US Equities Cumulative Adjustment Factors

How to use it

Rows are effective-dated. Answer point-in-time questions with the row in force on the as-of date, never the latest row. SecId and ASID are both durable AlgoSeek security keys but different values (the ASID lookup links them); tickers are reused across companies, so resolve a ticker to a key with a trade date.

Typical use

Point-in-time security identity, corporate-action adjustment, and universe construction for US equities.

Limitations

Vendor-curated reference data: rows can be restated when AlgoSeek learns of a late or corrected event, so land each delivery as a snapshot rather than overwriting history. Backward factors (guide Table 5 and steps): for a trade date D, find the first row whose EffectiveDate is later than D; use that row's CumulativeFactorPriceBackward to MULTIPLY prices and CumulativeFactorVolumeBackward to DIVIDE volumes. Each row's factor therefore covers dates from the previous row's EffectiveDate up to the day before its own EffectiveDate; dates on or after the last EffectiveDate use AF=1. Worked example in guide: all prices from 20141106 on x1; 20141105-20140807 x0.910220291174414; 20140806-20140609 x0.905715199168812; 20140608-20140508 x0.129387885595545; and volumes before 20140609 divided by 0.142857142857143, volumes from 20140609 divided by 1. Derived (matches Table 5 and the sample): backward factor of a row = AdjustmentFactor of that row's event times the backward factor of the next row = product of event factors from this event forward to the latest event, own event included. Volume factors multiply only volume-affecting events, so CashDiv rows leave them unchanged (1, 0.25 or 0.0357 in the sample). Forward factors (inferred from sample): CumulativeFactor*Forward at a row = running product of event factors from the first event up to and including this row (e.g. 20121107 forward price 0.991197650405165 = 0.99572484109315 x 0.995453371753772; forward volume becomes 0.142857142857143 from the 20140609 BonusSame). Apparent coverage: from this EffectiveDate until the next event. Direction of application is not stated in the guide.

Coverage

All US exchange-listed equities, adjustment history from 2007 to present; forward factors ignore events before 2007. Sample is AAPL only (36 rows, 20070103-20200831).

Usage constraints

• Licensed vendor data: never export raw rows to a tenant-local destination or include them verbatim in a public artifact; serve only through entitlement-checked platform reads.
• Do not treat the vendor's `Ticker` as a stable identity across time; join on an AlgoSeek security key (SecId or ASID, which are distinct) or the platform symbol mapping.

Known issues (9)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyGuide Table 1 shows CumulativeFactorPriceBackward 0.128669221770296 for the 20140609 row, identical to the 20140508 value; Table 5 gives 0.129387885595545 for the same row (= 0.142857143 x 0.905715199, the 20140807 row), so Table 1's third column is a copy error.
• Documentation discrepancyGuide worked example calls 20141106 the last corporate event and gives its backward price factor as 0.910220291174414, but that event's own factor is 0.9957 (Basic sample), so the value must include later events; Table 5 is a truncated 2012-2014 view of a later snapshot (inferred).
• Documentation discrepancyGuide Table 5 volume-backward is 0.142857 for 2012-2014 rows; the published sample shows 0.0357142857142858 (=1/28) for the same rows because the 20200831 Subdiv (4-for-1, backward volume 0.25) was added later - an observed case of retroactive restatement.
• Documentation discrepancyGuide Table 1 forward price 0.961154487257303 (20140206) differs from the sample's 0.961154487257304 in the last digit (rebuild rounding).
• Documentation discrepancySTART-row date: guide Table 3 note says EffectiveDate shows 'the date when the security was listed' while the FAQ says 'when the SecId was assigned'; sample START for AAPL is 20070103 (start of algoseek coverage), not its 1980 listing (ListDate 19801212 in the Shares Outstanding sample).
• Documentation discrepancyGuide says data files hold 'rows corresponding to individual daily bars' (boilerplate); rows are event dates, not daily bars.
• Documentation discrepancyGuide never states how to apply the forward factors (multiply or divide) and gives no forward worked example; forward semantics here are inferred from sample numbers.
• Documentation discrepancySample is a 36-row AAPL extract; it covers reasons START, CashDiv, BonusSame and Subdiv only, and ends at the 20200831 Subdiv (backward price factor exactly 0.25) so later AAPL dividends are absent from the extract.