attached example using Microsoft data, in the university called "How do I use Total Returns Price Normalization?" This took 2 engineers for 3 days work! :) Please consider a subscription to support the open source project!

Dungdt

347 ,

Thanks for your support Jared :D

Dungdt

347 ,

When i try to used some options : Adjusted, SplitAdjusted, TotalReturn, Raw in SetDataNormalizationMode, the algorithm can not changes the price. They are have same result for the price of stock or any value (SMA, EMA...). " namespace QuantConnect { ///

/// QC University algorithm to demonstrate split and dividend events ///

public class QCUTotalReturnsAlgorithm : QCAlgorithm { ///

/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized. ///

decimal _price; DateTime reCheckDay; public override void Initialize() { SetStartDate(2015, 01, 01); //Set Start Date SetEndDate(2015, 03, 01); //Set End Date SetCash(100000); //Set Strategy Cash // Find more symbols here: http://quantconnect.com/data AddSecurity(SecurityType.Equity, "SPY", Resolution.Minute); Securities["SPY"].SetDataNormalizationMode(DataNormalizationMode.Adjusted);//or Raw } ///

/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here. ///

/// TradeBars IDictionary object with your stock data public void OnData(TradeBars data) { if (Time.ToShortDateString()=="02/27/2015"){ if (reCheckDay.Date == data.Time.Date) return; _price = data["SPY"].Close; Debug("*******************************"); Debug("_price : " + _price); Debug("*******************************"); reCheckDay = data.Time; } } } } ---> Result is : 211.2300000000000 for both two options "Adjusted" and "Raw" So where i am wrong ?

Michael Handschuh

50.5k ,

Hey dungdt! We adjust historical prices for splits and dividends as per the DataNormaliationMode selected. Have a peak at the attached project. As you move closer and close to the current time (and use a small time frame) the values will converge on today's prices. Total return will add all the dividend payments into the price of the security, so if there's no dividend payments within the selected time frame the price will (and should) match the raw price. Since no splits happen,

Synergy Trader

249 ,

Hey Quantconnect, As you said when we add command line "DataNormalizationMode.SplitAdjusted" into our code, the value return will be same with value in TradingView. But it's not. When I have try to get data price in another day with "DataNormalizationMode.SplitAdjusted", the value in Quantconnect and TradingView still different :((

Jared Broad

STAFF ,

Hi Synergy, please post your code and what you're expecting. Please also find out what normalization mode TradingView uses, so we can be sure of what you're looking for. If anything, our data is more accurate than any charting program. I'd be more concerned with external data sources. Our data is tick resolution; every single trade which has ever happened. This is far higher accuracy than any charting website.

Synergy Trader

249 ,

Hi Jared, My purpose is get the highest, lowest, close and open Price per day ( for example : GOOGL 02/10/2015) And expected result is : O (532.15) H (541) L(529.17) C(540.16) Actual result : H (529.7) L(528.88) C(529.19) Here are my code : namespace QuantConnect { /* */ public class QCUdayprice : QCAlgorithm { DateTime reCheckDay; String symbol="GOOGL"; decimal _price_high=0; decimal _price_low=10000; decimal _price_close=0; decimal _count=0; public override void Initialize() { SetStartDate(2015, 1, 1);// year/mont/day SetEndDate(DateTime.Now.Date.AddDays(-1)); SetCash(25000); AddSecurity(SecurityType.Equity, symbol, Resolution.Minute); Securities[symbol].SetDataNormalizationMode(DataNormalizationMode.SplitAdjusted); } public void OnData(TradeBars data) { if (Time.ToShortDateString()=="02/18/2015"){//mont/day/year if (_price_high < data[symbol].High){ _price_high = data[symbol].High; //Debug("_price_highest is :"+_price_high); } if (_price_low > data[symbol].Low){ _price_low = data[symbol].Low; //Debug("_price_Lowest is :"+_price_low); reCheckDay = data.Time; } _price_close = data[symbol].Close; _count++; } } public override void OnEndOfAlgorithm() { Debug("_price_highest is :"+_price_high); Debug("_price_lowest is :"+_price_low); Debug("_price_close is :"+_price_close); Debug(" Total data is :"+_count); } } }

Jared Broad

STAFF ,

I put TradingView on 6 months view so you could see 1 day at a time. I.e. Each movement of the mouse was 1 day. Then when I selected 18th Feb 2015, the prices were a perfect match to QuantConnect's values.

Synergy Trader

249 ,

Yes, The data at 18th Feb 2015 match with TradingView. But i mean the data at 02/10/2015 did not match. In my code please fix : if (Time.ToShortDateString()=="02/18/2015") --> if (Time.ToShortDateString()=="02/10/2015"){//mont/day/year

Jared Broad

STAFF ,

Thanks for reporting, there was one day missing. Its being re-uploaded now for all symbols. We're making a "data scanner" to automatically verify this in the future. The data-upload will be complete in about 45 minutes.

Dungdt INVESTOR

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