Hey guys, I've been using IQFEED for data for backtesting. Listen to this, they do not include splits in intraday minute data - so this totally throw of my multiday tests using intraday data, the daily information is just fine. It took me some time to figure this out. Does anyone know a data provider that includes splits in Intraday data? This is a serious headache!!!
Yea, QuantQuote includes both splits and dividend adjustments, including special dividends such as spin-off distributions. I think Tickdata can also include splits/dividends in their minutes data, but you need to do the adjustment yourself.
Splits and Dividends are typically applied as an adjusted closing price. Your tick data should already reflect the price adjustments. We calculate an adjustment factor when back testing portfolios where present day is 1.0 and each day going back has an adjustment factor calculated based on the reported splits and dividends. This way you can analyze pairs and baskets of instruments without bias.