Stock Splits Explain Historical Equity Prices in Limit Order Book Data

Summary

The document addresses a historical limit order book data user’s concern that sample equity prices appear implausibly high when compared with present-day quotes. The reply explains that the observations reflect prices at the time they were recorded, before later stock splits changed the number of shares and the quoted per-share price. It cites Apple’s 7:1 and 4:1 splits and Amazon’s 20:1 split as examples that account for the apparent discrepancy.

The practical lesson is to check corporate actions and the price adjustment convention before concluding that historical order book data is incorrect. The note does not provide a catalog of free data sources, inspect the files, or establish details about depth or execution event fields. Its evidence is a brief explanatory answer, so it resolves the specific price concern but does not amount to a broader data quality assessment.

Key ideas

• Historical share prices can look high compared with current prices because later stock splits alter per-share prices.
• Apple’s later splits explain the cited 2012 price discrepancy.
• Amazon’s later split also changes how its older per-share price compares with today’s.
• Check split history before treating historical limit order book prices as erroneous.
• The reply addresses price interpretation rather than free data availability or order book completeness.

Tags

# FREE historical limit order book tick data with decent depth


# FREE historical limit order book tick data with decent depth












This is for academic purposes. I am trying to find tick data with depth and type of order execution, i.e. MO, LO, cancellation etc. for equities and or indices like SPY that is FREE.

It does not have to be a lot, only a day and need not require a large depth. I was using the free samples from Lobsterdata, but I realised that their data isn't correct. (Apparently they think AMZN and AAPL were trading at \$223 and \$585 in 2012!).

I already looked at the master list but they don't have free options of the order book data similar to what lobster has.

## Answer by Alexis C. (score 1)

https://quant.stackexchange.com/a/81642

Lobster's data is correct—AAPL traded at $585 in 2012, but two stock splits, a 7:1 split in 2014 and a 4:1 split in 2020, have since adjusted the price. AMZN had a 20:1 stock split in 2022 as well.

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.