R.S. R.S. - 1 year ago 134
R Question

Quantmod: extracting split dates from yahoo EOD price data

This is in relation to stock data obtained from Yahoo Finance.

I'm looking for a method for determining dates when a stock was split (or bonus shares were issued, the distinction is immaterial to current task).

I could not find any specific answer to this problem. Here's the best I could think of:

AAPL<- getSymbols("AAPL", from="1987-01-01",to="2016-08-01", auto.assign = F)
# head(AAPL)
# tail(AAPL)
# assuming a minimum split of 10:11
probableSplits<- which( Delt(Cl(AAPL)/Ad(AAPL)) <= -0.1)
probableSplitDates<- index(AAPL)[probableSplits]
x<- AAPL[c(probableSplits, ((probableSplits)-1))]
x$tmpratio<- Cl(x)/Ad(x)
x$splitRatio<- round(1/(1+Delt(x$tmpratio)))
#Added Following 1 line for very old stocks with adjusted price in low decimals
probableSplitDates<- index(x[x$splitRatio>1,])


chartSeries(AAPL["2014-06"],theme = chartTheme('white'))

I would like to know what issues this solution might run into.

Even though I'm using Apple here, I am looking for data from Indian exchanges (for example, RELIANCE.NS) so some of the US specific sources for cross-referencing will not work for me.

EDIT: Added one line to code for old adjusted price in very low decimal values

Answer Source

You could use the split/dividend data that Yahoo Finance provides.

#            RELIANCE.NS.spl
# 1997-10-27             0.5
# 2009-11-26             0.5

You could also use adjustOHLC to do the adjustment for you.

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