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In live trading, I'm saving the price of a security using a RollingWIndow. Will previously saved values be adjusted if a stock split occurs? If not, how can these saved prices be easily adjusted?
Thanks in advance.
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Alexandre Catarino
No, previous values will not be automatically split adjusted.
Moreover, unfortunatelly, at the moment there is not price adjustment in live mode.
If you manage to create a feature that gets the splits from an alternative source, you could loop through rolling windows and apply the split factor.
Dan Whitnable
Alexandre, thank you. Could you elaborate on your statement "at the moment there is not price adjustment in live mode" Does this mean that splits are not calculated in live trading?
I was planning to use split adjusted prices and the 'History' method in live trading. My expectation is, if there were a stock split effective today, then the 'History' method would return the current actual price for today, but adjusted prices for previous days. Is that not true for live trading?
Alexandre Catarino
It means that if your algorithm is deployed and a split event occurs it won't be handled like it is in backtesting more, where quantity and prices from open orders are updated.
If you use historical data, yes, you will get past adjusted prices.
Dan Whitnable
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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