I'm trying to find a good source for global equities for EOD data (historical and forward basis), currently using Bloomberg's back office data, but it is very hard to normalize it for corporate actions (ticker changes are painful, specially when same tickers are re-used by different companies) - I'm applying all the corporate actions but still it is not the best dataset. There has to be a better source and better way to do it. I know there are lot of sources, but what I'm really looking for is a robust solution that has a very good way to apply corp actions etc.
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$\begingroup$ I doubt you will get this for free but I can name a few alternative vendors if you'd like. $\endgroup$– pyCthonMay 15, 2015 at 22:37
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$\begingroup$ What backtesting platform/programming language are you using? $\endgroup$– Richard at NorgateDataMay 16, 2015 at 0:27
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$\begingroup$ I'm not looking for a free source, willing to pay. I'm willing to use any programming language - preferable ones are c#, python, but most preferred way would be storing the data into our database first. $\endgroup$– WhoIsNinjaMay 16, 2015 at 2:04
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$\begingroup$ Do you really need "Global equities" or just a subset? $\endgroup$– Richard at NorgateDataMay 16, 2015 at 10:29
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$\begingroup$ Global Equities $\endgroup$– WhoIsNinjaMay 20, 2015 at 21:21
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2 Answers
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You can try premiumdata.net. Among several sources I used this provides most clean data. They account for splits and dividends. Delisted securities are present in the data. This is not free but the price is modest for this quality for my point of view. They provide EOD data for US, Australian and Singapore stock exchanges.
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1$\begingroup$ I think a good possibility is to combine CRSP for USA with Datastream for outside USA stocks. This is what most academics use on their papers. An example of a top paper that uses this two data bases is Asness, Moskowitz and Pedersen (2009), but there are several other references. Let me know if you are interested. $\endgroup$ Jul 21, 2015 at 17:41
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If you are using Bloomberg then you can pull prices adjusted for corporate actions such as splits, dividends, and other capital adjustments, assuming this meets your needs (i.e. momentum based quant strategies). If you know which global equity indices to track then you can pull the historical constituents to minimise survivorship bias. In Bloomberg, MSCI index constituent lists requires a subscription whereas S&P index members are readily available.
From there you can create a security master list of all the unique tickers in your global universe and pull their adjusted/unadjusted historical data in a specified currency.
Admittedly the tickers can change after your download which requires management if you intend to run a real-time database for production purposes via this process, but it is possible to manage that process.
Otherwise you could look at e.g. Thompson-Reuters, CapitalIQ, Factset, etc. but these can be very expensive. I find Bloomberg data via the terminal to be quite a cost effective solution for global equities, albeit far from perfect. Ideally one would have a loader that auto populates your DB tables each day and manages ticker/ security ID changes.
Hope this is helpful.
