I'm getting a little confused over what is back adjusted in the historical data.
I was under the impression that the daily data is back adjusted and the intra-day is not.

Here is SPY from Yahoo at the start of 2008.
SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted
2008-01-02 146.53 146.99 143.88 144.93 204935600 128.11

Here is the IQFeed data
"2008-01-02 00:00:00";146.53000;146.99000;143.88000;144.93000;204935531"

The prices seem to match the yahoo data, but the adjusted close in Yahoo's data is miles away. If I then look at the 1min IQFeed data for the end of the same day.

2008-01-02 15:58:00 144.55 144.55 144.50 144.51 600275
2008-01-02 15:59:00 144.51 144.55 144.50 144.54 634245
2008-01-02 16:00:00 144.54 144.56 144.52 144.55 643105

This indicates a closing price of ~144.55, which is nowhere near either of the previous two values for the close. What am I missing?

In general, back adjustments of data is something we do more with futures contracts, the only time we would back adjust an equity/index is due to a split, a reverse split, or on a dividend to maintain the continuity of the chart. These changes would only be applied to daily data. This may be causing the differentiation we are seeing.

I will see if I can find anything more concrete to help though.

Sorry, to clarify, by adjusted, I meant due to a split/dividend adjusted in the case of the SPY.

Any update here?

Hello Craig,

I have looked at several competitors and all of them are showing the same daily data for this bar, so I believe the daily data to be correct.

That said I looked at the intraday and I am not seeing anything that calls out to me as to an obvious reason as to why the minute bars do not align closer to the daily data for this date, and unfortunately I do not have any tick level data or logs from this far back to take my investigation further. I really wish I had a better answer for you, but I don't think I am going to be able to find any deeper level of understanding than what we have already discussed.

Sorry, I could not do more for you on this occasion.

Tim

Thanks for the reply, I'm not really sure if I should be worried or not.

Concerning the daily data:
The IQFeed daily data is dividend adjusted, the Yahoo data has an adjusted column.
Why does the IQFeed adjusted data agree with the Yahoo 'raw' data and disagree with the Yahoo 'adjusted' close?

There just hasn't been any splits applied to the SPY is what I understand.

Tim

Hello,
From reading this, my understanding is that for equities historical data the daily data is split and dividend adjusted while tick and minute data is not adjusted for either splits or dividends. Is that correct?
Thanks.

Good morning,

The daily data is split adjusted, but we do not do dividend splits unless it is some uncharacteristic dividend like a 50% payout, but these are very rare. If there is one of these, we will make note of it on the forums.

Tick and minute data is un-adjusted just as you had surmised.

Tim