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View MoreArkady started the discussion Data for VXX adjusted for splits contains an error
There was a split (?) between 08/08/2008 and 09/08/2008. The data presents the 10x overnight price...
Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
I did not keep the test which demonstrated the "price jump" and will try to reproduce...
Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
It looks like a margin call and forced cover of the short position. Size of the position went from...
Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
Probably there is a bug in the algo, but I do not see it immediately.
1Security Types
1848Tradeable Dates
Arkady started the discussion Data for VXX adjusted for splits contains an error
There was a split (?) between 08/08/2008 and 09/08/2008. The data presents the 10x overnight price...
Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
Alexandre,
Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
I did not keep the test which demonstrated the "price jump" and will try to reproduce...
Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
It looks like a margin call and forced cover of the short position. Size of the position went from...
Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
Probably there is a bug in the algo, but I do not see it immediately.
Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
I disabled the margic calls model. Now I am getting "AlgorithmManager.Run(): Portfolio value...
Arkady left a comment in the discussion [Update] Margin Calls and Portfolio Modeling
Thanks
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Arkady left a comment in the discussion Data for VXX adjusted for splits contains an error
Alexandre,
7 years ago