Deriving Split and Dividend Adjustments from IB Historical Data

Summary

The document describes a way to maintain adjustment factors for saved historical price data obtained through Interactive Brokers. It distinguishes the provider’s TRADES series, which reflects stock splits but not dividends, from ADJUSTED_LAST, which reflects both splits and dividends.

By comparing locally saved data with the corresponding IB series, the author says it is possible to derive factors for split-only adjustment, dividend-only adjustment, or the combined effect. The described workflow is presented as a way to obtain daily adjustment factors with little additional work. The evidence is an accepted community answer based on the two data fields; the document gives no independent validation, code, or detail about corporate-action timing, data revisions, or instrument coverage. Users would need to confirm that the provider’s adjustment conventions suit their historical analysis.

Key ideas

• IB TRADES data is described as split-adjusted but not dividend-adjusted.
• IB ADJUSTED_LAST data is described as reflecting both splits and dividends.
• Comparing saved prices with these series can be used to derive separate or combined adjustment factors.
• The method is presented for daily data, with no independent accuracy assessment in the document.

Tags

# Keep Saved IB Historical Data Accurately Adjusted


# Keep Saved IB Historical Data Accurately Adjusted












How have you dealt with adjusting saved historical data, specifically using the IB API?

As far as I can tell, currently, I need to perform the calculations described on Quandl's blog.

I haven't looked closely enough into IB's fundamental data offerings to know if I'll need to get some of those data values from a different source (e.g., Quandl).

What has your experience been with this? Am I approaching this in the right way?

## Answer by The AI Architect (score 1, accepted)

https://quant.stackexchange.com/a/43308

Actually, because IB has

- TRADES - data adjusted for splits but not dividends, and

- ADJUSTED_LAST - data adjusted for splits and dividends

I can check what I have saved from earlier that day or the previous day against their data, and compute an adjustment factor for only splits, only dividends, and both.

Using that, I have an accurate daily adjustment factor with minimal additional work.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.