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

The continuous datasets are created by chaining together the most liquid 'front-month' contracts. Data vendors usually have slightly different rules to trigger a roll to a new front-month contract, some vendors only roll upon contract expiry. However, as liquidity (ie trading volume) almost always migrates to the new contract prior to expiry, we use a custom set of rules to trigger the roll prior to expiry. The rules vary for each contract and the full listing of the contract used is available in the 'Other Data' tab.
For the intraday data data, the contracts are rolled at midnight EST (ie the contract changeover is at 00:00).

There is typically a price change when a contract is rolled (which is artificial since it will not generate trading profits or losses), therefore to neutralize this impact the series can be adjusted for the price jumps on contract rolls.

The two 'adjusted' series attempts to address this issue and create a consistent series free from price jumps on roll dates.
The Absolute adjusted data series is created by taking the absolute price differential between the final closing price of the expiring contract and the opening price of the new front-month contract, and then adjusting the entire series prior to the current front-month contract by this price differential.

The Ratio adjusted data series is created by taking the absolute percentage price difference between the final closing price of the expiring contract and the opening price of the new front-month contract, and then adjusting the entire series by this percentage differential.

Ratio adjusted data is better for preserving the percentage price moves and is therefore better suited to technical analysis (which is typically based on percentage price changes).
Absolute adjusted data is better suited to analysis based on absolute price thresholds and where the original price context is required (for example, when calculating margin ratios).