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'>

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')

<AxesSubplot: xlabel='Time'>

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'>

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'>

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'>

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	2020-05-07 20:00:00	9706	16118282	CASH_DIVIDEND	0.820000	USD	20200430	20200508	20200514	20200511	CASH:0.82@USD		NORMAL	TDEQ::::AAPL	CACS
1	2020-08-06 20:00:00	9706	16330650	CASH_DIVIDEND	0.820000	USD	20200730	20200807	20200813	20200810	CASH:0.82@USD		NORMAL	TDEQ::::AAPL	CACS
2	2020-08-30 20:00:00	9706	16330651	SPLIT	0.250000		20200730	20200831	20200828	20200824	STOCK:3.00000000@9706		NORMAL	TDEQ::::AAPL	CACS
3	2020-11-05 19:00:00	9706	16558868	CASH_DIVIDEND	0.205000	USD	20201029	20201106	20201112	20201109	CASH:0.205@USD		NORMAL	TDEQ::::AAPL	CACS
4	2021-02-04 19:00:00	9706	16799540	CASH_DIVIDEND	0.205000	USD	20210127	20210205	20210211	20210208	CASH:0.205@USD		NORMAL	TDEQ::::AAPL	CACS
5	2021-05-06 20:00:00	9706	17098817	CASH_DIVIDEND	0.220000	USD	20210428	20210507	20210513	20210510	CASH:0.22@USD		NORMAL	TDEQ::::AAPL	CACS
6	2021-08-05 20:00:00	9706	17331864	CASH_DIVIDEND	0.220000	USD	20210727	20210806	20210812	20210809	CASH:0.22@USD		NORMAL	TDEQ::::AAPL	CACS
7	2021-11-04 20:00:00	9706	17522810	CASH_DIVIDEND	0.220000	USD	20211028	20211105	20211111	20211108	CASH:0.22@USD		NORMAL	TDEQ::::AAPL	CACS
8	2022-02-03 19:00:00	9706	17597137	CASH_DIVIDEND	0.220000	USD	20220127	20220204	20220210	20220207	CASH:0.22@USD		NORMAL	TDEQ::::AAPL	CACS
9	2022-05-05 20:00:00	9706	17640491	CASH_DIVIDEND	0.230000	USD	20220428	20220506	20220512	20220509	CASH:0.23@USD		NORMAL	TDEQ::::AAPL	CACS
10	2022-05-22 20:00:00	688935	17653162	SPLIT	14.999992		19100101	20220523	20220523	20220523	STOCK:-0.93333330@688935		NORMAL	TDEQ::::MKD	CACS
11	2022-08-04 20:00:00	9706	17685165	CASH_DIVIDEND	0.230000	USD	20220728	20220805	20220811	20220808	CASH:0.23@USD		NORMAL	TDEQ::::AAPL	CACS
12	2022-11-03 20:00:00	9706	17728529	CASH_DIVIDEND	0.230000	USD	20221027	20221104	20221110	20221107	CASH:0.23@USD		NORMAL	TDEQ::::AAPL	CACS
13	2023-02-09 19:00:00	9706	17801892	CASH_DIVIDEND	0.230000	USD	20230202	20230210	20230216	20230213	CASH:0.23@USD		NORMAL	TDEQ::::AAPL	CACS