What is the universe of instruments?

From the FAQs I have learned that only US equities are available at present.
This includes ETFs.
Is it only high volume equities? e.g. 1,000 equities, like Quandl. Or 3,000, like the Russell index, or 5,000 like the Wiltshire index?

Are de-listed equities included?
What is the treatment of corporate events? Not just dividends but M&A.

World-wide equities have been considered.
Some people have requested FX.
Some people have requested options (presumably on equities).
Another obvious suggestion would be futures on commodities, interest rates and equity indices. This would allow CTA strategies such as trend-following to be replicated and evaluated.

I'd be grateful for any answers and I'm sure that many other newbies will too.



  • ptunneyptunney Posts: 246

    All US equities.. around 8500 depending on the day.

    Each day has all the equities for that day at the prices they were on that day (so there is no survivor bias).
    If you are holding a position multiday and a corporate action occurs the system should take care of that and reflect it.
    Dividends and simple splits make up the vast majority of corporate actions and we handle those. However, the more complex unusual events we have not handled. Developing the system out from an intraday trading firm we have always handled those unusual events in the live environment as and when they occur. You do not always have notice or notification in advance.

    If such an event happens in one of your backtests and skews your results we suggest you :
    a) flag the symbol and date up to us
    b) exclude it on that date with a note at the top of your code so you remember that you have done that (in case you submit it for funding we know what the limitations are and may be able to help you code around it)

    As for other datasets, we are focussed on US equities and new and alternate data sets that support trading in that environment.
    As and when we can obtain quality historical data for other environments at the resolution that we need with the licenses and ability to crowd share that quality high-resolution data with cloud users we will do that.

Sign In or Register to comment.