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5

Hate to disappoint, but you're going to need to pay to get delisted securities. Even basic equity price data of any quality comes with a cost. There are a number of non-commercial vendors that include this sort of data with one of their packages though. For instance, a vendor like Quandl (one of the cheapest, but still OK quality) offers packages for US ...


4

The divisor is just a random fixed number. The current market cap of the SPX is around 25.64 trillions. The value of the SPX at the moment is 3,185.04 . This means that the divisor is around 25,640,000,000,000/3,185. But that number is completely irrelevant and has no economic meaning.


3

In general, no one assigns ISINs to CME futures. One some other exchanges, an ISIN is assigned to the entire class of futures with different expiries.


2

Having reviewed the documentation sent by Noob2 and rechecking everything, I came to the following conclusion: ((6044−2002)/2002)^1/20.38=5.57% is absolutely wrong. If one does the calculations for this you get 1.035 (I have no idea how I managed do come up with 5.57% in the first place). Thus this resolves the question where I am confused about the ...


1

I think you should be careful in looking at your data. You say you want the auction print and not the first trade. On the US and many other exchanges with an opening auction, the first trade often does result from the opening auction. On the NYSE and AMEX, the opening auction may yield two prints: the crossing auction trade and then the imbalance trade which ...


1

QuantRocket's Data Library offers two data providers, Interactive Brokers and EDI, that publish primary exchange prices rather than consolidated prices. Primary exchange prices will give you the opening and closing auctions prices, since the opening and closing cross is the first and last trade, respectively, on the primary exchange. More information on ...


1

Wikipedia actually has a decent explanation of the divisor: The Divisor, currently below 8.3 billion, is a number that is adjusted to keep the value of the index consistent despite corporate actions that affect market capitalization and would otherwise affect the calculation formula, such as additional share issuance, share buybacks, special dividends, ...


1

I remember there was no "^SPX" ticker on yahoo finance two three years ago (not very sure). So I guess "^GSPC" and "SPX" are the same, they just add "^SPX" to follow the most popular naming convention but still keep "^GSPC" for historical reason.


1

I would use the difference between simple return (price change) and total return gross of dividend withholding tax.


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