Data & Splits

[stockgoblin]

Hi,

I was just looking at a workspace I have with a weekly, daily and hourly chart for ROSG. I noticed that the daily and weekly data is adjusted for splits but the hourly was not. I was amazed at this inconsistency.

I subscribe to kinetick data. I've checked off adjust for splits in the data options and I've hit the update splits button in the instrument manager but still the hourly data is not adjusted for splits and the daily/weekly is.

Can you please tell me why this is? I need my data to be consistant across timeframes. What exactly is adjusted, what is not and what options effect this.

[NinjaTrader_Kyle]

Hello stockgoblin,

Thank you for writing in to report this issue.

Please contact me with a note to Support AT NinjaTrader DOT com.

In the message, please include a link to this forum thread as well as a copy of today's trace file. You will find the file in the Documents > NinjaTrader 7 > Trace folder. I would need a copy of the 'trace.20130303.txt' file.

[nicbizz]

Kyle,

Don't mean to hijack this thread, but I'm having the same problem as well: daily charts being adjusted for splits, but hourly charts remained unadjusted.

I'm also using Kinetick, have tried the tip about updating through Yahoo, but no dice.

Would appreciate any assistance you can provide on this.

Thanks.

-Nick

[NinjaTrader_Kyle]

Hi Nick,

Thanks for your post.

Please contact me via email as per post 2 however please include a copy of the 'trace.20130313.txt' file from your PC.

Thanks!

[stockgoblin]

Well,

You're not going to believe this but NinjaTrader can't handle data that is split-adjusted for Daily and not split adjusted for intraday! Yes, NinjaTrader's prefferred data provider, or in-house data isn't compatible with it's own program!! Ha!! Absolutely ridiculous and a shame.

So that means, for stocks that have recently split, you can not have a daily chart and an intraday chart together on the same workspace without error unless you limit the data series to not include data from before the split. You would have to have one workspace with daily charts and one with intraday, update the splits with all your instruments and check adjust for splits in the options - db part to switch back and forth. A MAJOR MAJOR FLAW.

I'm currently searching for data elsewhere that has split-adjusted intraday. Kinetick is too expensive anyway and now that I've discovered it doesn't even work properly with Ninjatrader I'm going elsewhere unless something is done to the rate I'm paying. Terrible.

[nicbizz]

stockgoblin,

Whoa, that's an unpleasant surprise. I went with Kinetick solely on the expectation that as a partnered data provider, everything will work hassle-free with NT.

If you do find a data feed that provides proper split data, could you drop a note here please? I would like to switch as well.

Thanks.

-Nick

[NinjaTrader_Kyle]

Hello,


Split/dividend adjusted intraday data is supported by NinjaTrader, however because Kinetick applies splits to daily data but not intraday data, the split and dividend adjustments (within the connection wizard) would:

• When enabled: intraday data would be adjusted - however so would the daily data which is already adjusted at the server by Kinetick. (double-adjusting the daily data in essence)
• When disabled: intraday data would not be adjusted. Daily data would be adjusted.

One work around you might consider is to enable the adjustment and use minute based data for your daily bars, for example by creating a 1440 minute bar. With that 24 hour bar splits and dividends should be applied correctly.

If other questions come up please let me know.

[nicbizz]

Kyle,

Thanks for getting back to us on this. Do you know what would be the minute equivalent of weekly charts?

Thanks!

-Nick

[NinjaTrader_Kyle]

Hi Nick,

Thanks for getting back to me.

Depending on whether you want a five or seven day week use:
5 day: 7200 minute
7 day: 10080 minute

[nicbizz]

Hi Kyle,

If I use a 7day for stock charts, will 10080-minute include the "empty" data over the weekend (and essentially use only Mon-Fri), or will it ignore weekends and spill over into the following week (i.e. Mon, Tues, Wed, Thurs, Fri, Mon, Tues).

What about weeks with only a 4 day trading days due to holidays?

-Nick

[NinjaTrader_Kyle]

Hi Nick,

If the stock is closed over the weekend then you are correct that only the Monday-Friday data would be used. The same principal would apply to holiday weeks.

If other questions come to mind please let me know.