Hi team,
I’m trying to setup an algo trading strategy. For that I need the historical closing prices “cleaned” or “adjusted” for corporate actions (e.g, bonus, splits etc).
I went through this thread: https://kite.trade/forum/discussion/3532/adjusted-close-vs-close
I want to confirm my understanding:
1. The historical values in the API response are already adjusted (I.e., stock going from 100 to 50 due to an action would be normalized) and I don’t have to make these adjustments manually
2. The adjustments are done at the end of every trading week - so if an action was taken on Wednesday, it would reflect in the API data on Sunday/Monday.
Is this correct? If not, how is Zerodha treating corporate actions currently?
We do adjust historical data for corporate actions to improve analysis. Historical data is adjusted for corporate actions, including bonuses, splits, rights issues, spin-offs, and extraordinary dividends to ensure consistency in price series for analysis.
These adjustments are applied during the beginning-of-day process on the ex-date (before market open) and are reflected in the historical data from that point onward.
Hi Salim, please could you confirm what approximate time the beginning-of-day process runs for adjusting the historical data... can you confirm this historical price adjustment does not happen on the date prior to the ex-date before midnight 12 am. ?
@sushanta04 Historical data is adjusted for corporate actions, including bonuses, splits, rights issues, spin-offs, and extraordinary dividends, which will be completed before market opening on the ex-date (i.e 8 AM).
@salim_chisty Sir, please can you confirm that not just OHLC but even "volume" data is adjusted for corporate actions where relevant and I will be able to retreive clean OHLCV 1D data. Also, is there an API for corporate actions?
These adjustments are applied during the beginning-of-day process on the ex-date (before market open) and are reflected in the historical data from that point onward.