Stock splits and nightly update
Author: jsmith2007z
Creation Date: 1/24/2009 10:43 AM
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jsmith2007z

#1
In a nightly update of Fidelity data in WLP 5.3, is historical daily and intraday data automatically adjusted for stock splits taking effect the following morning, so that intraday systems that depend upon data from previous days will work correctly?

If so, what day/time (Eastern US time zone) does one need to wait until to run a nightly update to get 1) stock split adjustments, 2) (if later than 1) the final version of the data?

Thanks.
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Cone

#2
Data is never adjusted before the ex-date. You always have to be mindful of your Position Sizing and Order Price for EOD Alerts for a stock that's splitting - make adjustments to Staged orders as required.

Frankly, I don't know how Fidelity treats the intraday case on the ex-date, but here's an educated guess -

1. Static update or on-demand request:
The split and data corrections will be applied upon the first request on or after the ex-date. In the case of a static chart, a 3-day "overlap" of the local data store is always requested in order to apply corrections anyway.

2. Streaming:
Unsure. Streaming uses as much of the local history as possible and requests what's missing. I think the 3-day overlap is also used in the history request, but I just don't know if a split would be processed as it would be in a static chart. It would be worthwhile to take a look, though Fidelity QA may already have this covered. Generally we don't deal with Fidelity data, so it's really better to call them directly about it.