Dear All,
Just a quick update on our progress so far, and when we hope to launch in production. As you may already know we have made a beta version available on Aug 24 2026, so closing in on one month.
Several things are pushing the release out for at least another month. Here's a few:
- Some Asian stocks have splits and dividends on the same date. We were not properly handling this and it has never been a real issue since the impact was very small in USA when it happened. We only noticed recently because in Japan some stocks have had huge splits, like 500:1, and a dividend expressed in terms of pre-split units. This caused a backtest to show huge gains. This issue has been resolved both in beta and production.
- The variable slippage algorithm, the default in portfolio strategies, is completely incompatible with Asia. Specifically the (strange) "base slippage" component of variable slippage produces extremely large slippage (like 30% and more) when the strategy is ran using USD. For example, ticker 20:HKG trades about $90 million a day USD and the base slippage is calculated as 6.2% because the price is 0.1613 USD, which is non-sensical and way too high. We are discussing a fix which likely will be to simply get rid of the "base slippage" component. For those that want a much better transaction cost model use the new algorithm called (unimaginatively) "advanced slippage".
- We're spending more time that we thought with the update schedules to satify traders in different parts of the world.
- We've spend most of the time tweaking our universes, and rethinking our Primary/Foreign Primary issue classification. (more on this very soon)
There's more of course. We now hope to launch Global data in production by the end of October.
Thank you for your patience and your feedback.
Cheers.
Note: just a reminder that the beta runs on a completely separate database and should only be used for testing.