Half in jest, I ask, adjusted for what? ;) The short answer is, yes, Quantopian uses adjusted prices.

Our data source is as-traded across many exchanges. We adjust the prices for splits, mergers, and other corporate actions. And we adjust the prices for dividends, in a different way.

I don't know enough about what Yahoo's price source is, but I can comment on some general reasons that reported prices differ. One is that if you use only one exchange's data you get a slightly different set of prices. If you use after-hours data you get slightly different prices. And if you don't adjust for corporate actions, you get very different data.

Helo Dan,

Thank you.

(i) When you say "Our data source is as-traded across many exchanges" do you mean it is an aggregate price from several global exchanges?

(ii) When you say "we adjust the prices for dividends, in a different way" please advise what the differences are?

I'm curious in that Google's Close, Yahoo's Close and Netfonds's Close ( http://www.netfonds.no/quotes/analysis.php?paper=AAPL.O ) all agree exactly for the two days above. I belive these all represent the NASDAQ actual close. Your prices differ by a few cents.

But Yahoo is the only one of the four of you who explicitly show an adjusted close in addition to the (implied actual) close. I don't understand fully if the Yahoo prices reflect the dividends/splits shown here: http://investor.apple.com/dividends.cfm

My confusion is that your price is very close to the actual close of all three of the others and very different to the adjusted close of Yahoo.

(I'm not being negative - I hope you know I'm a big fan. I just need to understand the basics.)

Regards,

Peter

(i) As you know, our data consists of bars. The day bars are derived from the minute bars. The minute bars are derived from trade data from many US exchanges. As an example, the first trade of a given stock might be on the stock's exchange of record, or it might trade on Pacific or Chicago or somewhere like that. Yahoo is (I believe) going to show the open price on the exchange of record, but our data source is going to show the open price on whatever exchange traded first. The volume we use is volume aggregated from the several exchanges; the close price we use is the last price across the exchanges, etc.

(ii) Dividends are different from other corporate actions (like splits). I've linked to the help docs that go into this in some depth. The difference is because a) splits and mergers happen at a single point in time while dividends have several important dates and b) dividends require manipulating the cash balance of your portfolio while splits do not.

I think that G, Y, and NF have identical close prices because they are referring to the price defined by the exchange of record for the stock; Quantopian is different by a few cents because we are using the aggregate of several exchanges.

Yahoo's adjusted close is, I believe, reducing the price to adjust for the dividends that have been paid.

For fun, I'm attaching a little sample algo that shows how we track the dividends. The price isn't changed, per se, but the cash, and therefore the returns, are properly updated updated.

Hope that helps - it's fairly complex. When I got started with this stuff I was like "well, a price is a price. divided by stock splits. all done, right?" and it turns out to be way, way more complex. We haven't even gotten into things like reversed trades or bad prints yet ;)