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In this Discussion
October 2020
dhruv4291
October 2020
rakeshr
Continous futures not adjusted for splits and rights issues
dhruv4291
October 2020
edited October 2020
in
Python client
The continuous futures data is not adjusted for splits, bonuses, and rights issues. Can someone please look into it?
Tagged:
historical data
Stock Split
rakeshr
October 2020
We don't adjust corporate action for Futures contract including continuous data.
dhruv4291
October 2020
Why not? It is highly discontinuous with huge bumps, for that reason, it is very difficult to backtest any strategy in the futures, also spot-future comparison, in that case, is just erroneous. Also, NSE adjusts for corporate actions in derivatives:
https://www1.nseindia.com/products/content/derivatives/equities/adjust_in_case_corp.htm
.
Since your developers already have done so for spot, it should be very easy to do the same in futures, can you please convey this to the dev team?
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Since your developers already have done so for spot, it should be very easy to do the same in futures, can you please convey this to the dev team?