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»Forums Index »Product Support »DTN.IQ Client Software Support »Adjusting Data for Stock Splits
Author Topic: Adjusting Data for Stock Splits (5 messages, Page 1 of 1)

479045
-Interested User-
Posts: 1
Joined: Oct 1, 2020


Posted: Oct 1, 2020 01:41 PM          Msg. 1 of 5
I use NinjaTrader to analyze stock positions. There appears to be a problem in the way that Daily charts and Minute charts manage Stock Splits (AAPL 4:1). It looks like IQFeed adjust the Daily Data but not Minute data for the split which makes it difficult to use other tools to analyze the stock on a minute level. Any chance of fixing this?

REPLY TO QUERY FROM NINJA SUPPORT

"The root of the discrepancy lies in the fact that IQFeed pre-adjusts the daily data but not the minute data. Thus, when adjusting for splits within NinjaTrader, the intraday data will look normal but the day-based bars will be double-adjusted. The workaround here is to use minute based bars to replicate the daily data, or remove the split within NinjaTrader (I would not recommend this option if you require intraday bars, as it will remove the adjustment). "

DTN_Stephen
-DTN Guru-
Posts: 443
Joined: Aug 22, 2014


Posted: Oct 1, 2020 02:08 PM          Msg. 2 of 5
You can contact us at support@iqfeed.net or 800-475-4755 and we can enter an Customer Request for Enhancement concerning this.

Thank you for your post.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

napoleon
-Interested User-
Posts: 9
Joined: Mar 27, 2021


Posted: Apr 17, 2021 12:14 AM          Msg. 3 of 5
If this is ever considered for an enhancement, I would like to suggest that it be an optional change that the user can select through the API. While it may fix issues with Ninja Trader to stop split adjusting the daily data, other users may rely on this behavior and it may break their applications if it were to be changed.

I use the ratio between historical daily and minute data to detect splits in historical data. I have found this more reliable than using the last 2 splits that are available in fundamental data, and of course this method allows splits to be calculated for the entire available daily and minute history, not just the last 2 splits.

So please don't change this without a way for users to opt out of the change and keep the current behavior.

DTN_mark_e
-Interested User-
Posts: 38
Joined: Sep 25, 2014


Posted: Apr 18, 2021 10:34 PM          Msg. 4 of 5
Thank you. We appreciate and welcome enhancement suggestions. Although we have received customer requests to do so, there is currently no plan to split adjust intraday data in IQFeed. If you would like to add your name to the list of others making this request, but with a special caveat of creating an option to enable/disable the adjustment, please email us at support@iqfeed.net, with your account information. Be sure to include the details of your request in the email.

Trading Markets Customer Service
800-779-7299 (DTNIQ & IQFEED)
www.dtn.com/trading | http://www.iqfeed.net

napoleon
-Interested User-
Posts: 9
Joined: Mar 27, 2021


Posted: Apr 19, 2021 04:29 PM          Msg. 5 of 5
Thanks, but I am not interested in this enhancement. My comment was just to suggest that if it is changed, that there is a way to make sure people can opt-out so it doesn't break applications that depend on the current behavior. I am happy with it the way it is now and don't think it is necessary to change anything.
 

 

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