I just started to obtain historical data from Interactive Broker via calls to it's API then I will feed the daily bar prices ( open, low and close) to my algorithms to generate signals. Further examination found that IB seems to adjust the closing equity price 1 day before the ex-dividend dates, and this adjustment happens only for one day closing price. If t= ex dividend date Pt-1 = P original close - abs(dividend) Although this approach is slightly different from Yahoo Finance (% adjustment to prevent adjusted price from going negative) but I guess I can apply the adjustments to all pre ex-dividend date data myself for IB price series. So this is not a worry to me. However, I found quite a few cases that IB missed adjustment to the most recent dividend, say t0 is today, the March Pt-1 is adjusted but not for the Sep Pt-1, even for some very liquid large cap blue chip stocks. I have called IB support trying to get some answers but they are very slow and for those are still working during Xmas they seem to have no answer. So my question is: (1) is this consistent with your understanding of IB's treatment on historical dividends? (2) How reliable, based on your experience, is IB's historical data? especially on the adjustment part. (3) if there is any other reliable sources that I can get dividend/split adjusted open,cl,high,low end of day prices for Australian equities? I know you find good data for US equities but I am struggling to find the Aussie ones. Thanks in advance!
there is stock price going ex for dividends, and stock splits, also called sometimes shares dividends some dividends are paid indeed in shares, which is basically a stock split. the cash dividend going ex will decrease the stock price by the cash amount of the dividend and therefore it is a "market data" items and will be recorded immediately on that day by the different Exchange. for stock split (and dividend shares of more than 10%), the stock price will be adjusted by the "PAR" value denominator, market cap is the same (shares floating x price) but the price and number of shares outstanding will be adjusted. However, market data will not be adjusted retroactively as they should when you want to compute certain effects of price. Market Data vendors will usually report actual prices, not adjusted prices by stock splits historically. Therefore it's an issue you need to resolve by yourself by building your own database of share dividends and stock splits. Hope that helps and wasn't too confusing,