Corporate Actions#

This is part of the OQD offering. Available in OneTick Cloud. Can be configured on prem.

Adjusting prices for corporate actions#

We can use built-in functions to adjust price and volume for corporate actions.

We follow an example of a 1:15 split for MKD on May 23, 2022. First let’s review the unadjusted data: there appears to be a price jump.

import onetick.py as otp
import matplotlib
trd = otp.DataSource('NYSE_TAQ', tick_type='TRD', start=otp.dt(2022,5,20,9,30), end=otp.dt(2022,5,24,16))
t = otp.run(trd, symbols='MKD')
t.plot(x='Time', y='PRICE')

<AxesSubplot: xlabel='Time'>
../../_images/75366452c96189925a3c51c99019b36ceebbb43a5323dff0596f46820429bc99.png

Adding adjustment for corporate actions fixes this. The prices are adjusted to the level before or after the split depending on the value of the adjustement_date parameter. The next two examples illustrate this.

trd = otp.DataSource('NYSE_TAQ',
                     tick_type='TRD',
                     start=otp.dt(2022, 5, 20, 9, 30),
                     end=otp.dt(2022, 5, 24, 16))
trd = otp.functions.corp_actions(trd,
                                 adjustment_date=20220524,
                                 fields="PRICE")

r = otp.run(trd, symbols='MKD', symbol_date=otp.dt(2022,5,20))
r.plot(x='Time', y='PRICE')

/tmp/sphinx-ar5Y8shLzS/onetick/py/functions.py:1304: UserWarning: Local timezone can't be used in parameter 'adjustment_date_tz', setting to 'GMT'.
  warnings.warn("Local timezone can't be used in parameter 'adjustment_date_tz', setting to 'GMT'.")

<AxesSubplot: xlabel='Time'>
../../_images/2bad7115e3060b0bd4ba56fd09c588f7097d0b66e7517f395b6cecf214e310f2.png 
trd = otp.DataSource('NYSE_TAQ',
                     tick_type='TRD',
                     start=otp.dt(2022, 5, 20, 9, 30),
                     end=otp.dt(2022, 5, 24, 16))
trd = otp.functions.corp_actions(trd,
                                 adjustment_date=20220520,
                                 fields="PRICE")

r = otp.run(trd, symbols='MKD', symbol_date=otp.dt(2022,5,20))
r.plot(x='Time', y='PRICE')

<AxesSubplot: xlabel='Time'>
../../_images/0768be4e524a1c301ee9b9ef6f901fb9da489a9b88053af9298415cd3bce5f01.png

Adjustment can be applied to sizes in a similar way.

trd = otp.DataSource('NYSE_TAQ',
                     tick_type='TRD',
                     start=otp.dt(2022, 5, 20, 9, 30),
                     end=otp.dt(2022, 5, 24, 16))

r = otp.run(trd, symbols='MKD', symbol_date=otp.dt(2022,5,20))
r.plot(x='Time', y='SIZE')

<AxesSubplot: xlabel='Time'>
../../_images/fd42164be8937f7a70fcbd3182d84be78e239dd2abf49150b542457d8d2506fc.png 
trd = otp.DataSource('NYSE_TAQ',
                     tick_type='TRD',
                     start=otp.dt(2022, 5, 20, 9, 30),
                     end=otp.dt(2022, 5, 24, 16))
trd = otp.functions.corp_actions(trd,
                                 adjustment_date=20220524,
                                 adjust_rule='SIZE',
                                 fields='SIZE')

r = otp.run(trd, symbols='MKD', symbol_date=otp.dt(2022,5,20))
r.plot(x='Time', y='SIZE')

<AxesSubplot: xlabel='Time'>
../../_images/bc779ab26213eb71c43a5c88769178b1b9bab02c055175d36ff14b614bf1624c.png

Retrieving Corporate actions for a symbol#

We can retrieve all corporate actions for the symbols of interest.

cacs = otp.oqd.sources.CorporateActions()

cacs = otp.merge([cacs], symbols=['TDEQ::::MKD', 'TDEQ::::AAPL'], identify_input_ts=True)

otp.run(cacs, start=otp.dt(2020, 5, 1), end=otp.dt(2023, 4, 10), symbol_date=otp.dt(2022, 2, 1))
Time OID ACTION_ID ACTION_TYPE ACTION_ADJUST ACTION_CURRENCY ANN_DATE EX_DATE PAY_DATE REC_DATE TERM_NOTE TERM_RECORD_TYPE ACTION_STATUS SYMBOL_NAME TICK_TYPE
0 2020-05-08 9706 16118282 CASH_DIVIDEND 0.820000 USD 20200430 20200508 20200514 20200511 CASH:0.82@USD NORMAL TDEQ::::AAPL CACS
1 2020-08-07 9706 16330650 CASH_DIVIDEND 0.820000 USD 20200730 20200807 20200813 20200810 CASH:0.82@USD NORMAL TDEQ::::AAPL CACS
2 2020-08-31 9706 16330651 SPLIT 0.250000 20200730 20200831 20200828 20200824 STOCK:3.00000000@9706 NORMAL TDEQ::::AAPL CACS
3 2020-11-06 9706 16558868 CASH_DIVIDEND 0.205000 USD 20201029 20201106 20201112 20201109 CASH:0.205@USD NORMAL TDEQ::::AAPL CACS
4 2021-02-05 9706 16799540 CASH_DIVIDEND 0.205000 USD 20210127 20210205 20210211 20210208 CASH:0.205@USD NORMAL TDEQ::::AAPL CACS
5 2021-05-07 9706 17098817 CASH_DIVIDEND 0.220000 USD 20210428 20210507 20210513 20210510 CASH:0.22@USD NORMAL TDEQ::::AAPL CACS
6 2021-08-06 9706 17331864 CASH_DIVIDEND 0.220000 USD 20210727 20210806 20210812 20210809 CASH:0.22@USD NORMAL TDEQ::::AAPL CACS
7 2021-11-05 9706 17522810 CASH_DIVIDEND 0.220000 USD 20211028 20211105 20211111 20211108 CASH:0.22@USD NORMAL TDEQ::::AAPL CACS
8 2022-02-04 9706 17597137 CASH_DIVIDEND 0.220000 USD 20220127 20220204 20220210 20220207 CASH:0.22@USD NORMAL TDEQ::::AAPL CACS
9 2022-05-06 9706 17640491 CASH_DIVIDEND 0.230000 USD 20220428 20220506 20220512 20220509 CASH:0.23@USD NORMAL TDEQ::::AAPL CACS
10 2022-05-23 688935 17653162 SPLIT 14.999992 19100101 20220523 20220523 20220523 STOCK:-0.93333330@688935 NORMAL TDEQ::::MKD CACS
11 2022-08-05 9706 17685165 CASH_DIVIDEND 0.230000 USD 20220728 20220805 20220811 20220808 CASH:0.23@USD NORMAL TDEQ::::AAPL CACS
12 2022-11-04 9706 17728529 CASH_DIVIDEND 0.230000 USD 20221027 20221104 20221110 20221107 CASH:0.23@USD NORMAL TDEQ::::AAPL CACS
13 2023-02-10 9706 17801892 CASH_DIVIDEND 0.230000 USD 20230202 20230210 20230216 20230213 CASH:0.23@USD NORMAL TDEQ::::AAPL CACS