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Why do I see differnce in Equity, Holding and Volume values if I add the following:
self.equity.SetDataNormalizationMode(DataNormalizationMode.Raw)
I bought 100 shares of SPY on the first tick and held until the end (5 days) and I see the difference in the reported values. I can see how these values are calculated in Normalized mode but can't figure out how they are calculated in Raw mode,
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Derek Melchin
Hi Sachin,
As our documentation explains, we can see differences in strategy metrics when setting the data normalization mode to Raw because “by default, equity data in QuantConnect is Split and Dividend adjusted backwards in time to give smooth continuous prices.... You can control this with the SetDataNormalizationMode() method. When data is set to Raw mode the dividends are paid as cash into your algorithm and the splits are directly applied to your holding quantity.”
I recommend reviewing our Initializing Algorithms documentation and completing our Bootcamp lessons on this topic. Both of these resources do a great job of explaining data normalization.
Best,
Derek
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.
Sachin S
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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