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Actually I might have some back further than this...
got a whole stack of constituent data that needs some work... I have
ASX constituents back to 1992.
Best regards, Richard
Dale. Norgate Investor Services - Premium quality Stock, Futures and
Foreign Exchange Data for markets in Australia, Asia, Canada, Europe,
UK & USA -
Hi Andrew,
It's still on my medium term TODO list... I have S&P
constituent data back to around 2001 but it needs careful tracking/mapping to
delisted and code-changed securities which is likely to be a manual slog at
best.
I'm investing additional sources of corporate action feeds
that might allow me to backtrack code codes but it's all rather
expensive....
I guess the real point here is: Do the constituent
stocks exhibit different behaviour (ie better trades/signals) than
non-constituent stocks? If the answer is no (or unknown), then a liquidity
filter will do the job just as well.
Best regards, Richard
Dale. Norgate Investor Services - Premium quality Stock, Futures and
Foreign Exchange Data for markets in Australia, Asia, Canada, Europe,
UK & USA -
I started down this road a while ago. In the end I decided I
didn't have the time or energy. What decided me was the realization that,
even if I managed to get the index list changes back to the dawn of time, I
couldn't do anything with it unless I had matching data. Data vendors change
and purge their lists when there are name changes, takeovers, bankruptcies,
etc. An S&P 500 list from 20 years ago may not have data on 20% (? I'm
guessing - could be more) of the component securities using today's lists. So
until a vendor starts to offer data that hasn't been cleaned up in that way
(you still need stock splits etc) there's not much you can do with the
index info.
Richard Dale at Premium Data was starting to look at this
at one point, but I don't know if he got anywhere.
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