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It seems to me that developing a historical database is best left to those
who have the time and inclination -- probably need to pay them for their
effort.
However, keeping a relatively uptodate list of of the current tickers
trading on the AMEX, NYSE, and NASDAQ seems doable. I uploaded my first
stab at this to the files section. Comments welcome.
http://f1.grp.yahoofs.com/v1/EG1JSJDpHpXzpMtgQbl9r0XEItEyN0D5s8tGnT1sO0ncMDN8X0Vit1p_GRbHrIjejkzfOfkf75Fe1FG0P936aRGYBUn5iqileQ/US%20Stocks%20List%20-%206-2008.csv
cs
----- Original Message -----
From: "Richard Dale" <richard@xxxxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, June 04, 2008 11:29 PM
Subject: RE: [amibroker] Re: JimSwindle> US STOCKS DATABASE UPDATE
We use a proprietary number - actually an integer. We're currently up to
almost 400,000 unique securities in our database now and growing each day.
There is no such "universal number" unfortunately. The ISIN was supposed to
be that unique identifier but this can and does change (e.g. when a company
reorganises its capital structure, it often creates a new set of ISINs, thus
making it difficult to construct a continuous history for that security).
Also, many exchanges re-use ISIN codes too (which they're not supposed to do
under the guidelines - but they are only guidelines I guess).
Every (decent) data vendor out there has such a unique identifier (including
us). This is rarely shown to the end user though. Unfortunately there is
no universal indicator that is 100% effective.
Currently AmiBroker's (proprietary, structure unknown) database appears to
use the symbol as its primary means of identifying a security. Due to
symbol overlap/code re-use issues this is not ideal. However, changing such
a database structure is not a activity that should be considered likely. It
will probably require a reasonable amount of code to be rewritten within
AmiBroker. One day we hope to either interface our databases directly into
AmiBroker through a data plug-in OR write into the native (proprietary,
structure unknown) AmiBroker database.
The Microsoft Access/ODBC method of databases becomes painfully slow when
you have databases in excess of a few hundred megabytes (such as price
databases). It's just not efficient for large databases.
Best regards,
Richard Dale.
Norgate Investor Services
- Premium quality Stock, Futures and Foreign Exchange Data for
markets in Australia, Asia, Canada, Europe, UK & USA -
www.premiumdata.net
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of brian_z111
Sent: Thursday, 5 June 2008 9:06 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: JimSwindle> US STOCKS DATABASE UPDATE
Richard,
Re: universal symbol identifiers
> Further issues remain with respect to annotations on charts within
>AmiBroker
> and symbol changes. This is due, in part, to the way that
>AmiBroker uses
> the traded code as the sole identifier for a security. Internally
>we use a
> unique numerical identifier which never changes even if a security
>changes
> its code, exchange or listed status. It would be great to work
>with Tomasz
> to enhance the AmiBroker chart database structure to provide a more
>robust
> method for matching securities on the basis of an identifier rather
>than the
> code.
What are you using for your identifier - are you using a proprietry
number or a "universal number"?
What changes do you see that would enhance AB's database capabilities
(briefly)?
I started talking about this when I first purchased AB (2 yrs ago).
It seemed to me that it was unusual that AB was originally designed
with an enhanced database structure in mind but, at that time, it was
still limited to the inbuilt OHLCOI fields.
Since then the ODBC plugin has been developed, as an AB database
supplement, although I see recent comments from Chris dePuy, who
appears to have done his homework on the subject, that it slows down
considerably as it grows.
I had an interest in the subject from AB day1 because I wanted to use
a custom database to pull together info from different sources and
tie it to a symbol, via a unique identifier (no real reason outside
of curiousity/research). I had noticed in my travels, that say, CSI,
were using a proprietry ID and that some major players had made
attempts to introduce universal identification (in their own format
of course).
It seems from the discussion on importing "extra" data to the vacant
OI field that there is still interest out there, on efficient ways to
mangage custom import, from some users.
To get to the point:
Do you favour any current universal identifier (there seems to be a
power play between some of the different majors) - do we have an
identifier that is globally accepted or that you believe should be
globally accepted?
If we had one, is AB's current database structure actually capable of
handling large, flexible, multi-field databases efficiently and
taking advantage of it?
brian_z
--- In amibroker@xxxxxxxxxxxxxxx, "Richard Dale" <richard@xxx> wrote:
>
> Hi MM,
>
> For securities that are no longer trading we move them to
a "holding area"
> that is away from the normal securities database.
>
> For users that subscribe to our delisted historical data (which
goes back to
> 1950) we change the symbol of the delisted security to represent its
> delisting date (e.g. Enron eventually delisted as ENRNQ in November
2004, so
> its symbol is ENRNQ-200411). By changing the symbol we avoid symbol
> overlaps. Symbol overlaps are important with a delisted database -
For
> example, the symbols AB, CDS, CSA, ENT and SEM have each been used
6 times
> since 1950.
>
> There were 48 securities delisted today on the US markets so this
is quite a
> common event. I'd say there are an average of 15 securities each
day that
> are delisted.
>
> Further issues remain with respect to annotations on charts within
AmiBroker
> and symbol changes. This is due, in part, to the way that
AmiBroker uses
> the traded code as the sole identifier for a security. Internally
we use a
> unique numerical identifier which never changes even if a security
changes
> its code, exchange or listed status. It would be great to work
with Tomasz
> to enhance the AmiBroker chart database structure to provide a more
robust
> method for matching securities on the basis of an identifier rather
than the
> code.
>
> Best regards,
> Richard Dale.
> Norgate Investor Services
> - Premium quality Stock, Futures and Foreign Exchange Data for
> markets in Australia, Asia, Canada, Europe, UK & USA -
> www.premiumdata.net
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of marketmonk777
> Sent: Wednesday, 4 June 2008 11:09 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: JimSwindle> US STOCKS DATABASE UPDATE
>
> Richard,
>
> How do you handle stocks that are no longer trading? I mean how do
> you notify your customer base? Or do you just remove it from their
> hard drives?
>
> As I mentioned earlier I use to use TC2005 (prior to finding
> Amibroker) and was using the chart notes feature to "log" all of my
> trades. What I discovered was that the Wordens would automatically
> remove dead symbols and therefore I would not be able to retrieve
> those notes and charts. That got me a little tweaked.
>
> Regards,
> MM
>
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