Known Data Quality or Liquidity Issues
We are always searching for and fixing any data quality or liquidity issues that we can. Any existing, known issues are listed below along with our recommendation on how to handle this in your backtests.
If you suspect a problem with data quality or fills that is not listed below, please let us know.
Symbol | Dates | Issue | Recommendation |
|---|---|---|---|
ALL | ALL | Stock splits will not trigger early exits based on option value (profit, loss, delta, etc.) since strikes and contract names change. Any position with a split will be held to expiration. | This is on our list to possibly fix in the future, but we have no immediate plans to do so. |
SPXW | ALL | Closing prices on expiration day represent the last quote and may not be the exact settlement price. In most cases, it's just pennies off. | These small variations are not too dissimiliar from intraday quotes themselves, and the wobble back and forth will even out in the long run. |
SPXW | Feb 5 2018 | Severe market selling caused many prolonged wide bid/ask spreads | Expect some trades to miss entries or exits due to extended illiquidity |
SPXW | March 13 2020 | End of day rally caused many prolonged wide bid/ask spreads | Expect some trades to miss entries or exits due to extended illiquidity |
SPXW | June 17 2022 | Missing quotes from 10:19 AM to 11:18 AM ET | Entries and exits will be unavailable during this time range |