Back in the day, I used to use Yahoo! Finance API to fetch the adjusted previous close, and use that to calculate the true adjusted change % intraday. What are some of the best sources of this data currently? I have looked at IEX,polygon,FMP,nasdaq.com,marketchameleon.com free split & dividend calendars. All have significant missing data and timeliness issues or other issues. Nasdaq.com seems to have decent coverage but has a weird issue where sometimes half or more of the items in the calendar don't show up, which makes it very complicated to scrape, since you can't tell the difference between a true deletion and it just malfunctioning. The calendar on marketchameleon.com is the most comprehensive I've seen but it can't easily be scraped, and they charge $500/mo (!) for a machine readable feed. ORATS also offers a dividend feed for $199/mo, have not trialed this and unclear if it also contains splits.
I use Nasdaq and Financial Modeling Prep API for splits; Nasdaq and IB for dividends. Combined the data is decent enough and free. I'll scrape that data for $500 from marketchemeleon.com, lol.
How do you deal with the flakiness of the Nasdaq API? Just only insert in the database and never delete? I guess keeping some outdated dividends around is better than missing half.. How do you get dividends from IB? Do you use that Wall Street Horizon thing?
I was simply scraping the NASDAQ website and yes, it's flaky. I use it as a secondary source only. From IB it's straightforward but time consuming as you're requesting symbol by symbol. You request with reqMktData(req_id, contract, '456', False, False, []) and the tickType in replies is 59. Don't forget to cancelMktData(req_id).
ORATS adjusts for splits. We have splits and daily prices (adjusted and unadjusted) included in our data API package. Use the link in my signature for an EliteTrader discount.
Thank you Matt, It does look like the ORATS Daily Price endpoint could be used to get the current adjustment factor (clsPx/unadjClsPx). However with the limit of 10 tickers per call and monthly limit of 20K API calls it would not be possible to get whole market coverage using this method. Is there another way?
Worth considering with the special ET pricing if the data quality is good. Is there anything you can tell us about the completeness and timeliness of the ORATS split/dividend data? Between the providers I looked at so far, the quality is shockingly variable.
We have hundreds of clients including the largest banks, trading firms, and even exchanges. We'd hear it (and do sometimes) if our data is off.