@krtrader For dividends, the price adjusts itself on the markets. No normalisation required on our part. For splits/bonuses, since more stocks are created, the adjustment is required.
I have one doubt reg bonus adjustment in kite data.
I can see there some price mismatch beetween Kite data and NSE EOD data. For example TCS share: For 17-June-2009, NSE EOD OHLC is (392.00 395.00 375.00 379.15) Kite daily OHLC is (385.98 388.94 369.24 372.94)
FYI, TCS company issued 1:1 bonus twice, first on 28-July-2006 and second on 16-June-2009. No other bonus/split till date. (please correct me if I am missing anything here)
So, all price data after 16-June-2019 should be match on Kite chart data and NSE EOD data. isn't it?
Could you please explain why there is price difference? Please let me know if I am missing any adjustment here.
@Nikhil.A You said above: >For dividends, the price adjusts itself on the markets. No normalisation required on our part. For >splits/bonuses, since more stocks are created, the adjustment is required.
That is a misleading statement. Its actually incorrect to not apply correction for dividends on historical data. If the purpose is just to make charts across days, then not adjusting dividends isn't noticeable because dividends are usually a tiny fraction of stock price.
But lets say one is developing a strategy based on price. Lets say the rule is, whenever next day open price falls say 3% below previous day's close, then you buy and sell vice versa. Suppose current day is ex-Dividend date and dividend was 3%. The stock price will fall by 3% even in absence of any news or sentiment change in the market. Not adjusting for this dividend, will make us buy the stock, and even if the mean-reversion works on average, this day we won't make any money most likely.
So, all historical data, from yesterday into the past must be adjusted for all corporate actions before we build any trading strategy on price and volume.
@sujith Can you share the list of corporate actions that zerodha adjusts in price or vice-versa. Also as confirmed by you that historical data is adjusted at the end of week. Is it still the same or there is some development done to make it instantaneous
Applying corporate action for an instrument involves modifying millions of rows. So I don't think we are ever going to do an instant data adjustment for corporate actions.
@sujith My earlier understanding was that zerodha is not adjusting data for dividends. I have compared data from 3 different sources for this ie. NSE, Zerodha & Yahoo Finance for NESTLEIND
I am uploading an image below which shows 2 adjusted prices, one is Close price adjusted for splits and second is Adjusted close price adjusted for both dividends and splits.
If u check 02 May & 26th April data is still not adjusted for dividend on zerodha., but adjusted data is visible on yahoo finance
Can you please confirm which kind of price adjustment is done by zerodha
@prateek3211, Apologies, I just had a word with the data team and they confirmed that adjustments are done for split and bonus only. We don't do adjustment for the dividend.
the price adjustment is needed for historical data not on / or post ex date. While ex date price is adjusted by market, the historical price remains unadjusted. So high DY stocks are penalized when looking at historical data. If you are still not convinced please refer here: http://www.crsp.org/products/documentation/crsp-calculations
Take example of COLPAL.
Latest Ex-Dividend date for this stock was 18-12-2017. 400% dividend was announced.
As per theory (https://zerodha.com/varsity/chapter/five-corporate-actions-and-its-impact-on-stock-prices/)
dividend amount should be deducted from stock price.
I checked kite chart data, it's not adjusted this dividend.
15-12-2018 close price: 1,072.40
18-12-2018 close price: 1,078.85
Understood.
I have one doubt reg bonus adjustment in kite data.
I can see there some price mismatch beetween Kite data and NSE EOD data.
For example TCS share:
For 17-June-2009, NSE EOD OHLC is (392.00 395.00 375.00 379.15)
Kite daily OHLC is (385.98 388.94 369.24 372.94)
FYI,
TCS company issued 1:1 bonus twice, first on 28-July-2006 and second on 16-June-2009. No other bonus/split till date. (please correct me if I am missing anything here)
So, all price data after 16-June-2019 should be match on Kite chart data and NSE EOD data. isn't it?
Could you please explain why there is price difference?
Please let me know if I am missing any adjustment here.
>For dividends, the price adjusts itself on the markets. No normalisation required on our part. For >splits/bonuses, since more stocks are created, the adjustment is required.
That is a misleading statement. Its actually incorrect to not apply correction for dividends on historical data. If the purpose is just to make charts across days, then not adjusting dividends isn't noticeable because dividends are usually a tiny fraction of stock price.
But lets say one is developing a strategy based on price. Lets say the rule is, whenever next day open price falls say 3% below previous day's close, then you buy and sell vice versa. Suppose current day is ex-Dividend date and dividend was 3%. The stock price will fall by 3% even in absence of any news or sentiment change in the market. Not adjusting for this dividend, will make us buy the stock, and even if the mean-reversion works on average, this day we won't make any money most likely.
So, all historical data, from yesterday into the past must be adjusted for all corporate actions before we build any trading strategy on price and volume.
Can you share the list of corporate actions that zerodha adjusts in price or vice-versa.
Also as confirmed by you that historical data is adjusted at the end of week. Is it still the same or there is some development done to make it instantaneous
EDIT: adjust is done only for split and bonus.
My earlier understanding was that zerodha is not adjusting data for dividends.
I have compared data from 3 different sources for this ie. NSE, Zerodha & Yahoo Finance for NESTLEIND
I am uploading an image below which shows 2 adjusted prices, one is Close price adjusted for splits and second is Adjusted close price adjusted for both dividends and splits.
If u check 02 May & 26th April data is still not adjusted for dividend on zerodha., but adjusted data is visible on yahoo finance
Can you please confirm which kind of price adjustment is done by zerodha
Apologies, I just had a word with the data team and they confirmed that adjustments are done for split and bonus only.
We don't do adjustment for the dividend.
Any plans to rope in dividend adjustments as well ?
http://www.crsp.org/products/documentation/crsp-calculations