Joined: Feb 9, 2023
Posted: Feb 9, 2023 05:04 PM
Msg. 1 of 3
It would be great to have real-time intraday split-adjusted data for stocks, because when a stock splits, I need the charts to be split-adjusted so that my moving averages and indicators work properly.
Without real-time split-adjusted intraday data, I basically can't trade a stock that split until the old data eventually scrolls off the chart and a bit further because of indicator lookback.
I love DTN's futures data but sadly I'm going to have to switch to eSignal (they provide real-time split-adjusted intraday prices) unless you're willing to make the change.
Is there anyone else that needs this or am I the only one?
Joined: Jul 3, 2019
Posted: Feb 10, 2023 07:09 AM
Msg. 2 of 3
I can submit a customer request, but it wouldn't be an instant change.
Historical tick and minute data isn't split-adjusted; only daily data is. The SnapQuote app tells you the time/ratio (to two decimal places) of the most recent two changes.
DTN IQFeed Implementation Support Specialist
File Attached: post7072-1.png (downloaded 509 times)
Joined: May 7, 2004
Posted: Feb 22, 2023 11:24 AM
Msg. 3 of 3
For some indicators you want the split-adjusted prices, for others you want the historical prices and volumes exactly as transmitted on that day. There's no one-size-fits-all solution.
I like the current IQFeed approach, where I can get the tick data as-transmitted, plus the splits. I store both so I can construct split-adjusted data when I need it.
That said, it's often the case that splits are described incorrectly either as to date or as to ratio. This problem is not unique to IQFeed; you can observe it on practically any online source of split history. As a consequence I run a sanity-check on splits in my database every night. Things to watch for include multiple splits within a few days of one another, splits with implausibly large or small ratios, and split information that's delivered for the first time after the date of the split.
My split-adjustment code includes a table of known corrections that are applied automatically when split-adjusting. That table has to be maintained manually, though.
If anyone has a better solution, I'd love to hear about it!