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Volume doesn't "actually change", but if you must adjust it otherwise
Vol * Price won't equal the amount of money traded pre-split.
--
Terry
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On
Behalf Of Barry Scarborough
Sent: Friday, July 21, 2006 17:21
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] How does AB calculate splits for things like IWM?
I noticed that AB does not have correct, or the same, values for the
volume that you get when you download the historical data from Yahoo
into Excel. I don't know if the split adjusted values are supposed
to apply to the volume but apparently the AmiBroker folks think so
because they are multiplying the volume by split adjusted factor.
For instance, 5/26/2000 has a Close of 91.44, an adjusted close of
42.57 and a volume of 74,800. When AB does the split when the data
is imported from AmiQuote the volume is changed to
Volume = 160,669 = int(74800 * 91.44 / 42.57);
Does anyone know if that is the right thing to do? Does volume
actually change when a split occurs? Or should the volume be left
alone?
If you try to import the data from Excel you get the wrong values
again because when you try to correct the split AB says use a times
2 factor and the volume is 2 * 74,800. Now all the data values seem
to be wrong too. I guess if you calculated the factor on the first
date you would get exactly what AQ/AB import gets.
Barry
I am running AB 4.80 and AQ 1.91.
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