Adjusted Stock Split Data

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sim
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Adjusted Stock Split Data

Postby sim » 03 Apr 2008

Hi,

While monitoring stock STLD, i noticed that the price is not adjusted after split using the minutes from IB and also the daily free quotes. Any idea what went wrong?

Please advise.

Thanks.
Sim

sim
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Postby sim » 06 Apr 2008

Any help from ts support?

Regards

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TJ
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Postby TJ » 07 Apr 2008

GIGO

sylfvdk
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Postby sylfvdk » 08 Apr 2008

To adjust to splits - one way is to write your own program to correct original ASCII feed file with split / dividend adjustments. Or use data from WireTick, paying $18 / stock*year. They will give option for split/dividend adjusted prices.

Thanks, hope it would help.
Victor

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Marina Pashkova
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Re: Adjusted Stock Split Data

Postby Marina Pashkova » 08 Apr 2008

Hi,

While monitoring stock STLD, i noticed that the price is not adjusted after split using the minutes from IB and also the daily free quotes. Any idea what went wrong?

Please advise.

Thanks.
Sim


Hi Sim,

MultiCharts simply plots whatever the provider sends. If the price is not adjusted it means that this is the way IB/FreeQuotes have sent this data. Try reloading charts (ctrl+R): if the provider has adjusted the price later, ctrl+R will help to bring this data into MC.

sim
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Postby sim » 09 Apr 2008

Thanks everyone for the reply and also thank to Marina for the email reply. In this case, there might be issue with data for any stock split using IB datafeed and MC built in free quotes. I have checked with IB chart itself and data were correct with adjusted stock price after split. I am wondering if there is anyone else having stock split data problem with MC using IB datafeed? Or, is it my own system problem.
Look like getting reliable 3rd party datafeed is still needed.

Sim

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Postby Grigorios » 13 Apr 2008

Marina, Why you dont just say that MC is not able to perform a simple stock split? or a simple future rollover ???

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TJ
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Postby TJ » 13 Apr 2008

Marina, Why you dont just say that MC is not able to perform a simple stock split? or a simple future rollover ???


re: stock splits:
because MultiCharts is a charting program, NOT a data provider.

Adjusting the price for stock-split is NOT a "Simple Task".
You must know:
-- the date of the split, and
-- the ratio of the split.

Theoretically it can be done, IF the data provider supplies these information.
But I don't know of any data provider that can supply these information in the present data format.
Therefore, as with all the charting programs on the market, adjusting the price for stock-split does not default to the charting program. Rather, it is done at the data-provider level.

A charting program will chart whatever data the provider sends to you.
A charting program does not know when, and does not care how much, if your stock had splitted.


re: future rollover:
Future rollover is a slightly easier task than stock splits, because the expiration date is known and recurring. But still, there are variables that must be addressed. Because there are more than one way to make a continuous contract. The way you want to rollover might not be what others have in mind.

1. you can stitch the data together. e.g. eSignal ES#
2. you can adjust the back months so that there is no gap on rollover date.
a new set of questions arise:
-- how do you adjust the back months?
-- by how much?
-- on what date? on expiration date? on popular rollover date? when new contract volume equals/exceeds old contract volume?
-- do you create a whole new database of continuous contract? then you will have a duplicate set of data, one adjusted, and one original.

many people have requested a future rollover feature, I believe it is on the wish list.


p.s. If you subscribe to a good data provider, you get good data, including stock-split adjusted prices and future rollovers.

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Marina Pashkova
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Postby Marina Pashkova » 18 Apr 2008

Marina, Why you dont just say that MC is not able to perform a simple stock split? or a simple future rollover ???


Grigorios, MC is not able to perfome a stock split.

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Marina Pashkova
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Postby Marina Pashkova » 18 Apr 2008

Thanks everyone for the reply and also thank to Marina for the email reply. In this case, there might be issue with data for any stock split using IB datafeed and MC built in free quotes. I have checked with IB chart itself and data were correct with adjusted stock price after split. I am wondering if there is anyone else having stock split data problem with MC using IB datafeed? Or, is it my own system problem.
Look like getting reliable 3rd party datafeed is still needed.

Sim


Hi Sim,

What you are saying is very interesting. If in the IB chart the data was correct it should have been correct in MultiCharts after the reload as well.

Do you think you could contact our customer support at http://messenger.providesupport.com/mes ... pport.html ?

We would like to get connected to your pc remotely so that our engineers could see what exactly happnes to the split stock data?

Thank you.

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Marina Pashkova
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Postby Marina Pashkova » 18 Apr 2008

Marina, Why you dont just say that MC is not able to perform a simple stock split? or a simple future rollover ???


re: stock splits:
because MultiCharts is a charting program, NOT a data provider.

Adjusting the price for stock-split is NOT a "Simple Task".
You must know:
-- the date of the split, and
-- the ratio of the split.

Theoretically it can be done, IF the data provider supplies these information.
But I don't know of any data provider that can supply these information in the present data format.
Therefore, as with all the charting programs on the market, adjusting the price for stock-split does not default to the charting program. Rather, it is done at the data-provider level.

A charting program will chart whatever data the provider sends to you.
A charting program does not know when, and does not care how much, if your stock had splitted.


re: future rollover:
Future rollover is a slightly easier task than stock splits, because the expiration date is known and recurring. But still, there are variables that must be addressed. Because there are more than one way to make a continuous contract. The way you want to rollover might not be what others have in mind.

1. you can stitch the data together. e.g. eSignal ES#
2. you can adjust the back months so that there is no gap on rollover date.
a new set of questions arise:
-- how do you adjust the back months?
-- by how much?
-- on what date? on expiration date? on popular rollover date? when new contract volume equals/exceeds old contract volume?
-- do you create a whole new database of continuous contract? then you will have a duplicate set of data, one adjusted, and one original.

many people have requested a future rollover feature, I believe it is on the wish list.


p.s. If you subscribe to a good data provider, you get good data, including stock-split adjusted prices and future rollovers.


Hi TJ,

Thank you for the very good and detailed comments.

We are going to consider introducing both stock split and rollover for continuous futures. Stock split will be actually easier to implement. The thing is that there are lots of rollover patterns - each associated with a particular root. Matching roots to patterns is not a difficult task but it is very time-consuming and quite tedious.

sylfvdk
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Postby sylfvdk » 18 Apr 2008

As far as Stock split adjustments. OK, yes, I understand, that not all providers provide split date and ratio info. But, Let us do it. We always can find for stock we are interesting all the splits and it would be nice if give us interface to adjust prices for splits and divedends manually.

We would inter on the interface split date, ratio and click ADJUST button. This is very easy.

Does any other trading platform allow to do that?

Thanks
Victor

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Postby capgain » 20 Apr 2008

We are going to consider introducing both stock split and rollover for continuous futures. Stock split will be actually easier to implement. The thing is that there are lots of rollover patterns - each associated with a particular root. Matching roots to patterns is not a difficult task but it is very time-consuming and quite tedious.


This would be really great ! Any dates on when stocks splits adjustments would be done ?

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LRP
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Re: Adjusted Stock Split Data

Postby LRP » 14 May 2008

Hi,

While monitoring stock STLD, i noticed that the price is not adjusted after split using the minutes from IB and also the daily free quotes. Any idea what went wrong?

Please advise.

Thanks.
Sim


Hi Sim
As i found out, the free quote server moneycentral.msn.com provide split adjusted datas. Just use the settings like you can see at the attachment by moving the servers in the shown order.
Cheers,
LRP
Attachments
STDL.GIF
STDL.GIF (77.57 KiB) Viewed 868 times

sim
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Postby sim » 14 May 2008

Hi LRP,

Thank you so much. I have tested your suggestion and play around with the free quote setting. I have found that by disabling yahoo quote and selecting msn or prophetfinance or both, the split data problem is solved. hence, the conflict seem to come from yahoo free quote. But i have to figure out the one from IB.

Thanks and regards
Sim

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Postby LRP » 15 May 2008

You are welcome
:D
Good Trading
LRP

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TJ
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Postby TJ » 15 May 2008

Hi LRP,

Thank you so much. I have tested your suggestion and play around with the free quote setting. I have found that by disabling yahoo quote and selecting msn or prophetfinance or both, the split data problem is solved. hence, the conflict seem to come from yahoo free quote. But i have to figure out the one from IB.

Thanks and regards
Sim


Yahoo data has BOTH adjusted and unadjusted quote built-in to it.

Some charting programs give you an option to select which data stream to use.

:cry:

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LRP
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Postby LRP » 15 May 2008

TJ:
Just wondering, how yahoo differ the adjusted /non-adjustet quotes, with pre-/suffixes?
eg. MRK
Thanks
LRP

zukkaweb
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Postby zukkaweb » 19 Aug 2008

i enable only yahoo data for eod and prophet for intraday and the data are more or less ok, i compare them with www.borsaitaliana.it

in this link the data are perfect because this is the site of the official market

http://www.borsaitaliana.it/bitApp/quot ... le&param=A

all quotes are right, is it possible to import them in mc?

while the real time data are given 20 minutes late but perfect,

is it possible to import them in mc?
Last edited by zukkaweb on 20 Aug 2008, edited 1 time in total.

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Marina Pashkova
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Postby Marina Pashkova » 20 Aug 2008

Hi zukkaweb,

I am not sure I quite understand the question.

Regards.


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