Split adjustment data issue

Technical Help
#1

Hi Brian,

I think there may be an issue with the split-table adjustments in the daily price data. My backtest suddenly showed a large drawdown in the 2015 date range, which appears to be related to split adjustments downloaded within the last couple of days.

The split records I checked from 2015 onward are stored with ratio = 1.000 (no adjustment), including the examples below:

Stock Split date Raw close before → after Ratio in split table Expected ratio
GILD 2013-01-28 79.36 → 39.44 0.500 ✓ 0.5
AAPL 2014-06-09 645.57 → 93.70 0.143 ✓ 1/7
CNC 2015-02-20 120.67 → 59.85 1.000 ✗ 0.5
MPC 2015-06-11 101.79 → 52.03 1.000 ✗ 0.5
NFLX 2015-07-15 702.60 → 98.13 1.000 ✗ 1/7
SKX 2015-10-16 132.67 → 45.15 1.000 ✗ 1/3
GPN 2015-11-03 136.23 → 67.56 1.000 ✗ 0.5
HRL 2016-02-10 82.86 → 41.67 1.000 ✗ 0.5
AAPL / TSLA 2020-08-31 499 → 129 / 2213 → 498 1.000 ✗ 1/4, 1/5
NVDA 2021-07-20 751 → 186 1.000 ✗ 1/4
WMT 2024-02-26 175.56 → 59.60 1.000 ✗ 1/3
NVDA 2024-06-10 1208.88 → 121.79 1.000 ✗ 1/10
ORLY 2025-06-10 1348.10 → 91.71 1.000 ✗ 1/15

Across the full table, the percentage of records stored with a ratio of 1.0 increases sharply starting in 2015. This affects both splits and dividends:

Years Splits stored with ratio 1.0 (no adjustment) Dividends stored with ratio 1.0
2007–2014 4–9% 1–3%
2015–2026 83–95% 85–99%

Could you please check whether a recent data update may have caused this, and advise on how to correct the affected adjustment records?

Thanks,
Kamran

#2

Investigating...

#3

Can you collect an update and check again? If you still see the issue, can you then please drop and re-collect the usstock history database?

By the time of your report, the data on our end looked correct, but I did see some incorrect results in already downloaded databases in various places. This makes me think that there was a temporary issue that self-resolved but that still showed up in certain places depending on how and when you downloaded the data. We will keep looking to see if we can figure out the root cause, although that is made more challenging by the issue having already apparently resolved itself.

Do you know when you most recently updated the history database prior to seeing the issue? Any specifics about how often you update the database and when the problem emerged could be helpful.

The usstock bundle uses a different collection strategy than the history database, and I did not see any evidence that this issue affected the bundle.

#4

Thanks. One clarification: the issue affected the Zipline bundle usstock-1d-bundle, which was last updated on October 15, 2026, at 06:06 UTC.

In its adjustments.sqlite database, the splits table had ratio = 1.0 for 83–95% of splits per year from 2015 onward, compared with 4–9% for 2007–2014. Examples included CNC (2015-02-20), SKX (2015-10-16), AAPL and TSLA (2020-08-31), NVDA (2021-07-20), WMT (2024-02-26), NVDA (2024-06-10), and ORLY (2025-06-10).

The raw daily bars showed the corresponding split-related price drops, but the adjustment ratios did not account for them. As a result, backtests holding positions through those splits recorded artificial losses. The dividends table showed a similar pattern, with ratio = 1.0 for 85–99% of rows from 2015 onward.

We update the bundle nightly at 10:30 PM Pacific time. A backtest run on October 13 handled the NVDA 2021-07-20 split correctly. However, a run on October 14, after the nightly update, failed to adjust for splits in 2015–2016. When we inspected the table, the NVDA 2021 split also had a ratio of 1.0.

Artificial split losses also appeared in an earlier backtest for WMT (2024-02-26), NVDA (2024-06-10), and ORLY (2025-06-10), indicating that some affected records predated this week.

We had already dropped and re-ingested the bundle several times. We repeated the process this morning, and the latest full drop and re-ingest appears to have resolved the issue. The bundle now contains the expected split and dividend adjustment ratios:

Measure Before re-ingestion After re-ingestion
Splits stored with ratio 1.0, 2015–2026 83–95% per year 5–11% per year, except 2020 at 19%
Splits stored with ratio 1.0, 2007–2014 4–9% per year 4–9% per year (unchanged)
Dividends stored with ratio 1.0, 2015–2026 85–99% 0–2%

The percentage of split records with a ratio of 1.0 for 2015–2026 is now much closer to the unaffected 2007–2014 range, although 2020 remains higher at 19%. The remaining records may represent legitimate cases requiring no adjustment, but the aggregate percentages alone do not establish that.

I checked the following individual split records and confirmed that all now contain the expected adjustment ratios. Ratios below are rounded where applicable:

Stock Split date Adjustment ratio now Expected split
CNC 2015-02-20 0.5 2-for-1
MPC 2015-06-11 0.5 2-for-1
NFLX 2015-07-15 0.1429 7-for-1
SKX 2015-10-16 0.3333 3-for-1
GPN 2015-11-03 0.5 2-for-1
HRL 2016-02-10 0.5 2-for-1
AAPL 2020-08-31 0.25 4-for-1
TSLA 2020-08-31 0.2 5-for-1
NVDA 2021-07-20 0.25 4-for-1
WMT 2024-02-26 0.3333 3-for-1
NVDA 2024-06-10 0.1 10-for-1
ORLY 2025-06-10 0.0667 15-for-1

The bundle was affected, and the latest full drop and re-ingest corrected the adjustment records I checked, but it remains a mystery what exactly happened with this data.