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RE: [EquisMetaStock Group] A-D data format.



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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 -
 


From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx] On Behalf Of Richard Dale
Sent: Saturday, 16 April 2005 14:42
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] A-D data format.

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 -
 


From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx] On Behalf Of Andrew Tomlinson
Sent: Friday, 15 April 2005 21:55
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] A-D data format.


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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