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Normally I pull all the data I can, this is a very expensive operation. Usually I'm working with 504 trading days plus a month or maybe a quarter of lead time. So I'd interpolate and then count the number of days traded and make sure I hit at least 90% of the mark and drop the rest (also expensive to count).

I thought I could simply go back in time and grab just 1 day (or maybe a week) for each symbol. Say if I was working with a quarter of lead time, I'd go back 9 quarters from current date back and grab a week and if there is data there, I can assume the symbol has the 9 quarters I need (I learned that the symbols nasdaq's ftp posts daily are the ones ACTIVELY trading (i.e. not delisted) so I dont need to worry if it's currently trading, i.e. check an end date). So if it exists as trading 9 quarters ago for any day within a week window, I can then grab the whole 9 quarters for that symbol.

Unless of course the company does what Dell did, and buys back all their stocks.

Anyways. I'm trying to brainstorm and was curious if Yahoo posted important details that I could query so i dont have to grab more data than I need.

Another idea i had was to use IPO. But what would be ideal, at the very least, was a first day traded field (some yahoo queriable field in R) and/or # of days actively traded from current date.

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What I did was go back 2 years and grab a week's worth of data and if it traded that week, I proceeded to grab 2 years.

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  • $\begingroup$ You can accept your own answer as solution, so we know that this question has been answered. $\endgroup$ – Pleb Jan 5 at 22:21

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