Add preprocessing_contract.md

preprocessing_contract.md

@@ -49,21 +49,23 @@ The convention, stated so you can check your vendor's numbers against it:
   date before the ex-date, or that day's last bar if none is stamped that early. Pass a
   `close_prior` column in the dividends table to override it. Dividends with
   `amount ≥ close_prior` are skipped and the price is left under-adjusted.
-- `amount` must be the cash per share as declared at the time, on the share basis in force
-  then. yfinance reports dividends on today's split-adjusted share basis, so a dividend
-  that precedes a later split inside your bar range must be multiplied by that split's
-  ratio.
+- `amount` must be the cash per share on the same share basis as the bars it adjusts. A
+  feed that quotes prices on the historical basis needs dividends on that basis too. If
+  the feed reports dividends on today's split-adjusted basis, a dividend that precedes a
+  later split inside your bar range must be multiplied by that split's ratio.
 - Two actions on the same ex-date are combined: dividend amounts are summed, split ratios
   are multiplied.
 - Actions dated on or before the first bar date have no effect. Actions dated on a day
   with no bars (weekend, holiday, feed gap) still apply once, to every bar before that day.
 
-Corporate actions must be keyed by **ex-date**. One free source is yfinance:
+Corporate actions must be keyed by **ex-date**. One free source is yfinance. Its prices,
+volumes and dividends are all on today's split-adjusted basis even with
+`auto_adjust=False`, so pass the dividends only and no splits:
 
 ```python
 tk = yfinance.Ticker(sym)
-splits = tk.splits.rename_axis("date").rename("ratio").reset_index()
 dividends = tk.dividends.rename_axis("date").rename("amount").reset_index()
+adjusted = adjust_ohlcv(bars, None, dividends)
 ```
 
 If your vendor already delivers adjusted bars, call `adjust_ohlcv(bars)` with no actions.