LMCA Spinoff today - watch those limit orders!
Author: Cone
Creation Date: 11/5/2014 6:56 AM
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Cone

#1
Corporate events like mergers and spinoffs create "cliffs" in data that cause artificial [large] losses for long positions in back tests. In live trading an investor would have a close to zero sum gain for an event like this since they'd receive a cash dividend or shares in a new company.

LMCA is currently indicating an ASK premarket of $40/share, more than 20% lower than yesterday´s closing price. These kinds of events wreak havoc for both traders and backtesters if you're not aware of them in advance.

We at MS123 hope to roll out a solution for this and other data issues in the coming months. Stay tuned!