Automating Intraday IQFeed Stock Split Adjustments



I’d like some suggestions on the best way to combination split /dividend adjusted data for many tickers. The issue is probably not limited to IQFeed, but it serves as a good example for the issue I want to tackle, ideally using Amibroker existing features.

Here is an illustration for the issue I try to find programmatic solutions:

Note that the EOD or daily price database doesn’t have to from IQFeed. Norgate actually has better historical data, allowing users to configure the type of adjustment to apply in Amibroker.

Now, one solution is to use Norgate to get both split (and or dividend/distribution) adjusted daily time series and the unadjusted data and back out the adjustment factors then load the adjustment factors into the IQFeed intraday database. The programming can be easily done with AFL data export and some Python scripts.

I just wonder if there is a simpler or better way to do this.


In IQFeed, intraday data is not back adjusted, but their End-of-Day data feed is. So if you build an Amibroker End-of-Day database fed from IQFeed, the prices will be back adjusted, the same as you see with Norgate.

Still, as discussed here, back adjusting their intraday data is problematic.


Thanks Alan. I guess one solution is to create a non-realtime version of
IQ Feed intraday database with the back adjustments and load it into
Amibroker periodically. Do you know how hard (or even possible) is it to
build my own filter feed off the IQ Feed live stream but with back
adjustments to feed Amibroker in real time? If you know of anyone who have
successfully attempted either of these approaches, please pass along the