Finding and Adjusting Historical Data for Indian Equities
Summary
The document addresses the challenge of obtaining reliable end-of-day historical prices for Indian equities and calculating returns that are not distorted by corporate actions. It identifies the National Stock Exchange as a source of end-of-day and intraday data, with paid data suggested for higher-quality applications. It also mentions Quandl as a possible source of free end-of-day data and NSEpy as a way to retrieve daily stock, futures, options, and index derivatives data.
For adjusted prices, one reply notes that Yahoo provides adjusted closes at weekly frequency and says adjustments can be calculated if the stock’s dividend history is available. The motivation is that a raw close-to-close return can be misleading when a stock split changes the quoted price. The discussion does not provide the adjustment formula, assess source coverage or reliability systematically, or establish that these services remain available in the same form. Researchers should verify data definitions and corporate-action treatment before using a series in quantitative analysis.
Key ideas
- Raw price returns can be distorted by stock splits if corporate actions are not accounted for.\nThe discussion names the NSE as a source of Indian market end-of-day and intraday data.\nQuandl and NSEpy are presented as additional sources for historical equity and derivatives data.\nAdjusted close calculations require corporate-action information, including dividend history.\nData frequency, coverage, and adjustment practices should be checked for the intended analysis.
Tags
Full text
# Historical data resources for Indian market # Historical data resources for Indian market What is the best source for historical EOD data for Indian stock market? The data from Yahoo finance for some companies is not up-to-date and Google finance doesn't provide adjusted close prices. What should I do ? I need the data for quantitative analysis. Is there a way to calculate adjusted close from Google finance close price series ? If I'm using the expression (close[n]-close[n-1])/close[n-1] for returns calculations. It will show erroneous data, because of the change in price due to stock split. Please help me out of this. Thank you ## Answer by Tanmay (score 2, accepted) https://quant.stackexchange.com/a/15158 There's a couple of options other than Google or Yahoo that I am aware of. The NSE provides EOD data, as well as 5,2 and 1 minute data. If you're willing to pay for high quality data for your application, this is an excellent choice. http://www.nseindia.com/supra_global/content/dotex/data_products.htm Quandl provides comparatively clean, free EOD data which might suit your requirements too. Like, https://www.quandl.com/NSE/BATAINDIA ## Answer by zuiqo (score 1) https://quant.stackexchange.com/a/15157 Per its help-page yahoo provides adjusted closing prices on a weekly basis. If that is not sufficient, you can always calculate adjusted closing prices using this formula, however, you would need to know the dividend history of each stock. Those are also available from yahoo finance. ## Answer by vibhu_singh (score 1) https://quant.stackexchange.com/a/46898 You can fetch Indian stocks data from NSEpy.The data available on NESpy are: 1. Daily stock data 2. Stock futures data 3. Stock options data 4. Index futures data 5. Index options data Example to get daily stock data from NSEpy in Python: ``` from nsepy import get_history from datetime import datetime start = datetime(2019, 1, 1) end = datetime(2019, 30, 7) data = get_history(symbol='HDFC',start=start,end=end) data.head() ``` For more information, you can refer to the NSEpy documentation:
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.