What does happen when an intraday strategy access WealthLab.Rules.DataSeriesOp.SplitReverseFactor at the first bar of the day (09:31) on the split day?
If the fundamental data is daily basis, that split information is not available for the intraday strategy until the daily bar to complete (16:00)?
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That will likely be a problem on the ex-date for most providers as you suspect. Certainly for Y!.
However, if you use Wealth-Data splits and you know of a split before hand, send me a message to make sure I have already included it, then it should work.
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OK. It's going to be a problem with IQFeed data provider, then.
Fidelity on the other hand, they apply the adjustment on the realtime data before the market opens on the split day, so you never needed to worry about it. Although there were few times in the past during the finacial crisis Fidelity forgot to adjust the streaming data and my strategy got screwed up. :(
I think I'm going to implement a split detector and adjust the realtime data accordingly.
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One such split detector is the
Upcoming Splits class in Community Components. To be slightly improved in upcoming build v2020.08.
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Wow, that looks promising. Does it work on historical date as well?
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Generally, it's for upcoming splits but some vendors may allow to look up previous dates. The code is open source so checking it is up to you.
UPDATE 07/26/2020:
At least the Fidelity splits page (which will be supported from v2020.08) has date as parameter. You might be able to reuse this code for historical splits announces for as long as they're kept available on Fidelity's website. Not sure why you'd need it, though.
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