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| Ticker | TVIX |
| From | 2012-12-21 00:00:00 |
| To | 2013-08-30 00:00:00 |
| Security Type | Equity |
| Market | USA |
| Resolution | Minute |
| Status | Resolved |
#Check for TVIX splits
if data.Splits.ContainsKey("TVIX"):
## Log split information
self.tvixSplit = data.Splits['TVIX']
if self.tvixSplit.Type == 0:
self.tvixSplitTrigger = 1
self.Log('TVIX stock will split next trading day. Holdings will be liquidated')
if self.tvixSplit.Type == 1:
self.Log("Split type: {0}, Split factor: {1}, Reference price: {2}".format(self.tvixSplit.Type, self.tvixSplit.SplitFactor, self.tvixSplit.ReferencePrice))
Using the above code block in my OnData() method I notice that the two reverse splits on 12/21/2012 and 8/30/2013 are not captured in my logs while all subsequent splits are. This is causing unusual backtest results on those days. Am I interpreting these results incorrectly?
JayJayD
Thank you very much, Stephen Hyer for reporting this.
The issue was confirmed and reported to our data vendor, as soon the raw data is patched I'll update this post.
QuantConnect Robot
JayJayD has marked this issue as waiting for data vendor.
QuantConnect Robot
JayJayD has marked this issue as resolved.
JayJayD
Fixed!
Â
Stephen Hyer
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