This morning, reverse splits for VXX (4 for 1) and TVIX (25 for 1) were not correctly applied in live algorithms. Last night, we didn't get the split data for VXX or TVIX. As a result, these splits were not properly applied in live algorithms.
This is an area where our live trading infrastructure isn't robust enough. We currently only have one corporate actions data vendor so when we aren't given an corporate actions event, it usually doesn't make it through to live algos for market open. This is something that's high on our list to fix.
Worth noting is that we are trading our prop account on the same infrastructure with the same data. Our interests are aligned. We need the platform to be more robust. We aren't satisfied with our system's performance and we are going to improve it.
For VXX and TVIX, we are manually adding the splits to our dataset, so live algorithms will have the correct split tomorrow.
What this means for broker-backed algorithms:
Current prices and positions for VXX and TVIX were correct for today. Trailing windows of data for VXX and TVIX (for example, from data.history) are not properly adjusted as the splits are not applied. Trailing windows will be properly adjusted tomorrow.
What this means for Quantopian paper trading (including contest) algorithms:
Prices are accurate, but share counts in algorithm portfolios were not properly adjusted. If you held a position in VXX or TVIX this morning, your performance plot probably looks like it had a big jump (up or down). Tomorrow, you should see your performance plot make the correcting change; if it jumped up today, it will jump down tomorrow and vice versa. Prices are accurate, but share counts in algorithm portfolios were not properly adjusted.