Stocks / ETFs

All stock and ETF datasets include both unadjusted data, split-only adjusted data, and split and dividend adjusted data.

Split Adjustments

For stock splits (and reverse splits) the prior data is adjusted by the split ratio. For example, on Aug 31 2020 Apple's stock was split 4:1 resulting in the below price data:

{Timestamp, Open, High, Low, Close, Volume}
2020-08-28 19:59:00,501.8,502.0,501.71,501.98,5786
2020-08-31 04:00:00,128.0,127.29,125.6,126.0,57640

To avoid the price drop from the split the prior data is adjusted by the split ratio:

{Timestamp, Open, High, Low, Close, Volume}
2020-08-28 19:59:00,125.45,125.5,125.4275,125.495,23144
2020-08-31 04:00:00,128,127.29,125.6,126,57640

Note the volume is also adjusted by the split ratio (except volumes are adjusted for by multiplying by the split ratio).

Dividend Adjustments

Dividends also have a distorting effect on prices and are adjusted for. On the ex-dividend date, stock holders are no longer entitiled to receive the dividend and as such the price should be adjusted since it no longer includes the cash payment of the dividend.

The adjustment for dividends is a little more complex since the dividend is a cash amount and not a ratio as with splits. The adjustment factor is:

1 - (Dividend Amount / Prior Day's Close Price)

For example, on Nov-6-2020 Apple stock went ex-dividend and shareholders were no longer entitled to the $0.205 per share dividend (note this is the ex-dividend date, the actual payment date of Nov-12-2020 has no price impact).

The unadjusted price data is :

{Timestamp, Open, High, Low, Close, Volume}
2020-11-05 19:59:00,118.0500,118.0500,118.0000,118.0000,15203
2020-11-06 04:00:00,117.7700,117.7700,117.0700,117.0800,4692

The adjustment factor is :

1 - (.205 / 118.00) = 0.99826

This factor is then multiplied to all the prior price data. Note, for dividend adjustments the volumes are also adjusted. Thus the dividend adjusted data is:

{Timestamp, Open, High, Low, Close, Volume}
2020-11-05 19:59:00,117.8449,117.8449,117.795,117.795,15203
2020-11-06 04:00:00,117.7700,117.7700,117.0700,117.0800,4692

The dividend adjustment is applied to all prior prices in the series from the first of the series to the last date before the ex-dividend date.
Note that if the price has been adjusted for a split then the dividend should be adjusted by the same ratio in the adjustment factor calcuation.

Dividend adjustments can lead to differences between prices between different data vendors. The most common cause is some data vendors use the price at the close of regular trading hours to calculate the adjustment factor. At FirstRate Data we use the last available traded price on the day prior to the ex-dividend date to calculate the adjustment factor. This gives a slightly more accurate estimate of the price impact of the stock going ex-dividend.

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Futures

Continuous Futures — Adjustment Convention

Roll factor calculation

At each contract roll, one adjustment factor is calculated from the daily settlement closes of the outgoing and incoming contracts on the last trading day on which both contracts settled before the roll — normally the day before the roll date. Comparing both contracts at the same settlement isolates the calendar spread between them from any market movement.

• Ratio series: factor = new contract close ÷ old contract close
• Absolute series: offset = new contract close − old contract close

Back-adjustment

The current contract is never adjusted, so the most recent prices are always actual tradeable prices. All earlier history is shifted to align with it. Factors compound backward: each earlier contract segment is adjusted by the combined effect of every roll that follows it. Open, high, low and close are adjusted; volume and open interest are unchanged.

Where the adjustment applies

The factor changes on the same bar at which the unadjusted series switches to the new contract, so no artificial price jump is introduced at the roll.

• Daily series: from the roll date onward.
• Intraday series: from the start of the new contract’s first trading session. For a Monday roll this is the Sunday evening session; for other roll dates it is midnight of the roll date.

One factor for all timeframes

The same factor derived from daily settlements is applied to the daily and all intraday series. This keeps every timeframe on an identical price scale, so a strategy developed on daily bars can be validated on intraday bars without rebasing.

Because the factor is struck at the prior settlement rather than at the exact minute of the switch, the calendar spread may have moved slightly between settlement and the first bar of the new contract. This leaves a small residual at the join, typically a tick or two on liquid index and bond contracts, and larger on products with volatile term structures such as natural gas or VIX. This residual is a fixed, non-compounding feature of the method, and is the trade-off for keeping all timeframes consistent. Users who require exact intraday joins can derive their own factors from the unadjusted series and the individual contract files, both of which are provided.