How to retrieve adjusted prices through BBFree provider?
Author: aykuts
Creation Date: 5/29/2014 9:48 AM
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aykuts

#1
Hi,

I recently started to use BBFree Static provider.

The idea is great, and it helped to a great extent me overcome most of data issues, for most asset classes, particularly the Turkish assets.

However, I simply could not sort out one thing.

Most companies pay dividends, or go for stock splits, or do rights issues all of which affect the share price.

That said, for many stocks, the historical prices should be adjusted retrospectively before it is used for any kind of back-testing.

That said, what matter for historical analysis from any stragist's perspective should be these "adjusted" prices (i.e. the historical prices which are retrospectively adjusted for the dividends paid, stock splits, and/or rights issues that happen "after")

Before going further, I reckoned to first check whether the data coming from the BB Data provider is the "raw closes" , or, "adjusted closes".

And yes, the data, which are automatically downloaded from BB servers through this nicely thought and provided Data provider, is the "raw prices".

Then I checked relevant forum and wiki entries such as:
- this one: http://www2.wealth-lab.com/WL5WIKI/BBFree.ashx
- and this one: http://www.wealth-lab.com/Forum/Posts/BBFree-static-streaming-Daily-data-provider-30679

I realized that noone discussed in these threads the need for "adjusted" prices.

**

My question then would naturally be:
"How can I retrieve "adjusted" prices through the BB Free Static Daily Data provider? As it is currently returning "raw" data, and raw data is basically useless for backtesting and in fact for any sort of historical analysis?"


My hunch is that;
- the "adjustmentNormal",
- the "adjustmentSplit"
- or any other relevant adjustment options while sending requests
should be converted to "true" (from "false") to retrieve the adjusted series; Currently, they appear to have been set as "false" - which eventually return raw price series, which eventually becomes a sort of "garbage-in" for the analysis.

My de-facto question could also be:
"Is there any option that I could not see while creating a dataset in order to make my BB Data Provider returning adjusted prices for me rather than the current (default) configuration that returns raw data?"

Thanks in advance for the time and consideration;

Aykut



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Eugene

#2
Hi,

It's unknown if the mentioned data feed can return the adjusted series or not. I have no idea and there is no documentation. For its hackish unofficial nature, take the provider as is.

You can use the built-in Yahoo! data provider to load dividend-adjusted data directly, turning the adjustment on/off in the Yahoo! tab in the Data Manager. As Yahoo! provides the raw and adjusted Close series, you can retrieve what you need using this technique:

Split and Dividend Adjusted Prices?

Since the post takes the Fidelity data for example, adjust the series name as per Cone's post #7 here:

How do I apply automatic Yahoo! Dividend Adjustments
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aykuts

#3

Hmm, if that is the case, then, whatever you suggest is quite serious here as you say (imply) that we should NOT be using this data provider for back-testing purposes.

In fact, we should NOT be using this for anything related to the equities class at all - as whatever we will be designing (a strategy, an idea, back-test, trading, monitor, anything...) will simply be based on "garbage in" which eventually would yield "garbage out".

Thank you for your remarks on the matter.

I will try Yahoo! data provider for the assets I am more focused on, and will hope it resolves my data issues through a more elegant way than text files, manual imports/exports etc.

Thanks

Aykut Sarıbıyık







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Eugene

#4
With data providers like BBFree, I guess one just has to reload the data periodically to apply the split/dividend adjustments made on the server to the past data to avoid gaps.
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Eugene

#5
Due to demise of the free data feed we have to take down the BBFree provider from the Extensions section.