Checking Yahoo Finance Price Data Before Using It in Research
Summary
The document discusses reports of inconsistent Yahoo Finance downloads after changes to its data access method. The answer describes a retrieval process that relied on extracting a token from a webpage, along with reported irregularities in adjusted-close values, missing or null observations, and inconsistent treatment of dividends and splits. It warns that these issues could appear within a single download, making assumptions about price adjustment unsafe.
A follow-up gives a concrete example of a reverse stock split that was reportedly not reflected promptly, leading an algorithm to interpret the price move as a breakout. The discussion is anecdotal and tied to the service’s state at the time; it offers no systematic benchmark or quantified error rates, and the specific behavior may have changed since. Its practical lesson is to validate corporate-action adjustments, missing values, and ticker coverage against independent sources before using the data in backtests or live decisions.
Key ideas
- The cited experience reports inconsistent adjusted-close and corporate-action treatment in Yahoo Finance downloads.
- Missing or null values may occur, including in price or volume fields.
- A stale split adjustment can create a false apparent breakout in an automated strategy.
- Validate corporate actions, missing data, and ticker availability before relying on a free data feed.
- The examples are anecdotal and describe conditions at the time of the discussion.
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Full text
# Is Yahoo! Finance data good or bad now? # Is Yahoo! Finance data good or bad now? I have read various blog posts and reddit threads and so on talking about the recent changes to the Yahoo! Finance API and it leaves me very confused. I'm confused about what has changed. Supposedly all prices are adjusted data for both dividends and splits, but the "AdjClose" column isn't? Or no data is adjusted for dividends (just splits)? Or too much data is mysteriously missing? Or that only the location of the API has changed (breaking links) but the data is the same? Can someone explain: - What has changed - What exactly about the quality of the data has changed (or that changes appear sporadically without explanation, which would be bad) - What about the data described has changed (is it adjusted as it was before, or are dividends no longer adjusted for, putting Yahoo! Finance on part with Google Finance) - Whether Yahoo! Finance should be the go-to source for free equities data now, or whether Google Finance/Quandl are now superior Thanks! ## Answer by mementum (score 13, accepted) https://quant.stackexchange.com/a/35021 > What has changed The API is gone. The new downloads need 1st to parse the Yahoo Finance page to find a hidden crumb and use it as the key for data retrieval over a 2nd URL. The adjusted close is sometimes the adjusted, sometimes is the non-adjusted and sometimes is a different value Lines with literally "null" as the value for the prices have been inserted. Apparently this sometimes only affects the volume Sometimes changes will appear across a single download of data. Splits and dividends are for example apparently no longer applied to some of the values > What exactly about the quality of the data has changed (or that changes appear sporadically without explanation, which would be bad) What about the data described has changed (is it adjusted as it was before, or are dividends no longer adjusted for, putting Yahoo! Finance on part with Google Finance) Having a lot of "sometimes" as seen above is for sure no synonym of quality > What about the data described has changed (is it adjusted as it was before, or are dividends no longer adjusted for, putting Yahoo! Finance on part with Google Finance) See above again > Whether Yahoo! Finance should be the go-to source for free equities data now, or whether Google Finance/Quandl are now superior It is obviously no longer usable without a prior analysis from your side. Anything else seems to be a better choice now. For reference see for example: - https://community.backtrader.com/topic/432/yahoofinance-data-feeds/ - https://community.backtrader.com/topic/516/yahoofinancedata-gets-displayed-invalid-due-to-changed-adjusted-close/ - https://community.backtrader.com/topic/411/attributeerror-nonetype-object-has-no-attribute-close/ Note: Understanding that Yahoo may have not been happy about people downloading (and possibly redistributing) data for (a) f(r)ee, how Yahoo did it shows what Yahoo is up for: a web page that said that engineers were working on the problem. There was obviously no problem and a page indicating that the service was no longer available would have been the right way to go. Update: And some tickers like `YHOO` (surprise, surprise) seem to no longer be available (try for example `YHOO.MX` for something that works) ## Answer by Jerry (score 2) https://quant.stackexchange.com/a/45369 No. I’m watching the management of a penny stock manipulate its share price by announcing a reverse stock split and yahoo hasn’t adjusted its prices going on a week and a half. The algorithms thinks it’s a huge breakout and are buying. There’s plenty of opportunity to pickoff bad data.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.