data / reference / ref.corp.actions.splits
Share splits ref.corp.actions.splits
Splits and reverse splits by execution date. Knowledge time kept separate.
PIT · Core tier · 2004-01 → today · 28.7k rows
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Methodology
Ratio and price factor are stored separately rather than as one multiplier: a 2-for-1 split is ratio 2.0 and price_factor 0.5, and a reverse split is ratio 0.1 and price_factor 10.0, so a query can ask either question directly. The execution date and the announcement date are different keys on purpose — a strategy that splits on the announcement is trading on information the execution date predates. Nothing is restated in place; a correction arrives as a new row with its own as_of_ts.
Schema
| Column | Type | Role |
|---|---|---|
as_of_ts | timestamp | knowledge time · UTC |
effective_ts | date | PIT key · execution date |
symbol | string | ticker on effective_ts |
cik | int64 | SEC filer id |
split_ratio | float64 | new shares per old share |
price_factor | float64 | unadjusted price multiplier |
announcement_ts | timestamp | first public notice |
source | string | documented origin |
Use cases
- Adjust raw venue prices into a comparable series.
- Detect a vendor feed that shipped unadjusted bars.
- Reconcile share counts across a split-adjusted position.
Background
- Point-in-time market data: as-of dates, restatements, and adjustments
- Look-ahead bias in quantitative trading: six mechanisms and their fixes
Related packages
- ref.identifiers — CIK · CUSIP · FIGI mappings
- ref.corp.actions.dividends — Cash dividends
- ref.corp.actions.ma — Mergers & acquisitions
- ref.listings — Listings · delistings · halts