Estimating Adjusted OHLC Prices from Adjusted Close Data

Summary

The document gives a way to estimate adjusted open, high, and low prices when a data source provides adjusted close alongside unadjusted daily prices. It scales each unadjusted price by the ratio of adjusted close to unadjusted close. It also gives an inverse adjustment for volume, dividing reported volume by that price adjustment factor.

The approach assumes the adjusted close captures the corporate action adjustment applicable to the other fields for that observation. Its accuracy is limited when adjusted close is rounded, and the answer cautions that many dividends, splits, reverse splits, or spinoffs can complicate the estimates. Data vendors may also handle historical corporate actions inconsistently, or may provide prices that have already been adjusted. The document recommends checking source data carefully; it supplies formulas but no systematic validation results or universal guarantee of accuracy.

Key ideas

• Adjusted open, high, and low can be estimated by applying the adjusted-close ratio to their unadjusted values.
• Adjusted volume is derived using the reciprocal of the price adjustment factor.
• Rounding in adjusted close limits the precision of reconstructed prices.
• Corporate actions and vendor-specific adjustment practices can make the estimates unreliable.

Tags

# How to get Adj.Open, High and Low prices?


# How to get Adj.Open, High and Low prices?












I am trying to get adj.Open , adj.High and adj.Low prices. Most data sources like yahoo and google finance provide only adj.close price.

Is it possible to derive other adj. prices using close and adj.close values with considerable accurracy?

## Answer by Richard at NorgateData (score 3, accepted)

https://quant.stackexchange.com/a/64159

The formula is fairly simple.

Adjusted Open = Open * Adjusted Close / Unadjusted Close

Adjusted High = High * Adjusted Close / Close

Adjusted Low = Low * Adjusted Close / Close

Adjusted volume = Volume / (Adjusted Close / Close)

Since the Adjusted Close is only give to two decimal places, the accuracy is a little limited but should be OK for most stocks. There are exceptions for those that have had a lot of dividends, splits, reverse splits, spinoffs etc.

Also beware that some sources have various issues with past corporate actions and don't do this at all consistently (e.g. some data already been adjusted). Good ones to check that are usually messed up include TOPS and GE.

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.