Split present in Instrument Manager, but not reflected in data

[jeff.s.robertson]

I'm having some trouble with a particular instrument (VOD). It has a stock split that is present in the instrument manager (2/24/2014 Factor: 0.090909090909090912).

In Options > Data > Historical Chart Data > Adjust for Splits is checked.

However, when I run a strategy that uses this instrument, I still get a huge numeric change at the point of the split... (below from a Print() of the closes just before and after the split date)

2/21/2014 15:30 425.92
2/21/2014 15:45 424.71
2/21/2014 16:00 429.55
2/24/2014 9:45 41.54
2/24/2014 10:00 41.24
2/24/2014 10:15 41.44
2/24/2014 10:30 41.43

Any idea what could be going on here? Is it a problem from Kinetic, my data provider?

[NinjaTrader_PatrickH]

Hello jeff.s.robertson,

Thank you for your post.

Kinetick's data is already split adjusted. Please disable the options to adjust for splits and dividends and then test again.

[jeff.s.robertson]

That worked. Thanks

[jeff.s.robertson]

Different Instrument Behaves Differently

I made the change below, which appeared to correct the trouble with VOD. (Turned off Splits in Options > Data > Historical chart data > Adjust for Splits)

However, I'm now getting an unusual result for the Instrument MLI. Like the VOD example below, it has a split showing in the Instrument Manager (3/31/2014 Factor of 2).

When I run my strategy, I get the following Print() for MLI prices:

3/28/2014 15:30 58.48
3/28/2014 15:45 58.62
3/28/2014 16:00 58.60
3/31/2014 9:45 29.98
3/31/2014 10:00 29.96
3/31/2014 10:15 30.02

Just to double check, I ran both instruments with and without the "Adjust for Splits" option. Below are the results:

MLI With NO Split Adjust
MLI 3/28/2014 15:30 58.49 1400
MLI 3/28/2014 15:45 58.63 2100
MLI 3/28/2014 16:00 58.61 5524
MLI 3/31/2014 9:45 29.98 23118
MLI 3/31/2014 10:00 29.95 7764
MLI 3/31/2014 10:15 30.02 10684

MLI With Split Adjust
MLI 3/28/2014 15:30 29.21 1400
MLI 3/28/2014 15:45 29.28 2100
MLI 3/28/2014 16:00 29.27 5524
MLI 3/31/2014 9:45 29.98 23118
MLI 3/31/2014 10:00 29.95 7764
MLI 3/31/2014 10:15 30.02 10684

VOD with NO Split Adjust
VOD 2/21/2014 15:30 38.72 733561
VOD 2/21/2014 15:45 38.61 1190784
VOD 2/21/2014 16:00 39.05 3339119
VOD 2/24/2014 9:45 41.54 1154237
VOD 2/24/2014 10:00 41.24 3135657
VOD 2/24/2014 10:15 41.44 2123624

VOD With Split Adjust
VOD 2/21/2014 15:30 425.92 733561
VOD 2/21/2014 15:45 424.71 1190784
VOD 2/21/2014 16:00 429.55 3339119
VOD 2/24/2014 9:45 41.54 1154237
VOD 2/24/2014 10:00 41.24 3135657
VOD 2/24/2014 10:15 41.44 2123624


Can you help me understand which method is correct and which is happening incorrectly? What is the source of the error? Is it a problem from Kinetick? Does it make sense that the volumes (last column in each case) are not changing with the split?

[NinjaTrader_PatrickH]

Hello jeff.s.robertson,

Thank you for your response.

Kinetick will supply instruments daily data with splits, so applying the splits to these instruments should result in double splits.

Please try the following:

• Go to Tools > Instrument Manager > search for your instrument > Delete them > OK
• Go to Tools > Options > Data > ensure the options for splits and dividends are disabled
• Then shut down NinjaTrader
• Go to the following directory on your PC: (My) Documents\NinjaTrader 7\db
• Delete the 'cache' folder in the 'db' folder
• Restart Ninjatrader > connect to Kinetick EOD
• Then re-create your instrument and open up your charts

[jeff.s.robertson]

Patrick,

Before I remove all of my instruments (I maintain hundreds of instruments, especially equities with dividend and split histories; and because the manual process of updating split/dividend histories is EXTREMELY time consuming)...

Can you try to review the two instruments I've cited below? VOD (Vodaphone) and MLI (Mueller Industries Inc.)... The critical dates are 3/28-3/31, 2014 for MLI; and 2/21-2/24, 2014 for VOD.

Do you get either of the results I get below?

[NinjaTrader_PatrickH]

Hello jeff.s.robertson,

Thank you for your response.

Attached is my screenshot of the MLI and VOD between February and April 2014.

[jmagaia]

Hi!

I have some problem with split prices.
Example in QID etc.. And today i have some time to try resolve the problem, but not be able.
Some help need.

Example for TVIX, but I have problem for others, and resolved with yahoo, but when connect Kinetick the problem back.

I delete the day data in file.
And try download again the data history only for TVIX, and the problem pesrsist.

What is the problem? With Kinectik, Yahoo or something with Ninja?

Please see attach.
Thanks

[NinjaTrader_Jason]

Hello jmagaia,

Can you please enable 'Adjust for splits' in the Options-->Data-tab and click OK.

Make sure split data is loaded from Yahoo. Please see the instructions at the link below.

http://ninjatrader.com/support/helpGuides/nt7/adding_splits_and_dividends.htm

Check if charts are adjusted as per the split data loaded from Yahoo.

[jmagaia]

With 'Adjust for splits', or not enable work with Yahoo.
But, i had told this with yahoo work.

But what I want resolve is:
most of time I use Kinetick, and If I connect them, the data back to old erros values.

So, the problem is Kinetick or not? The Options in my Ninjatrader are wrong? I have sent a email to Kinetick say they have erros in data if my Options in Ninja are correct?

And is possible download data by Yahho, and with connect with Kinetcik not change, or only add posterior data?

Thanks

Hello jmagaia,

Can you please enable 'Adjust for splits' in the Options-->Data-tab and click OK.

Make sure split data is loaded from Yahoo. Please see the instructions at the link below.

http://ninjatrader.com/support/helpGuides/nt7/adding_splits_and_dividends.htm

Check if charts are adjusted as per the split data loaded from Yahoo.

[NinjaTrader_Jason]

I assume the split data you load from Yahoo is not changed when you connect to Kinetick. You can check split data as follows. Go to Control Center-->Tools-->Instrument Manager. Highlight a stock and click Edit. Select the Misc-tab and scroll to the bottom. Click the 'Splits' row and click the '...' button that appears. Check the split data and make sure it is the same as when connected to Yahoo or Kinetick.

[jmagaia]

I assume the split data you load from Yahoo is not changed when you connect to Kinetick. You can check split data as follows. Go to Control Center-->Tools-->Instrument Manager. Highlight a stock and click Edit. Select the Misc-tab and scroll to the bottom. Click the 'Splits' row and click the '...' button that appears. Check the split data and make sure it is the same as when connected to Yahoo or Kinetick.

Thanks, Something new for me.
But, not resolved.

See the attach.
If I do for yahoo and updates split and ok etc... ok
But if disconnect yahoo and connect Kinetick tha price are worst... how can see

If I try in kinetick do the samthing like yahoo there is not the Splits!!
So, the problem is in Kinetick, true?

Also, I read in this forum that it is not necessary in Options check the splits etc... because yahoo and kinectick have the data ok...

If you want test with me no problem, but I think the problem is with kinetick, and I think that they have problem in QID etc...

[NinjaTrader_Jason]

When I test it on my end, I see gaps when I include split data. So Kinetick's data is already adjusted for splits. If you load split data from Yahoo and then load data from Kinetick, you will see gaps.

If you load historical data from Kinetick, please remove split data and you should load data the same as the attached screenshot.

Once you removed the split data, please remove and re-add the QID to your instrument list. Instructions can be found at the link below.

http://www.ninjatrader.com/support/helpGuides/nt7/instrument_lists.htm

[jmagaia]

Weel, apologise, but something I do not understand.

You say:

If you load historical data from Kinetick, please remove split data and you should load data the same as the attached screenshot.

But If I do that the data it is not equal to yahoo.
You say that Yahoo data is wrong?
What data is wrong?

In kinetick it is not posible with split here or other local have same data that in yahoo!
So, one date is wrong, or not?
If you not believe you can check with me, if you can I appreciate.

But please answer my questions above, but in this particular:

Without check or not in split in General Options, the data it is not equal, what are true? yahoo or kinectik?

[NinjaTrader_Jason]

Yahoo's data is not adjusted for splits. Kinetick's data is already split adjusted.

So if you do not load split data from Yahoo (Update splits & dividends), Yahoo's data is incorrect and Kinetick's data is correct.

If you update splits and dividends from Yahoo, then Yahoo's data is correct and Kinetick's data is incorrect.