Hello,

There seem to be a couple of issues with the etf GPT stock split adjustment.

There was a stock split on Mar 23.

The daily data points around those days look like:

GPT,2015-03-24,29.73,29.92,29.04,29.25,600792
GPT,2015-03-23,29.6,30.065,29.39,29.73,838218
GPT,2015-03-20,7.16,7.39,7.09,7.37,2338390
GPT,2015-03-19,28.52,28.69,28.38,28.56,1737395
GPT,2015-03-18,27.92,28.72,27.44,28.6,1305729

So a couple of things:

1) The prices on the 20th have not been adjusted at all, whereas the ones prior to that date have been.

2) The volumes prior to the 23rd do not appear to have been adjusted either.

Is this a more general symptomatic issue? I am sure I can find many more examples. I am particularly concerned about the volume adjustment logic here.

Please could you check?

Thanks.

Jose
Edited by jrojas on Oct 1, 2015 at 04:33 AM

We have made the corrections to the GPT for the stock split. However, volume does not get split adjusted.

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Stephen Shockey | Telvent DTN LLC | Trading Markets | United States |Customer Service Technical Support
Email: support@iqfeed.net

Hi Stephen,

Thanks for that.

About the general corporate actions adjustment logic. Is there any way we could either:

1) Retrieve the daily raw (unadjusted) data in the same way we are able to do with the ticks and interval data ?

2) Add some additional fields to the daily historical messages to either flag when an adjustment has been made or simply provide the unadjusted values?

The problem is that from this thread and others with similar issues, it is not very clear what your adjustment rules are and for the looks of it they do not follow the more conventional patterns of what some of the other providers such as Reuters and Bloomberg do.

From what I gather so far:

1) Sometimes due to a bug here and there, some simple stock split price adjustments are missed for given records.

2) Trading volumes are not adjusted at all. This makes for example simple VWAP or Dollar Traded calculations across corporate actions dates meaningless.

3) The dividend adjustment logic is also not very clear, with you guys randomly choosing what size of dividend is worthy of processing.

I think IQFeed has a fantastic raw data service both in real time and historic. If we could just stick to that and make the daily raw data also easily available, then I could simply get a corporate actions database and apply my own rules to it.

Thanks.

Jose

Jose,

Thanks for the detailed feedback. I wanted to make sure you know we hear you and we do have a project on the roadmap to address this. Because we have such a diverse group of users, some wanting raw data and others wanting adjusted data (many wanting it adjusted in different ways), we are working on plans to provide the most flexibility possible. Unfortunately this is going to take time as we want to do it right.

Again, we appreciate you taking the time to comment and will take your suggestions into consideration as we work on the solution.

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Jay Froscheiser
Vice President, Active Trader Products