Adjusted Intraday Data in LEAN

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I need adjusted intraday data for us equities, the quantconnect platform appears to provide unadjusted data.. if you look at TSLA in the data library for example, on 8/28/2020 compared to 9/1/2020 you can see it go from ~2000 to ~500 - using daily bar consolidation results in some big gaps on your data due to the split that happened..

 

Is there any source for adjusted intraday data for either quantconnect or lean? Or can quantconnect adjust this for me?

 

Charles

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hi Charles! Welcome to QC! 

We store it in raw form and adjust it dynamically according to the algorithm's requested data feed. We use map and factor files to map and adjust the data with splits and dividends over time. 

We provide a Yahoo Factor File Generator which generates these factor files from Yahoo's data for your personal use.

Map files have no public source at this time -- they handle ticker renames and changes over time. QuantConnect purchases this data from a vendor.

Best

Jared

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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