Today we fixed two bugs that were causing certain live strategies to have inaccurate transactions.
First, designer models and P123 models were using Friday’s close as the transaction price rather than Next High, Low, and 2X Close since February 20th of this year. All these models have had their transaction prices updated.
Second, live strategies that were adding transactions through the new rebalance interface since May 10th were committing some transactions to holidays. We have moved those transactions from the holiday to the next trading day. In a few rare cases, this changed the transaction price.
Performance has been recomputed with the new prices for all affected strategies.
Please contact us if you have any concerns, or comment below.