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CRSP Cumulative Price Adjustment

Respect the Vendor Basis, Sign, and Gaps

Install and import#

bash
npm install fintech-algorithms
ts
import { calculate } from "fintech-algorithms/corporate-actions-and-security-master-data/adjustment-factors/crsp-cumulative-price-adjustment";

Signature#

calculate(input)

The CRSP cumulative adjustment-factor convention, which is what academic finance means by an adjusted price. Reproducing published research requires this convention specifically, not a plausible equivalent.

Parameters#

NameTypeNotes
input{ crspConvention: string; crspSourceVersion: string; packageSecurityKey: string; crspBaseDate: string; crspGapPolicy: string; roundingDecimals: number; crspFactorEvents: FactorEvent[]; records: Record[] }crspConvention and crspSourceVersion pin which vintage of the convention is being applied — CRSP has revised it, and results differ. crspGapPolicy decides what happens across missing observations, and roundingDecimals fixes the rounding so the same input reproduces bit-for-bit.

Returns#

{ crspConvention, crspBaseDate, crspPriceFormula, crspFactorEvents, crspFactorChangeDates, records, … }

Adjusted records together with the exact formula and factor-change dates applied — the provenance a replication needs in order to be checkable.

Errors#

  • When the convention or source version is unrecognised — throws

Complexity: time O(n + e), space O(n).

Worked example#

verified This is the worked example published in the article, replayed by the test suite on every run. The output cannot drift.

Input#

input
{
  "crspConvention": "CRSPAccess-ts_print-cumfacpr-archived",
  "crspSourceVersion": "Archived CRSP Stock and Index Data Description Guide convention; synthetic extract v1",
  "packageSecurityKey": "SYNTHETIC-SECURITY-001",
  "crspBaseDate": "2024-06-10",
  "crspGapPolicy": "stop-at-unknown-exchange",
  "roundingDecimals": 6,
  "crspFactorEvents": [
    {
      "crspExdt": "2024-06-10",
      "crspFacpr": 1,
      "syntheticLabel": "Synthetic 2-for-1 split-like CRSP event"
    }
  ],
  "records": [
    {
      "date": "2024-06-06",
      "crspPrc": 120,
      "crspCumfacpr": 0.5,
      "crspPriceKind": "trade",
      "coverageStatus": "observed"
    },
    {
      "date": "2024-06-07",
      "crspPrc": -123,
      "crspCumfacpr": 0.5,
      "crspPriceKind": "bid_ask_average",
      "coverageStatus": "observed"
    },
    {
      "date": "2024-06-10",
      "crspPrc": 60,
      "crspCumfacpr": 1,
      "crspPriceKind": "trade",
      "coverageStatus": "observed"
    }
  ]
}

Call#

calculate(input)

Returns#

object with 10 fields: crspConvention, crspSourceVersion, packageSecurityKey, crspBaseDate, crspGapPolicy, crspPriceFormula, crspFactorEvents, crspFactorChangeDates, …

{
  "crspConvention": "CRSPAccess-ts_print-cumfacpr-archived",
  "crspSourceVersion": "Archived CRSP Stock and Index Data Description Guide convention; synthetic extract v1",
  "packageSecurityKey": "SYNTHETIC-SECURITY-001",
  "crspBaseDate": "2024-06-10",
  "crspGapPolicy": "stop-at-unknown-exchange",
  "crspPriceFormula": "CRSP adjusted price = CRSP PRC * CRSP CUMFACPR",
  "crspFactorEvents": [
    {
      "crspExdt": "2024-06-10",
      "crspFacpr": 1,
      "syntheticLabel": "Synthetic 2-for-1 split-like CRSP event"
    }
  ],
  "crspFactorChangeDates": ["2024-06-10"],
  "roundingDecimals": 6,
  "records": [
    {
      "date": "2024-06-06",
      "crspPrc": 120,
      "crspCumfacpr": 0.5,
      "crspAdjustedPrice": 60,
      "crspAdjustedMagnitude": 60,
      "crspRecoveredPrc": 120,
      "crspPriceKind": "trade",
      "coverageStatus": "observed",
      "status": "CRSP_ADJUSTED_TRADE"
    },
    {
      "date": "2024-06-07",
      "crspPrc": -123,
      "crspCumfacpr": 0.5,
      "crspAdjustedPrice": -61.5,
      "crspAdjustedMagnitude": 61.5,
      "crspRecoveredPrc": -123,
      "crspPriceKind": "bid_ask_average",
      "coverageStatus": "observed",
      "status": "CRSP_ADJUSTED_BID_ASK_AVERAGE"
    },
    {
      "date": "2024-06-10",
      "crspPrc": 60,
      "crspCumfacpr": 1,
      "crspAdjustedPrice": 60,
      "crspAdjustedMagnitude": 60,
      "crspRecoveredPrc": 60,
      "crspPriceKind": "trade",
      "coverageStatus": "observed",
      "status": "CRSP_ADJUSTED_TRADE"
    }
  ]
}

Diagrams#

CRSP Cumulative Price Adjustment — article hero
CRSP Cumulative Price Adjustment — failure guard
CRSP Cumulative Price Adjustment — worked example

Calculation flow#

Archived CRSPAccess cumulative-price calculation flow 
flowchart LR
    A["Archived CRSPAccess row"] --> B{"CRSP coverage state"}
    B -->|Observed| C{"CRSP price kind"}
    B -->|Unknown-exchange gap| G["CRSP factor gap: missing"]
    B -->|Post-delisting unpriced| D["CRSP delisting state: missing"]
    C -->|Trade or bid/ask average| E["CRSP PRC × CRSP CUMFACPR"]
    C -->|Zero missing sentinel| M["CRSP price missing"]
    E --> F["Signed CRSP result + magnitude + reverse check"]
CRSP evidence and result lifecycle 
stateDiagram-v2
    [*] --> VersionScoped
    VersionScoped --> BaseAnchored: CRSP base row has CUMFACPR 1.0
    BaseAnchored --> Calculable: observed CRSP price and positive factor
    BaseAnchored --> Missing: zero price, factor gap, or unpriced delisting
    Calculable --> Derived: CRSP PRC multiplied by CRSP CUMFACPR
    Derived --> Audited: sign, magnitude, source, and reverse check retained
    Missing --> Audited: reason retained without imputation

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

  • CRSP Stock and Index Data Description Guide, CRSPAccess
  • CRSP Programmer's Guide
  • Important Notice: CRSP US Stock & Indexes Databases Flat File Format 2.0 (CIZ)
  • CRSP Policies & Statements
  • Historical-example evidence decision

The rest of the Adjustment Factors family#