Hey, I'm just setting up my trading algo and using python for trading. For the same, i was going to use historical data provided by Kite for my backtesting. But i just noticed, that you guys do not have an adjusted close column in your historical data, which means that when a stock split happens, the 'close' price drops. And that will probably lead to the algo making wrong decisions on account of stock splits etc. And with this small thing, the historical data that kite provides becomes completely useless to me for backtesting.
Am i missing something, or am i reading your data correctly?
Sujith, I understand that from having read the other posts on the matter, but this still doesn't solve my problem.
Let me explain: a company is trading at Rs. 100 today. Today in the evening, they announce a stock-split and now the price is Rs. 50 when the market opens tomorrow. Your 'close' column will say Rs. 100 for today and Rs. 50 for tomorrow.
Now in such a scenario, the algo reads this as a stock, whose price has dropped by 50%, but in reality that is not the case.
in such a scenario, How is your historical data being used by other traders who are doing algo trading?
PS. Really appreciate your quick response ! Love Zerodha
@vandanchopra, There are practical implications for normalizing huge data during weekdays. We usually normalize data during weekends. Instead, we can publish the corporate actions every day and you can normalize data at your end.
I don't mind normalizing my data on a daily basis. However, can you point me in the direction of how to go about it. Is there any reading material you would recommend which can help me understand how to normalize ?
Hey Sujith, Thanks for that link. However, i'd already been through that link and was already aware of the same. The reading material i'm interested in is : 1) documentation on how i can access the corporate action issued by zerodha through an API. 2) and documentation / code base that you can point me to that does this / explains how this normalisation done with zerodha historical data ?
Also, does zerodha have any plans to start reporting the adjusted close column in their historical data API ?
@vandanchopra, As of now, we don't have an API for corporate actions. Even for our platforms, we do it manually. This will be provided once the backoffice APIs are up. Basically, you need to read the corporate action circular and make an equation by reading the same. It will be same for F&O but for equity, it is different every time. So, there is no straightforward logic for this. This is the only documentation as far as I know.
when do you think the backoffice APIs are going to be up ? And is there any documentation on what you are planning on offering as part of backoffice APIs ?
The historical data that is provided is adjusted for all the corporate actions.
Let me explain:
a company is trading at Rs. 100 today. Today in the evening, they announce a stock-split and now the price is Rs. 50 when the market opens tomorrow.
Your 'close' column will say Rs. 100 for today and Rs. 50 for tomorrow.
Now in such a scenario, the algo reads this as a stock, whose price has dropped by 50%, but in reality that is not the case.
in such a scenario, How is your historical data being used by other traders who are doing algo trading?
PS. Really appreciate your quick response ! Love Zerodha
There are practical implications for normalizing huge data during weekdays. We usually normalize data during weekends.
Instead, we can publish the corporate actions every day and you can normalize data at your end.
I don't mind normalizing my data on a daily basis.
However, can you point me in the direction of how to go about it. Is there any reading material you would recommend which can help me understand how to normalize ?
You can check out this blogpost.
Thanks for that link. However, i'd already been through that link and was already aware of the same.
The reading material i'm interested in is :
1) documentation on how i can access the corporate action issued by zerodha through an API.
2) and documentation / code base that you can point me to that does this / explains how this normalisation done with zerodha historical data ?
Also, does zerodha have any plans to start reporting the adjusted close column in their historical data API ?
As of now, we don't have an API for corporate actions. Even for our platforms, we do it manually.
This will be provided once the backoffice APIs are up.
Basically, you need to read the corporate action circular and make an equation by reading the same. It will be same for F&O but for equity, it is different every time. So, there is no straightforward logic for this.
This is the only documentation as far as I know.
And is there any documentation on what you are planning on offering as part of backoffice APIs ?
The new backoffice is still in development phase. As of now, we can't guarantee any timeline.