Supported corax¶

There are 2 event types of supported CorAx reference data for adjustments: splitRecord and stockDiv. These are the event types that determine the actions taken when adjustCorAx is applied to a getTicks or getStats API call.

splitRecord

Also known as a bonus share, divides the value of each of the outstanding shares of a company. Depending on the stock split value, it can be anything from 2-to-1, 3-to-1 and even higher. These splits cause the value per stock to be reduced but the volume per shareholder increases by the same amount, keeping the overall value to be the same. This will allow for a shares values to increase over time leading to current shareholders to be rewarded and creates more interest for potential buyers.

stockDiv

Dividends are issued from the company typically paid out at specific periods, usually quarterly or annually. These are essentially a share of the company's profits that are paid to owners of the stock. Stock dividends specifically is distributed stock given to the shareholders as payment instead of cash. If stock dividends are at 10% and a shareholder has 10 shares, then they receive 1 stock from the dividends.

How adjustCorAx works¶

When the adjustCorAx parameter is set to true (1b), this parameter applies the adjustmentFactor to the volume and price as follows depending on the corporate action: - If the corporate action is a stock split, the volume gets divided by the adjustmentFactor and the price gets multiplied by the adjustmentFactor and results in the normalised price (the price recorded for that day). - If the event type is a stock dividend, just the volume is changed as more stock has been generated by the company as part of a payment to the shareholders.

Default schemas¶

These are the default reference data table YAML files that store the corAx adjustment values for both types of adjustment.

coraxCapChange

table:
  name: coraxCapChange
  id-col: sym
  time-col: time

  taxonomy:
    -
      region: global
      data-source: all
      data-class: referenceData
    -
      region: emea
      data-source: tr
      data-class: marketData
      sub-class: equity
    -
      region: emea
      data-source: tr
      data-class: marketData
      sub-class: moneyMarket

  intra-persist-type: none
  end-persist-type: date-partition

  columns:
    -
      name: sym
      data-type: symbol
    -
      name: exDate
      data-type: date
    -
      name: adjustmentFactor
      data-type: float
    -
      name: eventType
    -
      name: eventTypeNum
      data-type: symbol
    -
      name: description
    -
      name: coraxID
      data-type: long
    -
      name: date
      data-type: date

coraxDividends

table:
  name: coraxDividends
  id-col: sym
  time-col: time

  taxonomy:
    -
      region: global
      data-source: all
      data-class: referenceData
    -
      region: emea
      data-source: tr
      data-class: marketData
      sub-class: equity
    -
      region: emea
      data-source: tr
      data-class: marketData
      sub-class: moneyMarket

  intra-persist-type: none
  end-persist-type: date-partition    

  columns:
    -
      name: sym
      data-type: symbol
    -
      name: exDate
      data-type: date
    -
      name: dividendRate
      data-type: float
    -
      name: eventType
    -
      name: description
    -
      name: coraxID
      data-type: long
    -
      name: date
      data-type: date

Client file uploader - where to upload new reference data to¶

The Client Upload is a default dashboard that is pre-installed with Refinery finance domain. The client file-upload system allows you to upload CSV files to a specified location in Refinery.

Info

Check out Client Data Upload for more on how to upload data files.

Alternatively, reference data files can directly be placed in the filesystem for the Client File Upload process to pick up. For corporate actions the directory is <DELTA_DATA>/refinery/DaaSData/trth/downloads/CorporateActionsStandard.

Reference data¶

Upload the reference data by selecting the Reference Data option; this will then load the file into the secMaster directory where the Client File Upload process will then load the file into the secMaster HDB and into the appropriate table. The reference data will be immediately available to query from the secmaster HDB via a getRef API call after file load. If relevant, reference data will also be distributed to other processes. In the context of this guide, corporate actions reference data is distributed to the equity HDB.

How the secMaster works¶

The secMaster (security master) is a static HDB that can be directly queried.
It has a subscription method (.refd.subscribe in lib/refd.q & .refdc.conAndSub in lib/refdc.q) for the Equity HDB to subscribe and poll reference data.
Reference data inside the secMaster HDB is available via API call getRef.

Custom reference data table¶

It is possible to load reference data that is of different format to the default corAx schemas. Providing that the minimum required set of columns used for adjustments are provided, the default YAML file schemas can be modified to house the data. To do this, the YAML files can be modified directly.

Note

For corAx adjustments to work, the reference data table files require one of the taxonomy sub-classes to be equity. This shows the API calls which tables to call for corAx adjustments.

Minimum column requirement¶

There are certain column headers that are to be left as is in the YAML files as shown below:

Parameters	Type	Example arguments	Descriptions
`sym	symbol	`BNPP.PA	Name of the market
`exDate	date	`2000.01.01`	Date it was executed on
`adjustmentRate `dividendRate	float	`0.5`	Value of the adjustment
`coraxID	long	`123456`	Corporate Action ID
`date	date	`2000.01.01`	Date added to table

The table(s) being modified to work with the loading of the reference data tables require these column headers as they get called directly in the source code.

FATVAR modification¶

For data loading through the clientFileUploader, a modification to the .daas.cfg.FATVAR:corax.csv will be required to complement the YAML changes; this configuration is a kxControl entity. Ensure that the data types correspond with the appropriate columns in the YAML file(s) and that the minimum columns required have a corresponding column.

Corresponding columns example¶

These are examples of the possible corresponding parameters that are needed when matching up the modified table YAML file and the FATVAR table.

YAML table columns	FATVAR table columns
sym	sym
exDate	coraxDate
eventTypeName	typeName
eventID	ID
description	notes
coraxID	refID
adjustmentRate	adjustmentMultiplier
date	date

Info

Don't forget to include a source/ corAx type to the FATVAR file; this field is also required to be a symbol.

fwTargetDB modification¶

For ingestion via clientFileUpload, make the following adjustments to the .daas.cfg.fwTargetDB:corax.csv kxControl configuration entity. Change the whereClause to contain the new source/ corAx type column and the variable that determines the corporate action. Change the updateCols function that maps the columns inputted in the FATVAR to the columns in the corAx table YAML file(s).

Event codes¶

To differentiate the different types of capChange and dividend actions, you can use an eventType and eventTypeNum/eventID. These eventTypeNums are available in the coraxCapChangeEvents.csv. To create a new eventType relationship, change the eventColumn to that column name and the eventIDs to the corresponding values. If there is no differentiation factor, remove the IDs from the eventIDs column; this will then assign a blank schema, thus allowing the adjustments to still work.

Note

Make sure that the eventColumn and eventID is a symbol when changing it to be the new differentiation factor.

`coraxCapChangeEvents.csv`¶

Default setup for the coraxCapChangeEvents.csv

coraxType	eventColumn	eventID
splitRecord	eventTypeNum	11 12 13 14 15 16 21 22 23 31 32 41 42 43 44 61 71 72 73 75 76 77 78 80 81 83 84
stockDiv	eventTypeNum	33 74 82

How to do corAx adjustments without using a secMaster¶

Using the secMaster is the recommended route for using reference data in the system as it supports the getRef API. However, the only requirement for being able to use corporate action adjustments is that the coraxCapChange table is populated on the equity HDB. However, reference data can be uploaded to the system without using the secMaster or the Client Upload dashboard.

By creating or editing an existing table YAML file for coraxCapChange, with taxonomy matching the equity pipeline.
Publishing the corAx reference data through the Tickerplant, in the same way the market data comes through.

Note

Be aware that this method means that the corAx adjustments won't be available until after EOD using new reference data, as it must be co-located to the HDB to work.

Example of adjustments¶

Example reference data¶

.gwClient.query.sync[`getRef;`symList`dataType`startDate`endDate`identifier`corAxType!(`BNPP.PA;`corAx;.z.d-10000;.z.d;`instrument;`capChange)]

sym	exDate	adjustmentFactor	eventType	eventTypeNum	description	coraxID	date
BNPP.PA	2002.02.20	0.5	"Stock split"	21	""	2001753	2022.05.04

Calling getStats without adjustCorAx being called (0b)¶

.gwClient.query.sync[`getStats; `symList`assetClass`dataType`startDate`endDate`adjustCorAx`analytics`granularityUnit!(`BNPP.PA;`equity;`trade;.z.d-10000;.z.d;0b;`avgPrice`avgVolume;`day)]

time	sym	avgPrice	avgVolume
2002.02.18D00:00:00.000000000	BNPP.PA	105.91327800829865	389.65809128630707
2002.02.19D00:00:00.000000000	BNPP.PA	103.7722293538725	949.99529311082586
2002.02.20D00:00:00.000000000	BNPP.PA	50.787905405405368	803.40777027027025
2002.02.21D00:00:00.000000000	BNPP.PA	52.350337301587317	963.19047619047615

Calling getStats with adjustCorAx being called (1b)¶

.gwClient.query.sync[`getStats; `symList`assetClass`dataType`startDate`endDate`adjustCorAx`analytics`granularityUnit!(`BNPP.PA;`equity;`trade;.z.d-10000;.z.d;1b;`avgPrice;`day)]

time	sym	avgPrice	avgVolume
2002.02.18D00:00:00.000000000	BNPP.PA	52.956639004149345	779.31618257261414
2002.02.19D00:00:00.000000000	BNPP.PA	51.886114676936224	1899.9905862216517
2002.02.20D00:00:00.000000000	BNPP.PA	50.787905405405368	803.40777027027025
2002.02.21D00:00:00.000000000	BNPP.PA	52.350337301587317	963.19047619047615

Supported corax¶

How adjustCorAx works¶

Default schemas¶

Client file uploader - where to upload new reference data to¶

Reference data¶

How the secMaster works¶

Custom reference data table¶

Minimum column requirement¶

FATVAR modification¶

Corresponding columns example¶

fwTargetDB modification¶

Event codes¶

coraxCapChangeEvents.csv¶

How to do corAx adjustments without using a secMaster¶

Example of adjustments¶

Example reference data¶

Calling getStats without adjustCorAx being called (0b)¶

Calling getStats with adjustCorAx being called (1b)¶

`coraxCapChangeEvents.csv`¶