Recently I tried downloading minute backfill data (via HM command) and wished to cross-check the downloaded data against the OHLC for each day (via the HD command). It appears to me that if a stock splits at some date "D", then all the OHLC prices received in the HD response for days PRIOR to date "D" also get "split adjusted", however the backfill data from the HM responses do NOT get split adjusted.

For example, "AAON" split 3/2 on 8-22-2007 and as a result share prices went from ~$30 per share to ~$20 per share. Now, my backfill prices received via the HM command show prices around $30 per share prior to the split date and prices around $20 per share afterwards. This is what I would expect. However, prices of OHLC data received in HD responses show prices around $20 both before AND after the split. Therefore it appears that the historical end-of-day OHLC prices are split adjusted but the minute data is not.

Is this intended? Is this the "standard/expected" way of handing this data? If so, why is this done?

Thanks!

This is correct. At this time, we don't split adjust intraday data (we do split adjust daily data). We have some customers that prefer to see the data split adjusted, while others don't. What most people do is look at the fundamental data on the symbol for the past split dates which will allow you to control the split adjustments on the intraday data if you desire.

We are currently evaluating split adjustment of intraday data, but it is a low priority against other things in the hopper.

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Jay Froscheiser
DTN - Trading Markets

Right -- please count me among the "don't" crowd. When using historical data to back-test, it's important that the data match (as closely as practical) what would have been received as streaming quotes had the symbol been watched during the historical period. Otherwise you can't tell what a trading system running during that period would actually have done.

Allen