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» historical daily data, which is split adjusted?
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| Author | Topic: historical daily data, which is split adjusted? (7 messages, Page 1 of 1) |
 J -Interested User- Posts: 24 Joined: Jun 27, 2017 |
Posted: Sep 12, 2017 10:49 PM
Msg. 1 of 7
When pulling daily bars (daily open/low/high/close) historical data for stocks and ETFs/ETNs, it appears that some data has been back adjusted for splits. Is there some way to know if a split adjustment has been applied or not?
p.s. Apologies if this has been asked and answered before. The forum search functionality was reported broken at least since 2014 and apparently remains broken in 2017. |
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DTN Todd -Interested User- Posts: 74 Joined: Mar 24, 2010 |
Posted: Sep 13, 2017 02:43 AM
Msg. 2 of 7
We will look into this and let you know.
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J -Interested User- Posts: 24 Joined: Jun 27, 2017 |
Posted: Sep 15, 2017 04:45 PM
Msg. 3 of 7
Just following up. Any progress on this? Thanks!
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J -Interested User- Posts: 24 Joined: Jun 27, 2017 |
Posted: Sep 15, 2017 07:51 PM
Msg. 4 of 7
I have noticed that HIT calls for intra-day bars of length 1 hour are not split-adjusted in the two symbols I checked. Can this be relied upon? In other words, is it the case that a HIT call will never return split back-adjusted prices?
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J -Interested User- Posts: 24 Joined: Jun 27, 2017 |
Posted: Sep 17, 2017 06:05 AM
Msg. 5 of 7
A related question about the symbology of options when a split has happened between when the option was first issued and when it expired:
Does the strike price at the end of the option symbol reflect the split or split-adjusted price? Thanks! |
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J -Interested User- Posts: 24 Joined: Jun 27, 2017 |
Posted: Sep 17, 2017 06:28 AM
Msg. 6 of 7
Page 2 of this flyer from Schwab (also attached) https://www.schwab.com/public/file/P-3951800/INF57995_114923.pdf seems to indicate that (at least Schwab's rules for the symbology the publish under) are dependent on the type and size of the split:
1. regular splits: always reduce strike price; and adjust the symbol if the M:N split has N > 1, 1. reverse splits: never adjust strike price; and always change the symbol. Two questions then: a) do IQFeed net options symbology follow the same rules as Schwab? If not, what rules are followed? b) If the same rules as Schwab: For reverse splits, the symbol always changes... this begs the question, how does the symbol change? Examples would be most helpful here. Thank you. File Attached: INF57995_114923.pdf (downloaded 33731 times) |
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DTN_Tim Walter -DTN Guru- Posts: 1238 Joined: Apr 25, 2006 
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Posted: Sep 18, 2017 06:38 AM
Msg. 7 of 7
Good morning,
We have split adjusted daily data, we do not split adjust the minute or tick data. We make use of the OSI symbology which includes rules for handling splits, in regards to options. If you do a search for split on the document linked that may help. https://www.theocc.com/components/docs/initiatives/symbology/symbology_initiative_v1_8.pdf Examples of the symbol changes that will occur are included within the examples given in this document. (Page 7) Tim |
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