Hey guys, thanks for reporting all of these data issues. We have a fix in progress for the mishandled splits/reverse splits with each of the following:
EEQ, GNK, HRI, BBD, PPD, BWNG, NKE, LBTY_A, LBTY_B
Richard, to clarify, the issue was the data itself (as opposed to the handling of the data). Of course, bad data has the same symptom: the big jumps in your performance plot that aren't indicative of what actually happened. To fix problems like these, we manually patch the data (usually done in batches).
Sunil, fundamental data issues are a little tricker to fix, but we will look into the issue with MX. The issue with SXCL is a little different. Because we only store a
start_date and an
end_date for each security. Because of this, there's no way to specify when a security goes in and out of trading. It's a limitation of the design that we're aware of, but don't yet have a good workaround for. If you use
data.is_stale() to determine if a price value was forward filled, you can avoid trading a security like this as it will have stale data (forward filled) when it's not trading on a major exchange.
These data issues affect us just as they do you. We're trading our own money on the same infrastructure and the same data. We also evaluate strategies for allocations on the same data. We share the interest of having accurate data and we really appreciate it when the community points out errors. We are looking into solutions to catch these data issues earlier.
Sorry for the trouble. I'm expecting the fixes to the bad splits I listed above to be up in the next week or so.
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 Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian 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.