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A question about split adjustments
rex macey
posted Jan 21, 2014

If I understand what goes on behind the scenes, the prices used for a security are not the historical prices but have been adjusted for certain corporate actions such as splits. So let's say a stock on day x was trading at $100/share and split 2 for 1 so that on day x+1 it started trading at $50. The price on day x is adjusted to $50. That all makes sense. Here's my question (finally): Is the volume adjusted?

I was thinking about testing a system that involves looking at both price and volume. I'm familiar with price adjustments but not sure if volume is being adjusted as well. Thanks.

1 response
Dan Dunn
Jan 21, 2014

Yes, the volume is also adjusted.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.