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TVIX, Minute The issue starts from Dec 21st, 2012; and continues until Aug 30th, 2013

Ticker TVIX
From 2012-12-21 00:00:00
To 2013-08-30 00:00:00
Security Type Equity
Market USA
Resolution Minute
Status Waiting for Data Vendor

#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?

 

https://www.quantconnect.com/data/tree/equity/usa/minute/tvix
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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.


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.

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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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