I noticed historical prices are being Split Adjusted but volume is not!

Recent examples are:
MOV, split 2-1 on 6/28/04,
CNT, split 2-1 on 7/1/04
Historical prices are split adjusted, but volume is not.

This error makes any kind of Volume study or Money Flow analysis
worthless! Will this be corrected? The historical data should either be
price and volume split adjusted or the data should be left unadjusted.
Adjusting one without the other is useless.

Paul

Sorry we missed your earlier post. I will have our Market data group check this out. I know there is a problem with the split adjustment process in production, and a fix is currently being tested. My guess is this is part of the problem that will be fixed too, but I will double check.

Thanks for the posts...

---

Jay Froscheiser
DTN Market Access, LLC.

We are going to do some more research on this (and I would be interested to hear other peoples posts). We have checked with other vendors, and Esignal and CQG also don't adjust volume. Websites such as Yahoo does. Since this is the first time anyone has suggested that we split adjust volume, I am going to need more feedback from customers before making such a sweeping change.

---

Jay Froscheiser
DTN Market Access, LLC.

Ideally, price and volume should both be adjusted, or neither should be adjusted (which is what I'd prefer). But existing code probably has subtle dependencies on the current behavior (e.g. it might not be capable of maintaining fractional volumes), so I'd vote not to change it.

Allen

Ok, now I'm worried that I have no way to analyze the historical data I've been capturing unless I severely scrutinize each symbol that recently split.

Does IQFeed have a firm position on how splits will be handled? Personally, I vote that you dont touch it and we can use the split fields to do it ourselves.

<rant>
Given that the repeated requests for a change log have been ignored, I'm becoming very nervous about trusting data. I'd **really** like to know when you guys change a single byte of logic. Believe it or not, there are folks out here who want to be able to use the data we're paying for. Please stop the casual modifications that aren't communicated to us and implement a running change log for each modification that makes it's way into production. That way, we would be able to research these topics ourselves - since the logic isn't documented elsewhere....
</rant>

Ted

Ted,

In reference to your rant, I'd like to say that we haven't ignored you. IQFeed v2.3.0.2 is currently in QA, and does include such a change log. We do make a point of listening to our customers, and are working to improve the feed for everyone.

I'll get back to you on the splits.

Thanks for your comments!

---

Natalie Hannan DTN Market Access, LLC.

Ted,

You wrote "Does IQFeed have a firm position on how splits will be handled?"

We apply splits to historical data, and we do not apply splits to volume.

---

Natalie Hannan DTN Market Access, LLC.

Natalie,

Pardon the rant - I became distressed after seeing the comment that DTN knows there's a problem with the split process that is currently in production and is testing a fix. (What's the problem? Can you notify me of the change so I can be prepared to alter my historical data as you transition the change into production?)

I applaud your efforts to fix issues quickly when they're identified. My concern though is that your fixes are generally forward-looking and do not provide me with the information necessary to correct my historical data. The end-users need to know the date and time any new logic takes effect, the details of the old flaw, and the logic behind the new change. Any changes to historical logic greatly impact those of us storing data versus those using realtime data.

Regards,

Ted

Ted,

The error mentioned in split adjustments is flat out a bug that is causing us to miss some split adjustments or process them incorrectly (usually the split is being adjusted one day off so there is still a spike). When this is fixed, we will notify users. The fix is currently in QA (as is quite a bit of other code, which is why I can't provide a date for release).

Thanks

---

Jay Froscheiser
DTN Market Access, LLC.

Hi,
Seems like this problem has been mentionned and still there is the same split problem...
What has been done for correcting it in last 7 years ? I think such an error in datas should be a top priority for a data vendor ...
Daniel

When prices are splitted, past volume should be multiplied not divided, therefore there is no fractional volumes...