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No Terry, what you say is incorrect.
By DEFAULT AmiBroker uses ADJUSTED prices.
It calculated adjusted high/low/open from ratio of
adjclose/close provided by Yahoo.
See documentation of $FORMAT
OpenInterest field is NOT used unless you specify
$RAWCLOSE2OI 1
in the aqh.format file.
(Then raw (unadjusted close) * 100 is placed in OI
field)/
You can also get unadjusted prices in OHLC fields
if you remove ADJCLOSE from $FORMAT definition
in aqh.format file.
It was all described in detail in
CHANGES FOR VERSION 4.46.0 (as compared to 4.45.0)
ASCII importer: support for importing unadjusted Yahoo data performing
adjustment on the fly:
- new field ADJCLOSE - to read adj. close column from
Yahoo. Works _only_ in conjunction with CLOSE field. When both CLOSE and
ADJCLOSE are present in the ASCII format definition then importer calculates
split factor by dividing ADJCLOSE/CLOSE. It then multiples OPEN, HIGH, LOW and
CLOSE fields by this factor and divides VOLUME field by this factor. This
effectively converts unadjusted prices to split adjusted prices. Split ratio
gets locked once ADJCLOSE drops below 0.05.
- new command $ROUNDADJ decimaldigits - causes
split-adjusted prices (see above) to be rounded to 'decimaldigits' precision.
By default no rounding is done.
- new command $RECALCSPLITS 1 - (off by default) causes
that splits are recalculated by AmiBroker
by the algorithm that tries to
construct correct adjusted price, based on inaccurate information provided by
Yahoo.
Note that Yahoo provides only 2 decimal digits in adj. close field
therefore the more adj. close approaches zero due to adjustements the error
grows. The option $RECALCSPLITS 1 is intended to address this problem (at
least partially).
It works as follows:
1. for each bar ratio
ADJCLOSE/CLOSE is calculated
2. if the ratio changes in two consecutive
bars by more than 10% it means that
split happened that bar. True split
ratio is guessed by matching true fraction
in the format of X/Y, where X
and Y = 1..9, to the change in ratios.
3. Then true split ratio is used to
adjust all past bars until new split is detected.
- new command $RAWCLOSE2OI 1 - (off by default) - causes
that OpenInterest field gets assigned CLOSE (raw close) field value multiplied
by 100
new aqh.format file included in "formats" subfolder using new ASCII importer
commands to import and adjust prices from Yahoo. Compatible with existing
AmiQuote versions.
Best regards,
Tomasz
Janeczko
amibroker.com
----- Original Message -----
Sent: Sunday, February 12, 2006 8:18 PM
Subject: RE: [amibroker] Re: Amibroker vs. Yahoo Finance -
different historical stock prices
> No. He's just saying the
prices have been back-adjusted since the first
> download. AB does not use
the actual prices in Yahoo. Normal place for
> back-adjusted prices is OI
field without decimal places (Actual Price *
> 100). I don't know if
there's a way to get these in using Amiquote or
> not.
> --
>
Terry
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On
> Behalf Of tomsoyer_php
>
Sent: Sunday, February 12, 2006 11:45
> To: amibroker@xxxxxxxxxxxxxxx
> Subject:
[amibroker] Re: Amibroker vs. Yahoo Finance - different
> historical stock
prices
>
> Thanks Tomasz. That make sense. But does this mean that
Amibroker's
> Close price is the same as Yahoo's Adjusted Close (which
adjusted
> for split and dividends)? If so, then how does Amibroker treat
day
> high, day low, day open, and day close? For example, if I try to
> calculate day close (C) - day high (H) in Amibroker, does this mean
> the calculation is performed using adjusted Close on unadjusted day
> high?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko"
<amibroker@xxx>
> wrote:
>>
>> Hello,
>>
>> Most possible reason is you did NOT download all history at once
> today,
>> but downloaded
>> some months/years ago,
then downloaded some later, then later then
> later.
>> Since
then Yahoo may have added adjustments (for dividiends for
>
example)
>> and this has changed HISTORICAL data on Yahoo.
>>
AmiBroker data stored in local database remained the same (because
> you
did not re-download
>> entire history again).
>>
>>
Suggestion: from time to time run FULL download to get adjustments.
>>
Once you do you will get perfect match.
>>
>> Best
regards,
>> Tomasz Janeczko
>> amibroker.com
>> -----
Original Message -----
>> From: "tomsoyer_php"
<tom.soyer@xxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent:
Sunday, February 12, 2006 4:51 PM
>> Subject: [amibroker] Amibroker vs.
Yahoo Finance - different
> historical stock prices
>>
>>
>> > Hi,
>> >
>> > I am
learning how to use Amibroker and in the process found that
> the
>> > historical stock prices for the stock symbol AA in the
Amibroker
> are
>> > different from Yahoo Finance (see
below). Does anyone have a
> good
>> > explanation for
this?
>> >
>> > Thanks,
>> >
>>
> Tom
>> >
>> >
Amibroker Yahoo Yahoo
>>
>
Close Close adj. close
>> > 5/29/2003 23.78 24.03
22.74
>> > 5/30/2003 24.36 24.61 23.28
>> > 6/2/2003
25.04 25.3 23.94
>> > 6/3/2003 24.81 25.07 23.72
>> >
6/4/2003 25.71 25.98 24.58
>> > 6/5/2003 25.58 25.84
24.45
>> > 6/6/2003 25.66 25.93 24.53
>> > 6/9/2003
25.24 25.5 24.13
>> > 6/10/2003 25.68 25.95 24.55
>> >
6/11/2003 25.81 26.08 24.68
>> > 6/12/2003 25.87 26.14
24.73
>> > 6/13/2003 25.32 25.58 24.2
>> > 6/16/2003
26.01 26.28 24.86
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>> > Please note that this group is for
discussion between users only.
>> >
>> > To get support
from AmiBroker please send an e-mail directly to
>> > SUPPORT {at}
amibroker.com
>> >
>> > For other support material
please check also:
>> > http://www.amibroker.com/support.html
>>
>
>> >
>> > Yahoo! Groups Links
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>>
>
>
>
>
>
>
>
> Please note that this group is for
discussion between users only.
>
> To get support from AmiBroker
please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
>
>
>
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--------------------------------------------------------------------~->
>
> Please note that this group is for discussion between users
only.
>
> To get support from AmiBroker please send an e-mail
directly to
> SUPPORT {at} amibroker.com
>
> For other
support material please check also:
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>
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Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
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For other support material please check also:
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