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yuvaltaylor
Re: Factor and data series importing

Are all the up-loads additive? For example;

load 1;
2019-09-09,IBM,1
2019-09-09,AAPL,1
2019-09-09,CSCO,1
2019-09-16,CSCO,1
2019-09-16,OXY,1

oops, made a mistake on OXY.
load 2:
2019-09-09,IBM,1
2019-09-09,AAPL,1
2019-09-09,CSCO,1
2019-09-16,CSCO,1

OXY is still a stock factor.

So the method for deleting a bad entry is to delete the series and up-load a clean one? Is that right?

There's another method, and that's to put 2019-09-16,OXY,NA or 2019-09-16,OXY,0 Either of those will overwrite the previous entry for OXY. But leaving it out won't.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 30, 2019 11:54:45 PM       
yuvaltaylor
Re: Factor and data series importing

Activating a stock looks like;
2019-09-09,IBM,1

Deactivating a stock looks like;
2019-09-16,IBM,0

Is that right?

Yes indeed.

I tried deactivating a stock with today's date and it's still listed in a Screener run. So the change is not recognized. Is that expected? Does that mean we need to update our ETF lists with Sunday's date?

Today's date won't be recognized until after 11 pm today, when the data reloads.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Dec 30, 2019 11:56:29 PM       
Jrinne
Re: Factor and data series importing

Thank you Yuval and P123 Staff!

I will be able to use this as is. Not sure about this: see next post (but I assume I am doing something wrong or there is a fix).

The data upload limit will constrain what I can do, I think. See image for data from 2013 till early 2019 and not all stocks in my P123 universe at that.

Can these uploads be concatenated within P123. Other workarounds? Perhaps I can upload (and test) a year at a time if nothing else (have not tested this for a data limit)? Maybe I can removed the worse half (or 3/4) of the data and get under the limit? I will test these ideas.

How many rows is this limit (about).

Maybe you can upload multiple times and they are concatenated? Probably the case. Will try this. If this works I appreciate the opportunity to post as it helped me find my own answer (probably). Will not try this, however, until I figure out the problem in the next post.

Much appreciated.

-Jim

Attachment Data Limit.png (34369 bytes) (Download count: 151)


From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Dec 31, 2019 6:22:56 AM       
Edit 10 times, last edit by Jrinne at Dec 31, 2019 7:23:53 AM
Jrinne
Re: Factor and data series importing

Okay, I have reduced the upload size. Now what am I doing wrong?

There are a lot of tickers and it is getting time-consuming removing them all.

This is just the tickers starting with "A" as I sorted the spreadsheet in order to find (and remove) many tickers already (and resubmitted it). It is getting to be a lot of missing data (after removal) and probably is not useful with that many removals.

Again, I assume I am missing something. Any help or fixes appreciated.

Thanks!

-Jim

Attachment Tickers not 'mapping'.png (227394 bytes) (Download count: 148)


From time to time you will encounter Luddites, who are beyond redemption.
--de Prado, Marcos López on the topic of machine learning for financial applications

Dec 31, 2019 6:49:18 AM       
Edit 8 times, last edit by Jrinne at Dec 31, 2019 7:22:29 AM
geov
Re: Factor and data series importing

The stock factor tool allows you to import outside data about tickers (both stock and ETF). You can use this, for example, to import an ETF’s historical holdings, .....

I have historic holdings of ETF USMV for longer than 5 years, taken every 3 months. How do I get this into a Stock Factor database, and how can this be used to run a simulation?

USMV holds over 200 positions. I have about 24 "inlists" of them, but not historic prices.


Create a CSV file with the date, the ticker, and the value "1"

Upload that as a stock factor. Call it $$USMV.

You can now use $$USMV in a screener. $$USMV = 1 will get you only stocks that were held in USMV on a particular date.

Yuval, my "inlists" of historic holdings are spaced 3 months apart. Does the CVS file have to repeat the same holdings list for each day in the 3-month segment?

If so then for daily data, 22 x 3-month periods, and 200 holdings:
Days in a 3-month period = 63
Number of 3-month periods = 22
Number of holdings = 200

Total Number of lines in the input CVS file for 5.5 years of historic data = 63 x 22 x 200 = 277,200. Does this not exceed the upload limitation which Chris found?

Dec 31, 2019 8:50:31 AM       
Edit 1 times, last edit by geov at Dec 31, 2019 9:04:45 AM
wwasilev
Re: Factor and data series importing

Yuval, my "inlists" of historic holdings are spaced 3 months apart. Does the CVS file have to repeat the same holdings list for each day in the 3-month segment?

Georg, It's been my experience that the stock factors remain active until deactivated with a zero value. So you shouldn't have to repeat the quarterly data on a daily basis.

Walter

Dec 31, 2019 9:03:16 AM       
geov
Re: Factor and data series importing

Yuval, my "inlists" of historic holdings are spaced 3 months apart. Does the CVS file have to repeat the same holdings list for each day in the 3-month segment?

Georg, It's been my experience that the stock factors remain active until deactivated with a zero value. So you shouldn't have to repeat the quarterly data on a daily basis.

Walter

Walter, that means one has to deactivate the stocks that have been dropped at the end of a 3-month period, and only would require the new holdings to be listed, because the old ones which are retained continue to be active. Is this correct?
Thanks.

Dec 31, 2019 9:08:15 AM       
Edit 1 times, last edit by geov at Dec 31, 2019 9:10:36 AM
wwasilev
Re: Factor and data series importing

I believe so. That should work.

Since my updates will occur weekly, my planned workflow is load active stock selections on Sunday. On the following Saturday, use the same list to deactivate all selections and then on Sunday reload the new - possibly updated - stock list. That way I don't have to actively manage the deselections.

Dec 31, 2019 9:14:15 AM       
geov
Re: Factor and data series importing

Yes, that's a good idea. Deactivate the old list, and activate the new list every 3 months.

Dec 31, 2019 9:32:10 AM       
marco
Re: Factor and data series importing

Jrinne, where did you get those tickers from? They are not valid today . Perhaps they are point in time tickers? I think the import only looks at the current ticker, which means you need to find the latest ticker (arexq for example) or find the ticker for dead ones (that uses the ^ notation).

We're thinking of several ways to support old tickers, like

- Allow you to choose "use point in time tickers"
- Support CUSIPs
- Support our own internal numeric id which never changes

Thanks

Portfolio123 Staff.

Dec 31, 2019 9:44:49 AM       
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