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Portfolio123 » List all forums » Forum: Data related issues » Thread: When will we have actual open prices? |
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Total posts in this thread: 10 |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Marco, Will you give us an educated guess as to when you will be able to update the open prices to the actual open price? I want to postpone re-running my ranking systems and Sims until that can be accomplished. Denny  ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Bump Marco? ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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marco
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It's two projects in one: updating prices around 10PM and bringing in the open prices from our IDC historical dump. It's the next project after we flush out the main bugs. Working on IndWeight/SecWeight now which is very important. Certainly by end of next week, hopefully sooner. ---------------------------------------- Portfolio123 Staff |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Thanks Marco, that will be great! Denny ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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z8735
Advanced Member
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Hi Marco, can you please update regarding this one, are the open prices prior to 2004 correct now? Thanks, Z. |
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marco
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There are two ways to do it, one involves updating Compustat data, the other mirroring the data then updating. Each has its own set of problems. We're asking Compustat what they recommend. Should have something end of this week. ---------------------------------------- Portfolio123 Staff |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Marco, Any update on actual open prices? I am holding off re-running most of my Sims, Ports, and Ranking systems until we have open prices back to 1999. Denny ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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marco
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Denny, Compustat suggested we mirror the price data in our own database and update the open prices. Obviously they don't support/like clients manipulating their database, so that any changes that come from them do not over-write ours. This has merits and drawbacks. I was leaning towards updating their data, so we don't have to worry about keeping two sets of data in synch. I seriously doubt they would make any updates to price data that is 4+ years old since it's not even their data (it's IDC) However having our own copy of prices has one major advantage. We can populate the last bid/ask since we have that from IDC. This bid/ask spread could be used to automatically compute slippage for each stock. It's not the only way to have a variable slippage calculation (we could look at price, volume, etc) but it's probably the most accurate. How would you rate that feature to help us decide which course to take ? Thanks ---------------------------------------- Portfolio123 Staff |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Marco, I like the idea of using IDC’s data best. Have you considered using your own point in time Reuters’ data? I realize it only starts on 3/31/01. It would be interesting to run a comparison test between your Reuters’ data and IDC’s data. We might be surprised by what you find! Denny ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Marco, Will you give us an update of when we can expect to have actual open prices prior to 08/27/2004? Thanks, Denny ---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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When will we have actual open prices?
Re: When will we have actual open prices?
