Dear All,
As you may know our two main data providers are Compustat for financials, estimates, industry/sector, and ICE Data (formerly IDC) for pricing and corporate actions. Since ICE pricing data comes already loaded in Compustat we do not need to do anything special to connect price series to financials and estimates.
However the corporate actions we provide come directly from ICE , and keeping them connected to the Compustat side has been problematic. For example after a merger we sometimes lost the corporate actions for the company that ceased to exist. This basically breaks the point-in-time aspect of our simulations because the “Allow Mergers=NO” setting in the trading system stops working.
We have released a fix for this. It was a tricky project that involved a lot of manual intervention since Compustat and ICE don’t always do the same thing with the surviving entity.
Unfortunately you may notice some differences when you re-run your simulations if you use the “Allow Mergers=NO” setting .
Let us know of any issues.
Thanks