Significant P/L difference with minor SPX price change

Discussion in 'General Discussion' started by Sanjeev B, Feb 24, 2018.

  1. Sanjeev B

    Sanjeev B Active Member

    I was performing backtesting and found Significant P/L difference with minor RUT price change on 13th Feb 2018
    Time RUT P/L
    15:15 1493.40 2974
    15:30 1494.70 4694
    15:45 1494.80 7394
    16:00 1495.00 4554
    Here is short 24 seconds video on the position and how position P/L changes.
    I would like to know if the P/L change is caused by Vol change or bad data feed ?
     
    Last edited: Feb 24, 2018
  2. status1

    status1 Well-Known Member

    Are you talking about SPX or RUT ?
    You mention SPX but the prices and video refers to RUT
    You may want to edit the video or your text to match the context of the title
     
  3. AKJ

    AKJ Well-Known Member

    Is there a question here?
     
  4. Sanjeev B

    Sanjeev B Active Member

    Thanks status1 for pointing out the discrepancy. It was RUT and not SPX
     
  5. Sanjeev B

    Sanjeev B Active Member

    I would like to know if the P/L change is caused by Vol change or bad data feed ?
     
  6. status1

    status1 Well-Known Member

    I would say it's most likely bad data
    This happens most of the time when the markets go wild and go through big swings
     
  7. AKJ

    AKJ Well-Known Member

    Best way to do this is to plot all the prices and IV's at each time interval. If the curves look continuous and smooth, then the price are real, if the curves are jagged and there are outliers, then it's almost certainly misleading. Whether its bad data is a whole nother issue. The data could very well be accurate, but mid prices may be distorted due to small lot bids/offers coming in close to the market-maker mids.
     

Share This Page

  1. This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
    By continuing to use this site, you are consenting to our use of cookies.
    Dismiss Notice