opttrade
-Interested User-
Posts: 25
Joined: Nov 7, 2016
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Posted: Feb 8, 2019 12:34 PM
Msg. 1 of 2
I'm having troubles to get the unadjusted hiostorical Open price for stocks. For backtesting I need unadjusted data. Therefore I take the (unadjusted) 1-minute data and thought that the open price of the 0930 bar (or the first bar after 0930 if this does not exists) will match to the daily open price. Normally the price IS the open price, but there seems to be some situation where this is not the case.
Example: Feb, 7th 2019:
At 09:30:00 055341 there was a trade at 19.83 which is the open of the 0930 candle The streaming data for VVV sent an open of 20.43 which seems to be the official open from NYSE_ARCA at 09:32:05 001591
The problem now: How to create valid unadjusted historical daily bars? We have to use intraday data, because daily data from IQFeed are adjusted, but the open of the first minute bar does not necessarily match the real open. To correct this it would be necessary to look into T&S but this is only available for half a year or so.
Any suggestions how to build unadjusted daily (and minute) data with correct open?
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DTN_Steve_S
-DTN Guru-
Posts: 2093
Joined: Nov 21, 2005
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Posted: Feb 19, 2019 06:50 AM
Msg. 2 of 2
Unfortunately there isn't a real good way to do this because we include Extended Trades (which are some Form T trades) in our minute data bars.
However, one thing I'll note here is that generally speaking, IQFeed only adjusts daily data for splits. There are a few cases where in the past (and by few, I mean once or twice a year across all stocks on average) we have also manually adjust data for other corporate actions and/or dividends but I believe we stopped doing this several years ago.
Your example VVV has not had any splits registered in our system so the daily data should be un-adjusted.
So as a result, you should be safe (of course you will want to verify this using your own methods) to use the daily data as is for any symbols that haven't split.
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