On Tue, Oct 12, 2010 at 9:23 AM, John Hunter <jdh2...@gmail.com> wrote:
> On Tue, Oct 12, 2010 at 10:55 AM, Keith Goodman <kwgood...@gmail.com> wrote:
>> Thanks for the code. I added matplotlib's yahoo historical quote code
>> to my labeled array package, la. While doing so I noticed a couple of
>> possible bugs:
>>
>> - The doc string for parse_yahoo_historical says that the volume is
>> adjusted. But I don't see a line of code that does the adjustment.
>
> We don't do the adjustment, Yahoo does. Eg, take a look at CROX
> around their 6/15/07 split.
>
> http://finance.yahoo.com/q/hp?s=CROX&a=05&b=1&c=2007&d=06&e=1&f=2007&g=d
>
> IDC reports consolidated volume on 6/14/07 (pre-split) was 4,366,319
> shares. Yahoo reports 8,726,000 -- which is close to 2x the raw
> volume (I assume the difference is in how some of the shares
> transacted on non-primary exchanges are counted). Likewise, on
> 6/13/07, IDC reports
> 7,852,268 and Yahoo reports 15,544,200, which is close to 2x. So it
> appears they are backward split adjusting the volume.
I knew it was worth it (to me) to report what I thought was a bug. Thanks.
Well, then perhaps the doc string needs tweaking?
*adjusted*
If True (default) replace open, close, high, low, and volume with
their adjusted values.
The adjustment is by a scale factor, S = adjusted_close/close.
Adjusted volume is actual volume divided by S;
Adjusted prices are actual prices multiplied by S. Hence,
the product of price and volume is unchanged by the adjustment.
It does state that volume is adjusted by S (where S contains dividend
info). I take it that volume is the same whether adjusted is True or
False, which means that dollar volume is not unchanged.
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