CRSP Cumulative Share/Volume Adjustment

Install and import#

npm install fintech-algorithms

import { calculate } from "fintech-algorithms/corporate-actions-and-security-master-data/adjustment-factors/crsp-cumulative-share-volume-adjustment";

Signature#

calculate(data)

The volume counterpart of the CRSP price adjustment. Volume moves the opposite way to price across a split, and adjusting one without the other silently corrupts every turnover and liquidity measure downstream.

Parameters#

Returns#

{ schemaVersion, sourceRelease, crspBasisDate, extractCoverage, roundingDigits, rows }

Adjusted volume rows with the provenance and rounding that produced them.

Errors#

• When the extract coverage does not span the requested records — throws

Complexity: time O(n), 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#

{
  "schemaVersion": "CRSP_US_STOCK_CIZ_2_0",
  "sourceRelease": "synthetic-ciz-2.0-fixture-v1",
  "crspBasisDate": "2024-09-05",
  "extractCoverage": "full_history",
  "records": [
    {
      "packageSecurityKey": "SYNTHETIC-CRSP-CIZ-001",
      "date": "2024-08-28",
      "frequency": "daily",
      "crspFactorField": "DlyCumFacShr",
      "crspCumulativeShareFactor": 4,
      "crspFactorStatus": "observed",
      "rawSharesOutstandingThousands": 250,
      "rawVolumeShares": 100
    },
    {
      "packageSecurityKey": "SYNTHETIC-CRSP-CIZ-001",
      "date": "2024-08-29",
      "frequency": "daily",
      "crspFactorField": "DlyCumFacShr",
      "crspCumulativeShareFactor": 4,
      "crspFactorStatus": "observed",
      "rawSharesOutstandingThousands": 250,
      "rawVolumeShares": 125
    },
    {
      "packageSecurityKey": "SYNTHETIC-CRSP-CIZ-001",
      "date": "2024-08-30",
      "frequency": "daily",
      "crspFactorField": "DlyCumFacShr",
      "crspCumulativeShareFactor": 1,
      "crspFactorStatus": "observed",
      "rawSharesOutstandingThousands": 1000,
      "rawVolumeShares": 460
    }
  ]
}

Call#

calculate(data)

Returns#

object with 1 field: rows

{
  "rows": [
    {
      "crspAdjustedSharesOutstandingThousands": 1000,
      "crspAdjustedVolumeShares": 400
    },
    {
      "crspAdjustedSharesOutstandingThousands": 1000,
      "crspAdjustedVolumeShares": 500
    },
    {
      "crspAdjustedSharesOutstandingThousands": 1000,
      "crspAdjustedVolumeShares": 460
    }
  ]
}

Diagrams#

Calculation flow#

flowchart LR
    A["CRSP CIZ 2.0 row and release"] --> B{"DlyCumFacShr or MthCumFacShr?"}
    B -->|No| X["Reject field substitution"]
    B -->|Yes| C{"CRSP factor and raw quantity present?"}
    C -->|No| M["Return explicit missing status"]
    C -->|Yes| D{"Monthly volume with mixed basis?"}
    D -->|Yes| R["Require licensed daily reconstruction"]
    D -->|No| E["Multiply by CRSP share factor"]
    E --> F["Round once at 12 decimals"]
    F --> G["Retain CRSP release, basis, and status"]

stateDiagram-v2
    [*] --> ValidateCRSPField
    ValidateCRSPField --> Rejected: price factor or wrong frequency
    ValidateCRSPField --> Missing: raw value or CRSP factor absent
    ValidateCRSPField --> CheckFrequency: valid share factor
    CheckFrequency --> DailyComputed: daily quantity
    CheckFrequency --> MonthlyComputed: clean monthly evidence
    CheckFrequency --> DailyReconstructionRequired: mixed or unknown month
    CheckFrequency --> GapQualified: CRSP factor continued across gap
    DailyComputed --> Audited
    MonthlyComputed --> Audited
    GapQualified --> Audited
    Missing --> Audited
    Rejected --> Audited
    DailyReconstructionRequired --> Audited

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#

• R1 - CRSP US Stock & Indexes Database Guide, Flat File Format 2.0 (CIZ)
• R2 - Important Notice: CRSP US Stock & Indexes Flat File Format 2.0 (CIZ)
• R3 - June 2025 Monthly Update: CRSP US Stock & Index Release Notes
• R4 - May 2026 Monthly Update: CRSP US Stock & Index Databases Release Notes
• R5 - CRSP US Stock & Indexes Database Data Descriptions Guide

The rest of the Adjustment Factors family#

• Backward Split AdjustmentRestates prices before a split onto the post-split basis so the series is continuous across the event.
• Forward Split AdjustmentRestates a series onto a chosen basis date rather than onto the latest one, so a figure quoted in a historical report can still…
• Cash-Dividend Total-Return AdjustmentBuilds a total-return series by reinvesting cash dividends at the ex-date.
• CRSP Cumulative Price AdjustmentThe CRSP cumulative adjustment-factor convention, which is what academic finance means by an adjusted price.