Hi.
I am relatively new to coding and zipline so please forgive me if my post might not follow the standard structure.
I wonder if there’s a best practice when it comes to dealing with prepping local stocks data which contain delisted stocks (especially stocks that got merged or acquired)?
For example, if I ran a momentum strategy using zipline where it selected a stock that would be acquired soon, and it then got acquired before the next rebalancing date.
With volume_limit set, this makes the strategy unable to sell even if I used ffill for delisted stocks (since acquired targets will have very low volume before getting delisted).
So I’d like to ask experienced people what would be the best practice to deal with this kind of situations?
Thank you in advance.
Gem