Close and Adjusted Close in Interactive Brokers API and Yahoo Finance
Close and Adjusted Close in Interactive Brokers API and Yahoo Finance
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Nyxynyx · External communityPost link
External question — Quantitative Finance Stack Exchange
Author: Nyxynyx
Original post: https://quant.stackexchange.com/questions/36752
License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
On
Interactive Broker's TWS API manual
, there are several historical data types to choose from.
Which IB TWS data type's
Close
value corresponds to
Close
Adjusted Close
in Yahoo Finance?
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Brian from QuantRocket · External communityPost link
External answer — Quantitative Finance Stack Exchange
Author: Brian from QuantRocket
Original post: https://quant.stackexchange.com/a/36757
License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/
Adaptation: HTML converted to plain text; contact email addresses removed.
On the page you link:
TRADES data is adjusted for splits, but not dividends
ADJUSTED_LAST data is adjusted for splits and dividends. Requires TWS 967+.
So to get adjusted close, request
ADJUSTED_LAST
and use the Close field. To get the unadjusted close, request
TRADES
and use the Close field.
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Quoted from Forex.com.bd-Editorial External answer — Quantitative Finance Stack Exchange Author: Brian from QuantRocket Source score (net votes, not local likes): 2 Original post: https://quant.stackexchange.com/a/36757 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. On the page you link: TRADES data is adjusted for splits, but not dividends ADJUSTED_LAST data is adjusted for splits and dividends. Requires TWS 967+. So to get adjusted close, request ADJUSTED_LAST and use the Close field. To get the unadjusted close, request TRADES and use the Close field.
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