Adjusted historical data?

Alpaca Market Data
1

Is the aggregate historical data for the new unlimited plan ($9.99/mo) adjusted for splits and dividends?

…Thanks…
…Michael…

2

In case anyone is looking for the same info. From Alpaca email support:

Hi Michael,

Yes it is.

Sincerely,

The Alpaca Team
support@alpaca.markets

3

Hi Michael,

I am also interested in adjusted data.

I queried minute data for AAPL and TSLA at the time of their 2020 stock splits using the get_bars method, and the prices are not adjusted for the splits.

Here are the results:

TSLA at split
TSLA at split1365×831 166 KB

AAPL at split
AAPL at split1342×820 163 KB

Did Alpaca Support indicate if there was some sort of parameter to add to get adjusted data? Or perhaps a different method to use?

As artificial jumps/drops in price completely throw off backtesting and statistical analysis, adjusted data is critical.

Thanks,
Tif

1 Like
4

Hi
I was not able to get any response from alpaca regarding historical data with splits consideration, ended up paying for polygon

5

covariancematrix, they didn’t indicate any additional parameter needed to be set.

Are you subscribed to Alpaca’s unlimited tier or their free tier?

1 Like
6

@masilver ok thanks for letting me know.

I’m subscribed to the unlimited tier.

According to some open tickets in Alpaca’s github, it looks like other users are looking for historical data to have an “adjusted” option.

Perhaps someone on the inside at Alpaca can comment on this :crossed_fingers:

1 Like
7

@youdar thanks for letting us know

8

covariancematrix, thanks for posting those issues. That’s disappointing news. Unless the switch to the $9 unlimited plan magically adjusts the prices, I see a polygon.io subscription in my future.

9

@masilver sorry I missed seeing your comment sooner. I completely understand why you’d opt for a polygon subscription. Hopefully Alpaca will add an adjusted data parameter.

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10

Hi All - thanks for the feedback!

We are working on adjusted data for splits and dividends and plan to introduce it soon. We will update the community once that is available.

Thanks,
Abel

3 Likes
11

Hi Abel,

is there any ETA as to when will this adjusted price feature be introduced and made available to subscribers of the unlimited plan at least? I am trying to decide between working out a short-term work around solution myself vs. waiting for Alpaca to introduce this new feature.

Thanks!

12

Also concerned about this topic, is there any aproximate estimate when this feature would be available?

Thanks

1 Like
13

Any update? I’m a paying subscriber, and the bar data is unadjusted. Having access to adjusted data is critical for any analysis.

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14

I too would love adjusted data. Any update on possible timeline for rolling that out?

15

Same here. Unlimited subscriber but it sucks to pay & play with only unadjusted data especially this was not mentioned anywhere when bought the “data plan”

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16

any ETA when this feature would be available ?

2 Likes
17

Even when the adjusted data get to be available, please keep unadjusted data availability intact. I need unadjusted historical data for my realistic back-testing system.

18

Just for anyone else that stumbles across this thread, looks like it is available in beta now.

" Adjusted bars are now in indefinite beta! With split-adjusted historical price data, we remove large gaps caused by splits. This offers a more accurate representation of stock growth from the past until the present.Please note that this addition does not change current behavior, every call will default to raw adjustment."

2 Likes
19

Looks like some data are adjusted but some data made me scratch my head. For example the adjusted data of International Paper Company (IP). It was a 1056 for 1000 split on October 1. Now the split data provided by alpaca on September 30 and October 1 is as below. A stock that was trading around $ 50s suddenly trades near $ 7000 with such a small 1056 for 1000 split ? What possible split formula will come up to this value ? How do you analyse this data ?

{
“t”: “2021-09-30T04:00:00Z”,
“o”: 6955.079993,
“h”: 6956.289993,
“l”: 6759.059993,
“c”: 6766.319993,
“v”: 23460,
“n”: 29269,
“vw”: 6810.304945
},
{
“t”: “2021-10-01T04:00:00Z”,
“o”: 53.27,
“h”: 53.675,
“l”: 52.44,
“c”: 53.26,
“v”: 2724624,
“n”: 28339,
“vw”: 53.240473
},

1 Like
20

Hmm.

@Abel_Alpaca Do you have any ideas on what would be causing the results that @rockbusiness is seeing? Maybe a bug? (know that it is in beta)