Fix multiday div-adjust ; Tidy adjust args

yfinance/base.py

@@ -92,7 +92,9 @@ def stats(self, proxy=None):
 
     def history(self, period="1mo", interval="1d",
                 start=None, end=None, prepost=False, actions=True,
-                auto_adjust=True, back_adjust=False, repair=False, keepna=False,
+                auto_adjust=None, back_adjust=None,  # deprecated
+                div_adjust=False, 
+                repair=False, keepna=False,
                 proxy=None, rounding=False, timeout=10,
                 debug=True, raise_errors=False) -> pd.DataFrame:
         """
@@ -114,10 +116,8 @@ def history(self, period="1mo", interval="1d",
             prepost : bool
                 Include Pre and Post market data in results?
                 Default is False
-            auto_adjust: bool
-                Adjust all OHLC automatically? Default is True
-            back_adjust: bool
-                Back-adjusted data to mimic true historical prices
+            div_adjust: bool
+                Dividend-adjust all OHLC data? Default is False
             repair: bool or "silent"
                 Detect currency unit 100x mixups and attempt repair.
                 If True, fix & print summary. If "silent", just fix.
@@ -142,6 +142,25 @@ def history(self, period="1mo", interval="1d",
                 exceptions instead of printing to console.
         """
 
+        utils.print_once("NOTICE: yfinance.Ticker::history(): Be aware that dividend-adjustment is now default disabled, default used to be enabled")
+
+        # Handle deprecated arguments first
+        if auto_adjust is not None:
+            utils.print_once("WARNING: yfinance.Ticker::history(): 'auto_adjust' is deprecated, switch to 'div_adjust' instead")
+            div_adjust = auto_adjust
+            auto_adjust = None
+        elif back_adjust is not None:
+            utils.print_once("WARNING: yfinance.Ticker::history(): 'back_adjust' is deprecated, switch to 'div_adjust' instead")
+            back_adjust = None
+
+        if start is not None or end is not None:
+            period = None
+
+        if div_adjust and interval in ["1wk", "1mo", "3mo"]:
+            hist_args = locals()  # function arguments
+            df = self._get_div_adjusted_multiday_prices(hist_args)
+            return df
+
         if raise_errors:
             debug = True
 
@@ -383,15 +402,11 @@ def history(self, period="1mo", interval="1d",
 
         # Auto/back adjust
         try:
-            if auto_adjust:
-                df = utils.auto_adjust(df)
-            elif back_adjust:
-                df = utils.back_adjust(df)
+            if div_adjust:
+                df = utils.adjust_with_Yahoo_adj_close(df)
         except Exception as e:
-            if auto_adjust:
-                err_msg = "auto_adjust failed with %s" % e
-            else:
-                err_msg = "back_adjust failed with %s" % e
+            if div_adjust:
+                err_msg = "div_adjust failed with %s" % e
             shared._DFS[self.ticker] = utils.empty_df()
             shared._ERRORS[self.ticker] = err_msg
             if debug:
@@ -583,7 +598,7 @@ def _reconstruct_intervals_batch(self, df, interval, prepost, tag=-1, silent=Fal
                 fetch_start = max(min_dt.date(), fetch_start)
             logger.debug(f"Fetching {sub_interval} prepost={prepost} {fetch_start}->{fetch_end}")
             r = "silent" if silent else True
-            df_fine = self.history(start=fetch_start, end=fetch_end, interval=sub_interval, auto_adjust=False, actions=False, prepost=prepost, repair=r, keepna=True)
+            df_fine = self.history(start=fetch_start, end=fetch_end, interval=sub_interval, div_adjust=False, actions=False, prepost=prepost, repair=r, keepna=True)
             if df_fine is None or df_fine.empty:
                 if not silent:
                     logger.warning(f"Cannot reconstruct {interval} block starting {start_d}, too old, Yahoo is rejecting request for finer-grain data")
@@ -988,6 +1003,71 @@ def _fetch_ticker_tz(self, debug_mode, proxy, timeout):
                         print("-------------")
         return None
 
+    def _get_div_adjusted_multiday_prices(self, hist_args):
+        # Not possible to correctly div-adjust multi-day intervals 
+        # using only 'Adj Close' returned by Yahoo.
+        # Need to fetch 1d -> div adjust -> aggregate into larger interval
+
+        interval = hist_args["interval"]
+        del hist_args["self"]
+
+        ohlcv = ["Open", "High", "Low", "Close", "Volume"]
+
+        df_unadj = None
+        if "period" in hist_args and hist_args["period"] is not None:
+            # Yahoo sets period start differently depending on interval, need to fetch to know.
+            hist_args["div_adjust"] = False  # avoid this code path
+            df_unadj = self.history(**hist_args)
+            hist_args["start"] = df_unadj.index[0].date()
+            del hist_args["period"]
+            hist_args["div_adjust"] = True
+
+        hist_args["interval"] = "1d"
+        df_daily = self.history(**hist_args)
+
+        if interval == "1wk":
+            pd_period = "W"
+        elif interval == "1mo":
+            pd_period = "M"
+        elif interval == "3mo":
+            # Not quarterly. How Yahoo aggregates depends on if period set:
+            # - period set => aggregate backwards => last-3mo-interval-end is last month.
+            # - else => start set => aggregate forwards => first-3mo-interval-start is start month
+            # So like quarterly but offset.
+            if not "period" in hist_args or not hist_args["period"] is None:
+                offset_months = df_daily.index[-1].month - 1
+            else:
+                offset_months = df_daily.index[0].month - 1
+            offset_td = pd.tseries.offsets.DateOffset(months=offset_months)
+            pd_period = "Q"
+            df_daily.index = df_daily.index - offset_td
+
+        df_daily.loc[df_daily["Stock Splits"]==0,"Stock Splits"] = 1
+        df = df_daily.groupby(df_daily.index.tz_localize(None).to_period(pd_period)).agg(
+            Open=("Open", "first"),
+            High=("High", "max"),
+            Low=("Low", "min"),
+            Close=("Close", "last"),
+            Volume=("Volume", "sum"),
+            Dividends=("Dividends", "sum"),
+            StockSplits=("Stock Splits", "prod"))
+        df = df.rename(columns={"StockSplits":"Stock Splits"})
+        df.loc[df["Stock Splits"]==1,"Stock Splits"] = 0
+        df.index = df.index.start_time.tz_localize(df_daily.index.tz)
+
+        if interval == "3mo":
+            # Reverse the offset
+            df.index = df.index + offset_td
+
+        if df_unadj is not None:
+            # Copy over 'Volume', because fetching daily -> aggregating can differ slightly, 
+            # because Yahoo returning slightly different volumes.
+            df = df.drop("Volume", axis=1).join(df_unadj[["Volume"]], validate="1:1")
+            df = df[["Open", "High", "Low", "Close", "Volume", "Dividends", "Stock Splits"]]
+
+        return df
+
+
     def get_recommendations(self, proxy=None, as_dict=False):
         self._quote.proxy = proxy
         data = self._quote.recommendations

yfinance/multi.py

@@ -32,7 +32,10 @@
 logger = logging.getLogger(__name__)
 
 def download(tickers, start=None, end=None, actions=False, threads=True, ignore_tz=None,
-             group_by='column', auto_adjust=False, back_adjust=False, repair=False, keepna=False,
+             group_by='column', 
+             auto_adjust=None, back_adjust=None, 
+             div_adjust=False,
+             repair=False, keepna=False,
              progress=True, period="max", show_errors=True, interval="1d", prepost=False,
              proxy=None, rounding=False, timeout=10):
     """Download yahoo tickers
@@ -58,8 +61,8 @@ def download(tickers, start=None, end=None, actions=False, threads=True, ignore_
         prepost : bool
             Include Pre and Post market data in results?
             Default is False
-        auto_adjust: bool
-            Adjust all OHLC automatically? Default is False
+            div_adjust: bool
+                Dividend-adjust all OHLC data? Default is False
         repair: bool
             Detect currency unit 100x mixups and attempt repair
             Default is False
@@ -84,6 +87,15 @@ def download(tickers, start=None, end=None, actions=False, threads=True, ignore_
             seconds. (Can also be a fraction of a second e.g. 0.01)
     """
 
+    # Handle deprecated arguments first
+    if auto_adjust is not None:
+        print("WARNING: 'auto_adjust' is deprecated, switch to 'div_adjust' instead")
+        div_adjust = auto_adjust
+        auto_adjust = None
+    if back_adjust is not None:
+        print("WARNING: 'back_adjust' is deprecated, it was nonsense")
+        back_adjust = None
+
     if ignore_tz is None:
         # Set default value depending on interval
         if interval[1:] in ['m', 'h']:
@@ -125,8 +137,8 @@ def download(tickers, start=None, end=None, actions=False, threads=True, ignore_
         for i, ticker in enumerate(tickers):
             _download_one_threaded(ticker, period=period, interval=interval,
                                    start=start, end=end, prepost=prepost,
-                                   actions=actions, auto_adjust=auto_adjust,
-                                   back_adjust=back_adjust, repair=repair, keepna=keepna,
+                                   actions=actions, div_adjust=div_adjust,
+                                   repair=repair, keepna=keepna,
                                    progress=(progress and i > 0), proxy=proxy,
                                    rounding=rounding, timeout=timeout)
         while len(shared._DFS) < len(tickers):
@@ -137,8 +149,8 @@ def download(tickers, start=None, end=None, actions=False, threads=True, ignore_
         for i, ticker in enumerate(tickers):
             data = _download_one(ticker, period=period, interval=interval,
                                  start=start, end=end, prepost=prepost,
-                                 actions=actions, auto_adjust=auto_adjust,
-                                 back_adjust=back_adjust, repair=repair, keepna=keepna,
+                                 actions=actions, div_adjust=div_adjust, 
+                                 repair=repair, keepna=keepna,
                                  proxy=proxy,
                                  rounding=rounding, timeout=timeout)
             shared._DFS[ticker.upper()] = data
@@ -211,12 +223,12 @@ def _realign_dfs():
 
 @_multitasking.task
 def _download_one_threaded(ticker, start=None, end=None,
-                           auto_adjust=False, back_adjust=False, repair=False,
+                           div_adjust=False, repair=False,
                            actions=False, progress=True, period="max",
                            interval="1d", prepost=False, proxy=None,
                            keepna=False, rounding=False, timeout=10):
     try:
-        data = _download_one(ticker, start, end, auto_adjust, back_adjust, repair,
+        data = _download_one(ticker, start, end, div_adjust, repair,
                              actions, period, interval, prepost, proxy, rounding,
                              keepna, timeout)
     except Exception as e:
@@ -230,15 +242,15 @@ def _download_one_threaded(ticker, start=None, end=None,
 
 
 def _download_one(ticker, start=None, end=None,
-                  auto_adjust=False, back_adjust=False, repair=False,
+                  div_adjust=False, repair=False,
                   actions=False, period="max", interval="1d",
                   prepost=False, proxy=None, rounding=False,
                   keepna=False, timeout=10):
     return Ticker(ticker).history(
         period=period, interval=interval,
         start=start, end=end, prepost=prepost,
-        actions=actions, auto_adjust=auto_adjust,
-        back_adjust=back_adjust, repair=repair, proxy=proxy,
+        actions=actions, 
+        div_adjust=div_adjust, repair=repair, proxy=proxy,
         rounding=rounding, keepna=keepna, timeout=timeout,
         debug=False, raise_errors=False  # debug and raise_errors false to not log and raise errors in threads
     )

yfinance/utils.py

@@ -343,29 +343,7 @@ def _interval_to_timedelta(interval):
         return _pd.Timedelta(interval)
 
 
-def auto_adjust(data):
-    col_order = data.columns
-    df = data.copy()
-    ratio = df["Close"] / df["Adj Close"]
-    df["Adj Open"] = df["Open"] / ratio
-    df["Adj High"] = df["High"] / ratio
-    df["Adj Low"] = df["Low"] / ratio
-
-    df.drop(
-        ["Open", "High", "Low", "Close"],
-        axis=1, inplace=True)
-
-    df.rename(columns={
-        "Adj Open": "Open", "Adj High": "High",
-        "Adj Low": "Low", "Adj Close": "Close"
-    }, inplace=True)
-
-    return df[[c for c in col_order if c in df.columns]]
-
-
-def back_adjust(data):
-    """ back-adjusted data to mimic true historical prices """
-
+def adjust_with_Yahoo_adj_close(data):
     col_order = data.columns
     df = data.copy()
     ratio = df["Adj Close"] / df["Close"]
@@ -374,12 +352,12 @@ def back_adjust(data):
     df["Adj Low"] = df["Low"] * ratio
 
     df.drop(
-        ["Open", "High", "Low", "Adj Close"],
+        ["Open", "High", "Low", "Close"],
         axis=1, inplace=True)
 
     df.rename(columns={
         "Adj Open": "Open", "Adj High": "High",
-        "Adj Low": "Low"
+        "Adj Low": "Low", "Adj Close": "Close"
     }, inplace=True)
 
     return df[[c for c in col_order if c in df.columns]]
@@ -511,7 +489,7 @@ def fix_Yahoo_returning_live_separate(quotes, interval, tz_exchange):
             elif interval == "1mo":
                 last_rows_same_interval = dt1.month == dt2.month
             elif interval == "3mo":
-                last_rows_same_interval = dt1.year == dt2.year and dt1.quarter == dt2.quarter
+                last_rows_same_interval = (dt1 - _dateutil.relativedelta.relativedelta(months=3)) < dt2
             else:
                 last_rows_same_interval = (dt1-dt2) < _pd.Timedelta(interval)