|
PureBytes Links
Trading Reference Links
|
After thinking about it, what AB is doing seems to make sense. If a
stock splits 2 for 1 then the number of shares you would now have
would be 2 at half the price. But since IWM isn't really a stock and
it has an adjusted close then to get the correct volume you would
have to use the formula I defined in the original note:
NewVolume = OldVolume * OldPrice / SplitAdjustedPrice.
That is exactly what you get if you compare the Excel file from
Yahoo with what AB imports when you download IWM.
Barry
--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxx> wrote:
>
> 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.
>
>
>
>
>
>
>
> 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
>
|