I recently subscribed to the Sharadar Core Bundle on Quandl/Nasdaq. The (apparent) value is very good; there is a ton a data for reasonable cost. Does anyone use this data?
I am just doing some basic exploration of this data and I think they are doing the dividend adjustment incorrectly in the pricing data. For example, when looking at a split,
…you can see that the “close” column is adjusted.
However, when we look at a dividend (ABT went ex-dividend on 2022-01-13), it is backwards:
Here we see that the “close” column is not adjusted.
Am I misunderstanding this? I’ve emailed Sharadar to ask.
Looking into this further, I see this convention is the same as Yahoo Finance (yfinance). The footnote on Yahoo Finance:
*Close price adjusted for splits. **Adjusted close price adjusted for splits and dividend and/or capital gain distributions.om Yahoo Finance
This is a really bad convention IMHO and very confusing. I am sure it is creating issues with many Signals models. I suppose that open, high, and low are consistent with “close”.