SmartQuant Discussion

CSI Data - historical adjustments
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Author:  mjmaurer [ Mon Dec 17, 2012 11:34 pm ]
Post subject:  CSI Data - historical adjustments

In the CSI Data "Properties" panel, I find the following settings:
* Adjust_Dividends
* Adjust_Splits
The CSI UA application also allows you to choose whether to use "additive" or "proportional" (multiplicative) adjustments. I've attached a screenshot of the CSI dialog to illustrate. The additive style preserves the dollar amount of the dividend (say $0.25) while the multiplicative style preserves the relative change (say 1%). The additive style may cause historical prices to be adjusted to negative values and does not preserve relative changes; this makes it unsuitable for most backtesting studies.

So far as I can tell, OpenQuant uses the additive style. I selected menu Data / Import / Instruments / CSI Data and requested historical data for symbol CCE (Coca Cola). In October 2008 the adjusted prices go negative, as shown in the second screenshot. Is there a way to choose the multiplicative style?


File comment: Screenshot of CSI UA settings window for historical adjustments
CSI-dialog-window.png [ 28.46 KiB | Viewed 6485 times ]
File comment: Screenshot of OpenQuant Data window for CCE
CCE.png [ 44.29 KiB | Viewed 6485 times ]

Author:  krn_2k [ Thu Jun 05, 2014 3:36 pm ]
Post subject:  Re: CSI Data - historical adjustments

Hi Mike,
I am the author of the CSI Data plugin. From memory I do not think multiplicative adjustments are in the older release included with OpenQuant. I am in the processing of updating the code for OQ so will include it if possible - perhaps in a week (or two, time permitting).


Author:  krn_2k [ Tue Jun 10, 2014 12:34 pm ]
Post subject:  Re: CSI Data - historical adjustments

New version should be included in one of the next few OpenQuant releases adds this option for you. Let us know how it goes, thanks.

Author:  Dr. Anton Fokin [ Wed Jun 11, 2014 11:21 pm ]
Post subject:  Re: CSI Data - historical adjustments


thanks to Keith, here are links to custom releases containing the latest version of the CSI provider: ... nt.x86.exe ... se.x86.exe ... er.x86.exe

Please take a look and let us know if it works as expected.


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