I understand dtn historical data does not include dividends and splits, please confirm if this is correct.

Second, I'm finding cases where the intra and daily historical data disagree, one example below. Why are the daily candle prices half of the hourly?

intra candles:

HIT,SSO,3600,20150323,20150324,,1

2015-03-23 20:00:00,134.1000,134.0600,134.0600,134.1000,2831484,600,
2015-03-23 19:00:00,134.0900,133.9000,133.9200,134.0900,2830884,3525,
2015-03-23 18:00:00,134.0000,133.9000,133.9300,133.9200,2827314,3490,
2015-03-23 17:00:00,134.2200,133.9500,134.2200,134.2200,2823771,46979,
2015-03-23 16:00:00,135.1500,134.1900,135.0700,134.2000,2776588,475921,
2015-03-23 15:00:00,135.4100,134.9600,134.9900,135.0800,2289364,304681,
2015-03-23 14:00:00,135.1500,134.8800,135.0500,135.0000,1976412,220053,
2015-03-23 13:00:00,135.2800,134.7900,135.0100,135.0699,1750368,211005,
2015-03-23 12:00:00,135.3200,134.8700,135.1900,135.1000,1530580,326462,
2015-03-23 11:00:00,135.5600,135.0100,135.1100,135.1700,1191630,566126,
2015-03-23 10:00:00,135.3900,134.5400,134.5500,135.1000,608140,581461,
2015-03-23 09:00:00,134.5500,134.3600,134.4700,134.4500,8451,3300,
2015-03-23 08:00:00,134.5000,134.0800,134.1000,134.5000,5100,3700,
2015-03-23 07:00:00,134.0700,133.9500,134.0700,133.9500,1400,1100,
2015-03-23 06:00:00,134.2000,134.2000,134.2000,134.2000,300,300,

daily candles

HDT,SSO,20150323,20150324,,1

2015-03-23 00:59:20,67.7800,67.0950,67.3450,67.1100,2831484,0,
2015-03-24 00:59:20,67.3300,66.2650,66.9800,66.2950,3486041,0,

https://ca.finance.yahoo.com/q/hp?s=SSO&a=02&b=20&c=2015&d=02&e=29&f=2015&g=d

Splits are processed, but on daily data only, hence the difference you are seeing here.

Tim

Thanks Tim.

How exactly are the splits applied? Does the HDT request shown here then result in different values for March data after the split 2:1 that occurred in May? If this is correct, when does the data change?

It seems then that daily prices are actually the adjusted price.

Are dividends also applied to daily but not intra?

And related, how do I query for split and dividend dates?

Thx,
Kim

bump

Sorry for the wait.

How exactly are the splits applied? Does the HDT request shown here then result in different values for March data after the split 2:1 that occurred in May? If this is correct, when does the data change?

That is correct, the historical data will change. These happen the morning the split is reported to us. Usually by 5 or 6 am.

It seems then that daily prices are actually the adjusted price.

Correct.

Are dividends also applied to daily but not intra?

Dividends are not done generally.

And related, how do I query for split and dividend dates?
The last split and dividend dates are available in the level one data feed, but historical split and dividend dates are not currently available in the feed.

Tim

Thanks Tim.

1. If splits are applied to all historical data when they are reported to you, are you not typically notified in advance of the split date? How is the notification passed on?

2. Can you explain what you mean by "Dividends are not done generally"?

3. To be clear, is there no means available to access the historical split and dividend dates from DTN?

Thx,
Kim

We would update the split date in the level 1 feed to today, so you would need to watch the symbol to find that out.

We will only process dividends if they have a significant percentage change, 50% for instance of their value. We will post to the forums when an exception is made, though I haven't seen one in probably about a year that I can think of.

Correct. There is no means of accessing historical split or dividend dates beyond what is included in the level one message currently.

Management is aware of requests to enhance this functionality, but I will certainly let them know that you were looking for this as well.

Tim

Thanks Tim

Yes, not managing splits and dividends is a serious concern. In my opinion it makes the data feed of questionable value for any form of back testing. I look forward to any updates on the matter.

Kim