Unadjusted EOD database

Discussion in 'Data Sets and Feeds' started by WindShield, May 10, 2005.

  1. I am looking for a good EOD stock database from which I could extract the following data for NYSE and NASDAQ securities:
    1). Unadjusted O,H,L,C,V
    2). Stock Split Dates and Ratios
    3) Dividend data would also be nice.

    I am now a subscriber of:
    1) Reuters DataLink - It seems to have ONLY adjusted stock data, no option to download split information either.
    2) Worden - Good database, but again ONLY adjusted stock data, there is an option to download split information using the API. (Have not tried it yet).
    3) MLDownload - To fetch Yahoo (CSI) data. I can get unadjusted data but the downloader does not get split information.
    4) Premium data - Only adjusted stock data.

    Am I the only researcher that would like to adjusted my own data, or simulate the splits as they happen?

    I am looking to perform real historical simulations, the adjustment of data, affects several things:
    1) The prices are not the real prices (Can't sort by Price ranges)
    2) Calculated Change per day (Close-Open) / Open is not correct on dar away adjusted data.

    Anybody here a subscriber of CSIData:
    1) Do you have access to the Split information (Dates, Ratios per symbol)
    2) Do you have access to the Dividend information.

    Anybody a subscriber of Mergent? - If so how much does the Price data cost? (They simply do not answer the phone and customer support / sales do not know).

    Any help is welcome.
  2. Mergent is $32k. They have both adjusted and unadjusted data as well as a corporate events database. They are largely survivorship bias free.

    I believe that CRSP provides a similar database for less money, but not a lot less.


  3. I would love to have access to such a database.
    But that is to expensive for me right now.
    I would pay a few K's for that data but not much more.

  4. You can. Enroll. :)

    Lots of business schools have CRSP licenses.

  5. I have a 730 GMAT, BSc /MSc in Computer Science, but very little relevent work experience.

    (I am Israeli, waisted 3 years in the army, like we all do).

    I live in Philly, but Wharton won't take me without years of experience.

    All I want is to sit with such a database and not get up,
    Until the database submits to my will and algorithms.

    I already have algorithms which show huge promiss, I just need some more time and a solid database.
  6. I think Quotes Plus will give you access to this data, and it's cheap. I would recommend you give them a call or an e-mail. They also have an API that you can use with Excel or your own custom programs.



  7. I subscribe to CSI, QuotePlus and TeleChart.

    CSI does provide API-level access to their data with or without split and/or dividend adjustments. You can derive the ratios by accessing the data both ways. They also include many no-longer-active symbols, though the farther back in time you go, the less complete this is.

    TC2005 now (finally) provides a way to access the split dates and ratios via the API, but they don't have the dividend data. Quotes Plus provides access to splits and dividends, but their dividend information is not complete (only the last few dividends for each stock are included). Neither TC nor QP has data for inactive stocks.

    In general, I use CSI data for longer-term backtests, and QuotesPlus for daily trading and near-term tests. (I'd use CSI daily if their API wasn't so slow.)
  8. Thanks.
  9. alanm


    Did anyone find a cheap solution to this?

    I recently spent way too much time auditing about 2 year's worth of captured data for only a few hundred stocks, collected from my trading app (via myTrack), AMEX, Yahoo, and Morningstar. It took forever, and I just gave up on some of them because of the inability to find the necessary information - even on the issuers web site. Even for vanilla situations, any given source is wrong 5-20% of the time, let alone ADRs, foreign issuers, mergers, etc.

    Does the DTC (or DTCC or NSCC, whichever it is) provide this data, since they would be the definitive source?
  10. alanm


    I should mention that the (free) OHLCVx bars I get from Yahoo with AmiQuote contain unadjusted close values as well as their claim of a running adjusted value. It's just that their split, dividend, etc. data is not reliable.
    #10     Mar 13, 2006