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VX19Z12 and VX21X12, Minute The issue starts from Sep 24th, 2012 10:13 PM; and continues until Oct 8th, 2012 11:13 AM

Ticker VX19Z12 and VX21X12
From 2012-09-24 22:13:00
To 2012-10-08 11:13:00
Security Type Future
Market USA
Resolution Minute
Status Waiting for Data Vendor

I believe there might be some misprints during this period. My algorithm was short and spiked greater than +10% equity and then reversed almost all gains several times during the holding period. Sometimes the spike lasted over a period of hours. Here are the list of dates that saw equity spikes with subsequent reversals.

DatetimeIndex(['2012-09-24 22:13:00+00:00', '2012-09-24 23:59:00+00:00',
'2012-09-25 00:25:00+00:00', '2012-09-25 02:37:00+00:00',
'2012-09-25 04:49:00+00:00', '2012-09-25 07:01:00+00:00',
'2012-09-25 09:13:00+00:00', '2012-09-25 11:25:00+00:00',
'2012-09-26 22:43:00+00:00', '2012-09-26 23:59:00+00:00',
'2012-09-27 22:55:00+00:00', '2012-09-27 23:59:00+00:00',
'2012-09-28 01:07:00+00:00', '2012-09-28 03:19:00+00:00',
'2012-09-28 05:31:00+00:00', '2012-09-28 07:43:00+00:00',
'2012-09-28 09:55:00+00:00', '2012-10-08 06:49:00+00:00',
'2012-10-08 09:01:00+00:00', '2012-10-08 11:13:00+00:00'],
dtype='datetime64[ns, UTC]', name='time', freq=None)

 

The reason I believe they may be misprints is due to the following equity curve.

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Brian Christopher, this issue is confirmed, the reason is wrong values in our vendor’s raw data. It was already reported and we’re waiting for the patch.

Thank you very much for reporting it.

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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.


JayJayD has marked this issue as waiting for data vendor.

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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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