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What happens to an alpha once one of its components gets delisted from major exchanges onto OTC markets? Will there be an automatic substitution for the 'nearest' product or will the OTC price be used instead?
Would alphas be 'stopped' or put on hold until the author updates the alpha for an appropriate product?
Velocityshares is delisting many products in the coming days so I was wondering what to expect.
Best,
Josh
https://www.etf.com/sections/daily-etf-watch/popular-etns-delisting-july?
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Derek Melchin
Hi Josh,
When an ETN is delisted from a major exchange, LEAN automatically liquidates the position as we do not have OTC data. Assuming we have appropriate guards in the alpha model, there should be no errors raised when the delisting occurs. Refer to the attached backtest for an example which trades a now-delisted ETN, DAG. Note the backtest completes without error.
Best,
Derek Melchin
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.
Josh M
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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