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SPY, Minute The issue starts from Aug 19th, 2015 09:01 AM; and continues until Aug 19th, 2015 09:01 AM

Ticker SPY
From 2015-08-19 09:01:00
To 2015-08-19 09:01:00
Security Type Option
Market USA
Resolution Minute
Status In progress

The first line of 20150819_spy_minute_quote_american_call_2170000_20150821 has the following value:
32460000,570000,570000,570000,570000,1000,620000,620000,620000,620000,1000
which is not in the expected range of $0.01-0.02 since the next line is
34200000,,,,,0,200,200,100,100,2793
and the last line of the previous file is
58500000,,,,,0,100,100,100,100,900

Update Backtest





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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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 Guys,

Any update on this data issue?

We found some more contracts showing the same problem. For example:

https://www.quantconnect.com/data/file/option/usa/minute/spy/20150819_quote_american.zip/20150819_spy_minute_quote_american_call_2400000_20150918.csv#p=0

Thanks,

Emilio

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Hi,

We found more examples of prices suddenly increasing massively in 2010. The contract SPY101218C00135000 between dates 2010-04-01 and 2010-04-30

https://www.quantconnect.com/data/file/option/usa/minute/spy/20100401_quote_american.zip/20100401_spy_minute_quote_american_call_1350000_20101218.csv

Thanks,

Emilio

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Please note that these issues extend to other strikes at given expiration as well, so when we clean these issues we have to check all strikes.  Thanks, David

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The 2015-08-19 issue should be resolved by now.

The April 2010 issue has to do with the mapping from root symbol to underlying (pre-OSI data). The suspect symbol is MNX; besides the price differences shown below, it appeared only in April 2010.

9081_1594243505.jpg

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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 in progress.

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Update Backtest





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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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