Data is adjusted on daily bars, but not on minute bars...
Isn't that a deal breaker for us in the context of backtesting intraday strategies?
Isn't that a deal breaker for us in the context of backtesting intraday strategies?
Rename
It’s certainly a pain! Users should lobby DTN to correct this. I believe Cone did some work for this in WL6 that might be able to be applied to WL7?
It's intentional that IQFeed does not adjust their intraday data for splits to keep the prices as is.
http://forums.iqfeed.net/index.cfm?page=topic&topicID=2815
Indeed:
http://www2.wealth-lab.com/WL5WIKI/AdjustIntradayForSplit.ashx
http://forums.iqfeed.net/index.cfm?page=topic&topicID=2815
QUOTE:
I believe Cone did some work for this in WL6 that might be able to be applied to WL7?
Indeed:
http://www2.wealth-lab.com/WL5WIKI/AdjustIntradayForSplit.ashx
Is this method available in WL7?
Wealth-Lab's IQFeed provider automatically adjusts intraday bars for splits. You don't need to apply an extra method.
I was under the impression that OV found some cases that were not adjusted.
If so, we need to know those cases.
IQFeed supplies only the last 2 splits, but we've painstakingly created a resource file of splits for all U.S. listed stocks. These two sources are merged, but when new splits occur, we'll trigger off the IQFeed-provided data.
IQFeed supplies only the last 2 splits, but we've painstakingly created a resource file of splits for all U.S. listed stocks. These two sources are merged, but when new splits occur, we'll trigger off the IQFeed-provided data.
July 1, 2020 - MTCH is not split adjusted for IQFeed 10 minute bars.
April 11, 2017. CPRT is not split adjusted for IQFeed 10-min bars.
April 11, 2017. CPRT is not split adjusted for IQFeed 10-min bars.
Thanks. There are duplicate records in our split resource file, so the splits were actually applied twice on the date preceeding the actual ex-date. We'll fix this in the IQFeed Build 8 update.
Procedure to correct these data before IQFeed Build 8.
1. IQFeed Provider Settings - disable Regular Session Only
2. Refresh the intraday chart
3. Right click the chart, and use the "Go to Date" function to find the first bar on the ex-date.
4. Right click the first bar on the ex-date (the higher prices) and apply the **reverse split**. E.g. if it's a 2:1 split, apply a 1:2 split to adjust the data.
5. Enable Regular Session Only if using that option
Procedure to correct these data before IQFeed Build 8.
1. IQFeed Provider Settings - disable Regular Session Only
2. Refresh the intraday chart
3. Right click the chart, and use the "Go to Date" function to find the first bar on the ex-date.
4. Right click the first bar on the ex-date (the higher prices) and apply the **reverse split**. E.g. if it's a 2:1 split, apply a 1:2 split to adjust the data.
5. Enable Regular Session Only if using that option
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