Is Granular Processing supported for WealthData datasets (specifically, for delisted symbols therein)?
E.g. "Nasdaq 100" has ESRX.20181220.A (as a test case). I downloaded the corresponding ESRX 5 min historical data using IQFeed and ran the strategy with granular processing enabled. GranularWeightBasis did not get any values (as written to the output log in the strategy code). Confirming if this is as expected currently or do I need to change something to get it to work?
Another question on WealthData and survivorship bias - the "end" date for the symbol in a particular index is taken into account (and is explicitly part of the symbol itself as in the ESRX example above), but is the first inclusion date also part of the logic somehow? In other words, if symbol X was first added to the "Nasdaq 100" on date Y, any backtests (that start prior to Y and end after) run on "Nasdaq 100" would not include any data/trades for X prior to that date?
E.g. "Nasdaq 100" has ESRX.20181220.A (as a test case). I downloaded the corresponding ESRX 5 min historical data using IQFeed and ran the strategy with granular processing enabled. GranularWeightBasis did not get any values (as written to the output log in the strategy code). Confirming if this is as expected currently or do I need to change something to get it to work?
Another question on WealthData and survivorship bias - the "end" date for the symbol in a particular index is taken into account (and is explicitly part of the symbol itself as in the ESRX example above), but is the first inclusion date also part of the logic somehow? In other words, if symbol X was first added to the "Nasdaq 100" on date Y, any backtests (that start prior to Y and end after) run on "Nasdaq 100" would not include any data/trades for X prior to that date?
Rename
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if symbol X was first added to the "Nasdaq 100" on date Y, any backtests (that start prior to Y and end after) run on "Nasdaq 100" would not include any data/trades for X prior to that date?
Right.
No, WealthData doesn't offer intraday data so Granular Processing won't find any matches on those delisted symbols.
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Right.
Thanks for confirming.
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No, WealthData doesn't offer intraday data so Granular Processing won't find any matches on those delisted symbols.
So Granular processing only works on the same Data Provider as for the dataset selected? Surely I'm misunderstanding, since a user-created dataset linked with the WealthData data provider, still gets granular weights (presumably from IQfeed).
Sorry for not being clear. The issue is that the delisted symbols have symbology that is unique to WealthData, so no other Provider would match those symbols.
That said, this #FeatureRequest could facilitate that - being able to map the delisted symbol to an active symbol for the intraday historical provider, you can upvote this:
https://www.wealth-lab.com/Discussion/Add-Symbol-Mappings-for-Historical-Providers-7000
https://www.wealth-lab.com/Discussion/Add-Symbol-Mappings-for-Historical-Providers-7000
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so no other Provider would match those symbols
Just to clarify, Dion means symbols like this (and only): ESRX.20181220.A
See "Delisted Symbols" in the FAQ: https://www.wealth-data.com/faq
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Sorry for not being clear
No worries, that's what I thought you meant. :)
Would it be possible to enable processing of granular data by stripping the symbol off of the delisted name? In my OP example above, "ESRX" can be parsed out from the delisted "ESRX.20181220.A" and granular processing logic could use "ESRX" (if data is available) as usual.
Yes, that could be a possible solution, but we'd need a #FeatureRequest since it's new development. As you can see, we're dealing with over 100 requests now, but we've already completed 100 as well :)
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Yes, that could be a possible solution, but we'd need a #FeatureRequest
Thanks. I was hoping the stripping of the delisted symbol could happen as part of the internal granular processing logic (since the delisted symbology is internal to WealthData as well), rather than the explicit user created and maintained mapping in that other request.
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we'd need a #FeatureRequest
I will mark this as a #FeatureRequest. Maybe some others that use Granular processing will find it useful too.
<EDIT> I guess I can't add the #FeatureRequest tag after initial post. Please add so it at least gets in the queue.
Renamed the topic, marking it as #FeatureRequest. In general I like the idea of stripping the metadata from WealthData symbol names for granular processing. It's a good Q&D approach although it won't find a delisted symbol after M&A if the new company is trading under a new ticker.
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Renamed the topic, marking it as #FeatureRequest
Thanks!
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although it won't find a delisted symbol after M&A if the new company is trading under a new ticker
Presumably the old ticker's history would still be available through the intraday historical provider such as IQFeed, so granular processing could still work seamlessly through the M&A date. Or does all the old history merge into the new ticker? When FB changes to its new ticker, will all history go to the new ticker? Probably. But slightly different scenario, since that's not the same as an M&A. M&A scenarios might need more research - are one or both tickers new etc. etc.
I'm talking about cases more tough than a symbol rename. What about Kraft Foods (KRFT) merging with Heinz (HNZ) and becoming Kraft Heinz under a new ticker (KHC).
I'm guessing, but since both those tickers traded previously, history in this case would/could not move over to KHC. IQFeed would presumably continue to store/feed the historical intraday data for both tickers even after the merger, and current data for the new ticker.
WealthData would end date both KRFT and HNZ (in the relevant indices), and the new KHC ticker would activate. Granular processing would then (after applying the stripping logic as per this request) be able to function for both symbols prior to the merger date and then for the new ticker after that date.
Did I miss anything or would that work?
WealthData would end date both KRFT and HNZ (in the relevant indices), and the new KHC ticker would activate. Granular processing would then (after applying the stripping logic as per this request) be able to function for both symbols prior to the merger date and then for the new ticker after that date.
Did I miss anything or would that work?
Sounds like an unnecessary complication not to be considered. To obtain the intraday data for delisted stocks may not be trivial for the end user so why design something so intricate.
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To obtain the intraday data for delisted stocks may not be trivial for the end user
Unless I'm missing something, the end user wouldn't have to do anything special as the historical data update would download the available ticker intraday history for both the delisted symbols (KRFT and HNZ) and the new symbol (KHC) from the intraday provider (such as IQFeed).
And WealthData wouldn't change from what its doing currently by delisting (adding end dates to) KRFT and HNZ in the index and adding KHC. The only change (as per this FeatureRequest) would be for granular processing to strip the delisted symbols down to the "KRFT" and "HNZ" tickers while looking for the intraday data.
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the end user wouldn't have to do anything special
I think your expectations are set a bit high but you should be able to search for and find some intraday delisted stock data for purchase from niche data providers. (It's not something available for free and everywhere).
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find some intraday delisted stock data for purchase from niche data providers
Seems like there's some disconnect... I believe IQFeed continues to provide historical intraday data (upto the date it was traded) even after a symbol is delisted. There are many such examples. I'm paying for IQFeed and don't expect it to be free. For end users that don't have an intraday data provider, granular processing wouldn't apply anyway.
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I believe IQFeed continues to provide historical intraday data (upto the date it was traded) even after a symbol is delisted.
It's good to know that, I thought it wasn't available.
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It's good to know that, I thought it wasn't available.
No worries. Glad we are on the same page now.
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In general I like the idea of stripping the metadata from WealthData symbol names for granular processing.
Activated for B31.
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