Cookbook/CorporateActions

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Corporate Actions

Even routine corporate actions can have a significant impact on prices, volume and volatility. With kdb+, one typically captures raw tick data, and should a corporate action influence a previously captured price, an adjustment factor is applied to that raw data - this can be done on-the-fly, and hence can also be selective about which types of corporate actions are applied.

kdb+ is data vendor agnostic, and as such you are free to choose which vendor to source corporate actions data from, one being ActionsExchange who provide corporate action updates several times per day via an ftp site in a fixed width well documented ascii format, or ISO15022 MT564. Telekurs and bme are other such vendors. If your vendor happens to provide adjustment factors, that is a nice to have, otherwise you'll be tasked with calculating the adjustment factor from first principles - not difficult, but you'll need additional data such as close prices. Additionally, your corporate action vendor may provide each action with a confidence measure. An aside is that future-looking corporate actions can prepare traders for some upcoming unusual activities (special dividends).

Given a table that contains the raw corporate actions for a security, e.g.

q)ca
date       sym caType   factor
------------------------------
2000.01.01 ABC split    0.5
2000.02.01 ABC dividend 0.98
2000.03.01 ABC bonus    0.8
2000.04.01 ABC dividend 0.97

and a table of trades

q)t
date       sym price size
-------------------------
1995.01.01 ABC 100   100
2000.01.02 ABC 100   100
2000.02.02 ABC 100   100
2000.03.02 ABC 100   100
2000.04.02 ABC 100   100
2000.05.01 ABC 100   100

We can write a function, adjust, to apply the relevant adjustment factors for a date and sym

getCAs:{[caTypes]
    / handles multiplie corporate actions on one date
    t:0!select factor:prd factor by date-1,sym from ca where caType in caTypes;
    t,:update date:1901.01.01,factor:1.0 from ([]sym:distinct t`sym);
    t:`date xasc t;
    t:update factor:reverse prds reverse 1 rotate factor by sym from t;
    :update `g#sym from 0!t;
  };

adjust:{[t;caTypes]
    t:0!t;
    factors:enlist 1.0^aj[`sym`date;([] date:t`date;sym:t`sym);getCAs caTypes]`factor;
    mc:c where (lower c:cols t) like "*price"; / find columns to multiply
    dc:c where lower[c] like "*size"; / find columns to divide
    :![t;();0b;(mc,dc)!((*),/:mc,\:factors),((%),/:dc,\:factors)]; / multiply or divide out the columns
  };

/ get the adjustment factors considering all corporate actions
q)getCAs exec distinct caType from ca
date       sym factor
----------------------
1901.01.01 ABC 0.38024
2000.01.01 ABC 0.76048
2000.02.01 ABC 0.776
2000.03.01 ABC 0.97
2000.04.01 ABC 1

q)adjust[t;`dividend] / adjust trades for dividends only
date       sym price size
-----------------------------
1995.01.01 ABC 95.06 105.1967
2000.01.02 ABC 95.06 105.1967
2000.02.02 ABC 97    103.0928
2000.03.02 ABC 97    103.0928
2000.04.02 ABC 100   100
2000.05.01 ABC 100   100

Further reading

Corporate Actions: A Guide to Securities Event Management

Corporate Actions - A Concise Guide: An Introduction to Securities Events

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