Fellow algo traders — quick question from someone building systematic strategies on
Nifty 50 stocks.
I keep running into a recurring problem: adjusted prices are wrong after corporate
action events — bonus issues, splits,rights issues.
Specific example: yfinance mishandled the HDFCBANK demerger. My backtest was showing
completely wrong returns for 2 years of HDFCBANK data before I caught it.
Three questions for the community:
-
Which data source do you currently use for NSE historical adjusted OHLCV data?
(yfinance / EODHD / Kite API / something else?) -
Have you ever found wrong adjusted prices that broke a backtest?
Which stock, which corporate action? -
If a clean, correct NSE adjusted data API existed — guaranteed accurate after every
corporate action — would you pay for it? What would make you switch from your
current solution?
Genuinely trying to understand how widespread this problem is
before investing time building a solution.
Regards
Primexa