Back

Auctions data in Daily resolution (equities)

Hi,

are auctions data (daily open/close price should be from auction not from some random first trade) included while using Resolution.Daily (in both research and algorithm primarly for equities)?

From my investigation it seems that they are not.

If it is the case, is there any easy/recommended/fast way how to get daily bars history with auctions data? Any Example of this?

Agregation of tick data seems to be an option here, but it wil likely take forever and use too much memory on bigger universes...

This is unfortunate, because quite standard way how to construct those bars is include auctions (yahoo finance, tradingview, many paied data sources) and it just make sense for many  algoritms (in last years, close auctions has often 10%+ of all dauly volume for equities - so it's natural to use this event liquidity and price formation power..)

Quandl doesn't seem to have daily bars available for free anymore an something like yahoo isn't easily accesible at quantconnect (e.g. yfinance library or pandas_datareader)

 

Thanks.

Update Backtest







0

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 Oldrich,

With our AlgoSeek data, we use the official opening and closing prices, which is also available in Second, Minute and Hour Resolutions too, through the opening price of the first bar of the day and the closing price of the last bar of the day. In tick resolution, it would be the first tick in the Slice.Ticks object for opening and closing is the last tick in the Slice.Ticks object. All of this is true if we do not use extended market hours (extended market hours are disabled by default).

The recommended way to get these values depends on whether you use a static Universe or a Universe Selection. For a static Universe, we can use consolidators, but for a Universe Selection model, it would be best to use History.

Best,
Shile Wen

0

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 Shile,

appreciate your help.

I tried to check it, but unfortunately, I still see quite a different opening auction prices.

Bellow is snipped for getting recent daily resolution data for few well known US tickers (in research).

If you try to run this snippet and compare with basically any source of daily data (e.g. yahoo finance, Interactive brokers, ..), you will likely see the difference, especially in the opening auction (open column).

I tried to check also minute resolution, and opening auction (open column at first bar for any given day) is the same as in daily data. One other observation is that if I try to turn on extended market hours (which you advice to keep in default turned-off state), results for opening auction are the same - it doesn't change it at all.

 

 

Am I missing something? 

Would you be able to reconcile the data with any other (especially opening auction) to see if my observations are correct?

 

(One tip, maybe not related at all. But some time back I reported bug in Market on open and Market on close orders fill using backtesting engine. Bug is still in open state currently and is there from time Quantconnect started using tick data. Isn't possible that also Open/Close auction prices was somehow affected during migration process?)

 

Thanks much,

Oldrich S.

 

qb = QuantBook()
syms = ["AAPL", "MSFT", "WORK", "ZM"]
for symn in syms:
sym = qb.AddEquity(symn, Resolution.Daily)
history = qb.History(qb.Securities.Keys, 100, Resolution.Daily)
df = history.unstack(level = "symbol")

df[['open','close']].loc["2020-09-06":"2020-09-10"]

 

0

Sorry, Olrich I checked with our data engineers and we had not deployed the new auction-based bars to production yet as they got distracted on other issues. The new bars should be deployed in the next few days and we can re-check against your external sources. The comparisons we did with external sources were about a 99%+ match. Older years (pre 2012) did not reliably report their auction ticks so were less accurate. 

1

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.


Update Backtest





0

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.


Loading...

This discussion is closed