XigniteHistorical FAQs

Splits and dividends can be important to normalize historical data by transforming actual traded prices to effective prices. There are two generally accepted methods for dividend adjustments, which we term Absolute and Proportional; XigniteGlobalHistorical supports both adjustment methods. When requesting historical data, XigniteGlobalHistorical lets you determine with which method (if any) to adjust historical prices that preceded a split and/or dividend to be consistent with post-split and/or post-dividend prices.

Goals

We designed split and dividend adjustment methods to meet the following goals:

  • Calculate total returns - Total returns require adjusting prices based on splits and the percentage of the price that a dividend represents.
     
  • Manage cash accounting - Cash accounting requires adjusting prices based on splits and the actual dividend amount.

Terminology

We use these terms when describing split and dividend adjustments:

Term Definition
Adjusted Price A price that reflects splits and/or dividends.
Dividend Adjustment Factor The ratio by which to adjust a price to reflect a dividend.
Split Factor The ratio by which to adjust a price to reflect a split.

Split Adjustments

Split adjustments are performed by applying a Split Factor, which is the ratio of old shares for each new share received. Historical split-adjusted prices, are calculated by multiplying the actual historical price by the Split Factor. For example, a 2-for-1 stock split is represented by a Split Factor of 0.5, which means the split-adjusted historical price prior to the split is 50% of the historical market price. Similarly, a 1-for-4 reverse stock split is represented by a Split Factor of 4, which means the split-adjusted historical price prior to the split is 4 times the historical market price.

Example 1: 2-for-1 stock split on Day 4

Day Closing price Split factor Split-adjusted price
1 $12.00   $12.00 x 0.5 = $6.00
2 $11.00   $11.00 x 0.5 = $5.50
3 $11.50   $11.50 x 0.5 = $5.75
4 $6.00 (2:1 split) 0.5 $6.00
5 $6.25   $6.25

Example 2: 1-for-4 reverse stock split on Day 4

Day Closing price Split factor Split-adjusted price
1 $12.00   $12.00 x 4 = $48.00
2 $12.50   $12.50 x 4 = $50.00
3 $12.25   $12.25 x 4 = $49.00
4 $50.00 (1:4 split) 4 $50.00
5 $50.25   $50.25

Dividend Adjustments

Absolute adjustments:

Absolute dividend adjustments ensure that actual monetary return calculations are consistent across dividend events. Note that percent return calculations require using proportional dividend adjustments.

Absolute dividend adjustments use solely the amount of the dividend to adjust historical prices and are calculated by subtracting the actual amount of the dividend from prior actual historical prices.

Proportional adjustments

Proportional dividend adjustments ensure that percent return calculations are consistent across dividend events. In combination with split adjustments described above, these calculations are consistent with the Center for Research in Security Prices methodology and assumes that all dividends are reinvested and that no taxes are collected on dividend payments.

Proportional dividend adjustments are based on both the amount of the dividend and the closing price on the pay date, and requires calculating a dividend adjustment factor on the pay date as such:

Dividend adjustment factor = (Previous day closing price - Dividend amount) / (Previous day closing price)

Proportional dividend adjusted historical prices are calculated by multiplying this dividend adjustment factor against the actual historical prices prior to the dividend pay date.

Example 3: $1 dividend on Day 4

Day Closing price Dividend Dividend adjustment factor Absolute adjusted price Proportional adjusted price
1 $10.50     $10.50 - $1 = $9.50 $10.50 x 0.9 = $9.45
2 $10.75     $10.75 - $1 = $9.75 $10.75 x 0.9 = $9.68
3 $10.25     $10.25 - $1 = $9.25 $10.25 x 0.9 = $9.23
4 $10.00 $1.00 ($10.25 - $1)/$10.25 = 0.90 $10.00 $10.00
5 $9.75     $9.75 $9.75

Multiple adjustments

There may be more than one split or dividend corporate action over a given time range, in which case some historical prices can be adjusted by the cumulative effect of multiple corporate actions. For illustrative purposes, below are examples adjusting for multiple splits and dividends.

Example 4: Multiple splits - Day 4 2-for-1 split, Day 7 1-for-4 split

Day Closing price Split factor Split-adjusted price
1 $12.00   $12.00 x 4 x 0.5 = $24.00
2 $11.00   $11.00 x 4 x 0.5 = $22.00
3 $11.50   $11.50 x 4 x 0.5 = $23.00
4 $6.00 (2:1 split) 0.5 $6.00 x 4 = $24.00
5 $6.50   $6.50 x 4 = $26.00
6 $6.25   $6.25 x 4 = $25.00
7 $24.25 (1:4 split) 4 $24.25
8 $25.00   $25.00

Example 5: Multiple dividends - Day 3 $1.50 dividend, Day 7 $1 dividend

Day Closing price Dividend Dividend adjustment factor Absolute adjusted price Proportional adjusted price
1 $11.75     $11.75 - $1 - $1.50 = $9.25 $11.75 x 0.9 x 0.88 = $9.31
2 $12.00     $12.00 - $1 - $1.50 = $9.50 $12 x 0.9 x 0.88 = $9.50
3 $11.00 $1.50 ($12 - $1.50)/$12 = 0.88 $11.00 - $1 = $10.00 $11 x 0.9 = $9.46
4 $10.50     $10.50 - $1 = $9.50 $10.50 x 0.9 = $9.45
5 $10.75     $10.75 - $1 = $9.75 $10.75 x 0.9 = $9.68
6 $10.25     $10.25 - $1 = $9.25 $10.25 x 0.9 = $9.23
7 $10.00 $1.00 ($10.25 - $1)/$10.25 = 0.9 $10.00 $10.00

Example 6: Splits and dividends - Day 3 2-for-1 split, Day 7 $1 dividend

Day Closing price Split factor Dividend Dividend adjustment factor Absolute adjusted price Proportional adjusted price
1 $21.75       $21.75 x 0.5 - $1 - $1.50 = $9.88 $21.75 x 0.5 x 0.9 = $9.79
2 $22.00       $22.00 x 0.5 - $1 = $10.00 $22.00 x 0.5 x 0.9 = $9.90
3 $11.00
(2:1 split)
0.5     $11.00 - $1 = $10.00 $11 x 0.9 = $9.46
4 $10.50       $10.50 - $1 = $9.50 $10.50 x 0.9 = $9.45
5 $10.75       $10.75 - $1 = $9.75 $10.75 x 0.9 = $9.68
6 $10.25       $10.25 - $1 = $9.25 $10.25 x 0.9 = $9.23
7 $10.00   $1.00 ($10.25 - $1)/$10.25 = 0.9 $10.00 $10.00

XigniteGlobalHistorical operations

XigniteGlobalHistorical lets you retrieve prices for one or more securities over a time range. You can specify whether or not to adjust these prices for splits and/or dividends using the input AdjustmentMethod field:

AdjustmentMethod Split-adjusted Dividend-adjusted Comments
None No No  
SplitOnly Yes No  
CashDividendOnly No Absolute  
SplitAndCashDividend Yes Absolute  
ProportionalDividendOnly No Proportional  
SplitAndProportionalDividend Yes Proportional  
All Yes Absolute (Legacy)
DefaultValue Yes Absolute (Legacy)


We complete the daily mutual fund NAV data loading process at 7:30 PM EST (19:30). You may schedule any automated jobs to run at 7:30 PM EST (19:30), and in case this job has any late corrections, we suggest a secondary query to be timed at or around 9:00 PM EST (21:00). 

If you have any questions about this process, please send an e-mail to support@xignite.com.

Here are the basics of how data on Mutual Funds differ from Exchange-Traded Funds (ETFs):
  • Mutual funds are commonly open–ended, while ETFs are closed-end funds.
  • All mutual Funds report NAVs via the NASDAQ Mutual Fund Quote Service (MFQS)
  • ETS report both NAVs and Trade Prices
    • Trade Prices are reported just like equities view UTP Level 1 feed
    • NAVs are sometimes reported via MFQS as well, but not all ETFs do so
 
Trade Prices are the price of the fund on the open market while the NAV is the actual sum of all the assets within the fund, less the liabilities.
 
The XigniteHistorical and XigniteGlobalHistorical service captures end of day prices from the exchange. On those services you will see:
  • Prices for equities
  • Prices for ETFs
 Our XigniteFunds service captures NAVs for anyone reporting on MFQS so you will see there:
  • NAVs for mutual funds
  • NAVs for ETFs reporting their NAV via MFQS

End of day prices for equities are generally available by 5:00 PM EST, or 1 hour after Market Close. This includes closing prices for ETFs as well as any other exchange traded securities.

NAVs for ETFs and mutual funds are available later in the evening, and there is a separate FAQ for this.

Most prices start becoming available as soon as the market close as the exchanges feed closing prices. Most priceswill be available by 4:30 PM EST, but further corrections could trickle in until 5:00 PM EST. It is possible for corrections to occur until close of markets at 8:00 PM EST.

To be safe, it is best to wait until 5:00 PM EST to start pulling end of day prices.

If you have any other questions, feel free to send an e-mail to support@xignite.com.

All dividends are available by market open on the Ex-Date. For example, if a dividend Ex-Date is recorded as 8/12/2013 - all quotes Services will include this dividend in results or adjustments as of Market Open on 8/12/2013. 

If you have any other questions on dividend availability, please send your questions to support@xignite.com.

A split adjustment to historical stock price data will occur at market's closing on the date of the split, when the next historical quote shows up in the system. This can be up to one hour after market close.

For example. Let's imagine a stock split is set to occur for a security on June 5th (6/5). The split adjustment for the closing price on 6/4 and any prior date will be applied as soon as the closing price and the split for the same security  are loaded on the afternoon of 6/5.