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Hi QC team,
I came across LEAN and started playing around with custom data on file system. First of all, thanks for making it open source!
I was checking factor file for AAPL provided as sample data with LEAN and noticed that the dividend ratios and split ratio dates are pushed up by one trading day. So while preparing my data for LEAN to pick up, do I need to do the same? I understand it's a very basic question given that it is evident from sample factor files but I am looking for intuition behind it. Would appreciate your response.
Best,
Mayur
Alexandre Catarino
Yes, you have to do the same.
The dividend event in the algorithm should be fired at the end or AFTER this date. This is the date in the file that a factor is applied, so for example, MSFT has a 31 cent dividend on 2015.02.17, but in the factor file the factor is applied to 2015.02.13, which is the first trading day BEFORE the actual effective date. (source)
Spycedup
Awesome, makes perfect sense. Thanks, Alex
Spycedup
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