Hi everyone. I am working with unadjusted data for various stocks. As I don’t have the dividends and other corporate action data, the zipline adjustments are of no value. But I do have adjustment factors for each stock. How can I adjust the prices and volume with the adjustment factors? With open, high, low, and close prices, I multiplied the adjustment factor. But with volume, do I need to adjust that as well?
Yes, that’s the standard way of doing it, to preserve the impact of the corporate action on the data.
Consider a stock split 2:1 stock split (adjustment factor 0.5) on a $50 stock that had 1M shares traded for the day. The split causes the price to reduce to $25. For the volume you divided it by the adjustment factor, so the volume becomes 2M.
Best regards,
Richard