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Widespread splits related data integrity issues
Andrey I
edited

There seems to be widespread splits related data integrity issues with some fundamental indicators that are computed on the per share basis. In particular, I was focusing on morningstar.valuation_ratios.forward_earning_yield and morningstar.valuation_ratios.pb_ratio. I have inspected several stocks around split dates and discovered that in all but one cases, there were forward_earning_yield and/or pb_ratio jumps a couple of days after the split. Abnormal values are consistent with the split ratio (i.e. normal values can be obtained by forward_earning_yield/split_ratio and pb_ratio*split_ratio). I hope that Q folks can fix this.

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6 responses
Dan Whitnable

I've seen the same issues. It really creates havoc with an algorithm if one is trading on these fields.

Can the data be cleaned up?

Andrey I

Nobody else cares about huge abnormal jumps in key fundamental metrics?

richard m.m

U should send this to support directly so that they put it in their list of bugs

Andrey I

Unfortunately, Quantopian requires you to share ALL notebooks with support in this case which is something I wasn't ready to do. Actually, I am quite surprised that nobody cared about it. I had another post showing that other key fundamental metrics are also way off. Got no response as well.

Luca

I believe adding tags such as "Show Q", "using data" and "seeking help" to the post might increase the chances of a Q reply.

Darth Xanther

Andrey,
I would imagine if more people used the fundamental data there would be greater outcry; believe most of the algos revolve around mean reversions and technical analysis of sorts.
You could try sending a direct email to [email protected] I have sent emails there before and received a prompt response. The problems I observed were with incorrect stock pricing of a relisted ticker symbol after having been delisted. Problem stocks include: PVAC, MXIM, ITWO, HERO and GGP. So I have an exclusion list for those stocks because of this and others that throw up errors when using fundamental analysis.
Have a good day.