Why the price data is different?

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Why the price data is different?

edited Jun 22, 2017

In different trade date, why I can't get the same price data which bind with a specified date?
Here is my simple code:
def initialize(context):
context.rs_ref_stock = sid(19656)

def before_trading_start(context, data):
#get XLF close price
xlf_price_history = data.history(sid(19656), ['close'], 3, '1d')
log.info("\n" + str(xlf_price_history))

Output:
2017-06-15 20:45 before_trading_start:10 INFO
close
2017-06-12 00:00:00+00:00 24.345
2017-06-13 00:00:00+00:00 24.455
2017-06-14 00:00:00+00:00 24.500
2017-06-16 20:45 before_trading_start:10 INFO
close
2017-06-13 00:00:00+00:00 24.361690
2017-06-14 00:00:00+00:00 24.406518
2017-06-15 00:00:00+00:00 24.306900
End of logs.

1 response

The reason is XLF declared a dividend on 06-16-2017 (see https://us.spdrs.com/en/resources/distributions/index.seam?ticker=XLF ).

The dividend was $0.093059 per share effective on the ex-date of 06-16-2017. Prices on Quantopian (and other data sources) are split AND dividend adjusted. A dividend looks exactly like a stock split when adjusting historical prices. One could argue when exactly to apply that adjustment but after the ex-dividend date the stock would be worth less because one doesn't have the rights to the dividend. Conversely, the stock before that date was worth more. The price difference is exactly equal to the dividend. (Take a look at http://www.investopedia.com/terms/a/adjusted_closing_price.asp for more info)

This is what the price data above is reflecting. After 06-16-2017, all the prices before that date are reduced by the dividend amount. (The resulting prices agree to 3 decimal places).

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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.