Re: [amibroker] Re: Amibroker vs. Yahoo Finance - different historical stock prices, AmiBroker Email List Archive

Tomasz,

You said " By DEFAULT AmiBroker uses ADJUSTED prices."

I said "AB does not use the actual prices in Yahoo"

Same thing, right?

I also said " Normal place for back-adjusted prices is OI field"

This is, of course, my mistake and I meant "actual prices". You must read what I mean and not what I write ;-)

Terry

-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Tomasz Janeczko
Sent: Sunday, February 12, 2006 14:20
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Amibroker vs. Yahoo Finance - different historical stock prices

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

http://www.amibroker.com/guide/d_ascii.html

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

http://www.amibroker.com/guide/whatsnew.html

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 -----

From: "Terry" <MagicTH@xxxxxxxxxxx>

To: <amibroker@xxxxxxxxxxxxxxx>

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
>> >
>> >
>> >
>> >
>> >
>> >
>> >
>>
>
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