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Do not use a list of all NYSE, Amex and Nasdaq stocks for your backtesting. Exchange membership is of little significance in the US. All three exchanges include some very inactive and illiquid stocks. Instead use the historical membership list for an index (such as S&P 500, Russell 1000, Wilshire, CRSP Index family) so you get a list of stocks which have ...


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If the only purpose is to backtest with the data, the primary (in some cases, only) access pattern is to seek to a start time and read all of the data serially through to an end time. Then, there is a strong argument for storing it in plain, flat files with binary encoding, i.e. dumping the data structs in their in-memory layout straight to disk. Storing it ...


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Appendix I of Thompson (2007, "The tulipmania: Fact or artifact?") mentions the following dates and respective tulip price index values. In R: tms <- as.Date(c("1636-11-10", "1636-11-12", "1636-11-25", "1636-12-01", "1636-12-12", "1637-02-01", "1637-02-03", &...


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algoseek.com provides Equity Security Master File which tracks any changes for a security (Ticker, Name, Primary Exchange, etc) and goes back to Jan 2007. You can filter tickers by SecurityDescription column and a relevant date range to get your target Universe. Also, they provide FIGI and ISIN within it, so cross-referencing with other vendors should be ...


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Try Algoseek - for each trading day, they provide an as-is dataset from that trade date with every Stock, ETFs, ETNs, Warrants, Preferred Stocks, ADRs, and even test symbols from January 2007 to Present. Meaning, data includes all listed and “dead” symbols due to bankruptcy, M&A, or any other reasons. You can also score some free historical data from ...


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There's no need to calculate these dates, as there are many data sources that record exactly when the last trading date was for each expiry. It's standard stuff. Try the exchange website, it's probably free, and the exchange is authoritative. Same holds for prospective dates/expiries out to a rolling horizon. IIRC it's usually a few years for equity index ...


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