I have historical quotes and prints (stocks) going back 5 years, but the data is not split or dividend adjusted. 1. Is there a tool (preferably a c# or c++ library) for adjusting historical equity prints? 2. In case I have to build this myself, where is a good source of recorded historical splits and dividends for NYSE, NASDAQ, etc. listed equities?
This Yahoo data? http://finance.yahoo.com/q/hp?s=BAC+Historical+Prices That looks promising. Do you have a tool for scraping this data? Thank you
I wrote it for my own use in perl and it's too custom to share but it shouldn't take more than an hour using HTML TableExtract and LWP UserAgent modules.
Unlike their data. They often miss dividends. I would absolutely not rely on this without hand checking it per ticker.
Edit: I am not looking for the total return, rather, I am looking for the daily price adjustment data. I am not buying a total-return series--unless that can be used to calculate the daily adjustments. I have access to several years of historical prints and quote data. This is not cheap data, so even if there is a vendor that offers both adjusted and non-adjusted historical prints, I couldn't drop 10s of thousands of dollars to buy it. I will roll my own adjustments, because it won't take me too long to implement, and I don't have an adjusted source for this data.
The function AdjustOHLC from Quantmod package for R allows to do it with Yahoo data. See page 16: https://cran.r-project.org/web/packages/quantmod/quantmod.pdf
My favourite free source: http://ichart.finance.yahoo.com/x?s=" + symbol + "&a=00&b=2&c=2000&d=01&e=25&f=2018&g=v&y=0&z=30000 Yahoo`s historical prices are often inconsistent with this data. But as already said: This is not "perfect or absolutely reliable" data. But I heard somewhere that this is very easy to scrape.
Yes, thank you. That is what I am doing. I am scraping the data with a c# app, and have created a map which computes the adjustment ratio between any 2 dates (also have a c++ app to scrape it). Kalmar, above you, is using R to do something similar. Yahoo is the easiest source I've heard mentioned, so I am using it. Also nice that they include dividends.