General Information

Information on this page is relevant to both backtest data files and live data feeds. Definitions for the columns in our data files are in the last section of this page.

Coverage

  • ~2900 currently active U.S. exchange-traded stocks.
  • ~2700 currently inactive U.S. exchange-traded stocks that appear in the historical data
  • Since 2004, our coverage has focused on live, actively-traded stocks because our primary clients have been fundamental PMs. We've always aimed to maintain coverage of 2900 - 3000 active stocks. Due to bankruptcies, acquisitions, delistings, etc., we lose about 20 companies per month from coverage. When adding companies to coverage, we prioritize companies with higher market caps and trading volumes, along with big IPOs and client requests.

Coverage universe is updated daily and available here.

Data Sources

We source all data directly from the annual and quarterly SEC filings using our proprietary Robo Analyst technology. All calculations are our own.

  • Annual filings include
    • 10-Ks
    • 20-Fs
    • 40-Fs
    • S-1s
    • F-1s
    • and others
  • Quarterly filings include
    • 10-Qs
    • 6-Ks
    • and others

Time Frame

Our historical data includes annual data from 1998 to the present, and quarterly data from 2012 to the present. All data is presented as trailing-twelve-months (TTM) data (more details on TTM are below).

Trailing-Twelve-Month (TTM) Data

All data is for the trailing twelve months. Annual data is shown when a company's latest filing is an annual filing (10-K). Trailing-twelve-month data from the prior 4 quarters is shown when a company's latest filing in the relevant fiscal period is a quarterly filing (10-Q).

Dataset Generation Date

Included in the file name for the dataset, the dataset generation date is the date on which the data feed file was generated.

Access to Data Files

Data feed files can be made available on our ftp server for download, or we can deliver feed files to your ftp server. Delivery is scheduled to meet your business needs.

Data Feed Types

We offer 3 types of data feed: real-time, point-in-time backtest, and historical.

  • Real-Time Data

    Our live, real-time data feeds provide standardized, production ready data files on a regular basis.

  • Point-in-Time Backtest Data

    All backtest data is point-in-time data provided as of the dates presented in the backtest dataset file. Only data available on the as_of_date is used in our models. Only one filing is used per annual or quarterly period. Original filings are used until they are replaced by amended filings on the date the amendments are filed with the SEC. We do not collect data from amended filings unless they provide materially different financial data. More information on data dates below.

  • Historical Data

    Best currently available historical data, updated for all amendments and corrections to date, is provided for portfolio managers and investors who want the current, most accurate historical data for their models.

Frequency

Data points impacted by market price changes are updated daily and marked by asterisks in our documentation. Financial data not impacted by market price changes are updated when the company files a new filing.

Current Security Identifiers & Definitions

  • ticker_current - The ticker for the security on the dataset generation date. Tickers that include a colon are currently inactive stocks. We assign the last used ticker to the security followed by a colon and a number that increments for each new company that becomes inactive with that ticker. For example, XYZ Corp uses ticker XYZ and goes inactive. We assign the company the ticker XYZ:1 because it is the first company in our system to go inactive using ticker XYZ. If a different company, XYZ Technology, starts using ticker XYZ and goes inactive, it will be assigned XYZ:2. A list of tickers and company names is available on our website or through the coverage endpoint of our API.
  • company_name_current - The name of the company on the dataset generation date.
  • cik_current - The Central Index Key (CIK) used by the SEC on the dataset generation date to identify corporations and individuals who have filed with the SEC. CIK is provided to help map securities from New Constructs to other data sets. For active companies, the CIK is the one in use by the SEC on the dataset generation date. For inactive companies, the CIK is the last one in use by the company prior to its being inactivated.
  • stock_exchange_current - The exchange on which a ticker trades on the dataset generation date. For active stocks, the exchange is the one on which the ticker was traded on the dataset generation date. For inactive stocks, the exchange is the last one on which the ticker was traded prior to its being inactivated.

Point in Time Security Identifiers & Definitions

  • ticker_point_in_time - The ticker for the security on the as_of_date. Point-in-time identifiers are available starting on May 5, 2006 through the present. For periods before May 5, 2006, this field will be empty.
  • company_name_point_in_time - The name of the company on the as_of_date. Point-in-time identifiers are available starting on May 5, 2006 through the present. For periods before May 5, 2006, this field will be empty.
  • cik_point_in_time - The Central Index Key (CIK) used by the SEC on the as_of_date to identify corporations and individuals who have filed with the SEC. CIK is provided to help map securities from New Constructs to other data sets.
  • stock_exchange_point_in_time - The exchange on which a ticker traded on the as_of_date. Point-in-time identifiers are available starting on May 5, 2006 through the present. For periods before May 5, 2006, this field will be empty.

Permanent, Standard Security Identifiers & Definitions

  • figi - The Financial Instrument Global Identifier (FIGI) is an established global standard issued under the guidelines of the Object Management Group (OMG.org, an international, non-profit standards organization), founded in 1989. FIGI is provided to help map securities from New Constructs to other data sets. Please see OpenFIGI for details on OpenFIGI and its use. We do not provide CUSIPs for securities.
  • perm_id - PermIDs are open, permanent and universal identifiers where underlying attributes capture the context of the identity they each represent. PermID is provided to help map securities from New Constructs to other data sets. Please see PermID for details.

General Column Header Definitions

  • company_status_current - The trading status of the security on the dataset generation date. Actively traded stocks are marked as 'live'. Inactive stocks that have been delisted and no longer traded are marked as 'inactive'.
  • fiscal_year - The fiscal year on the as_of_date.
  • fiscal_quarter - The fiscal quarter on the as_of_date. For annual periods, this field will be null. For quarterly periods, this field will show the quarter: 1, 2, 3, or 4.
  • filing_type - The filing type of the most recent filing for the fiscal period on the as_of_date - generally a 10-K or 10-Q.
  • filing_date - The SEC filing date for the most recent filing on the as_of_date. In our real-time data feed, filing data are generally available to clients 48 hours after a new filing is filed with the SEC.
  • period_end_date - The period end date of the most recent filing on the as_of_date.
  • update_reason - Explains the cause of the change in data on the as_of_date. When data is updated because of a new filing, update_reason provides information about the new filing, for example "New 2021 10-K filed 2022-02-22" or "New 2022 Q3 10-Q filed 2021-11-24". When data is updated without a new filing or a data correction, the provided update_reason is "Stock price". "Stock price" updates only occur in backtest datasets and provide updates on metrics that use stock price as an input like Price-to-Economic Book Value. In our real-time data feed, when data is updated because of a data correction, addition of more historical periods, or any other change to our model besides a new filing, UPDATED_DATA appears in the update_reason field.
  • as_of_date - The date applicable to the data presented. Data that are affected by stock price use closing stock prices on the as_of_date. Data that are not impacted by stock price are updated on the filing_date. In our real-time data feed, filing data are generally available to clients 48 hours after a new filing is filed with the SEC. When analyzing a backtest dataset, we recommend a 2 day lag after the filing_date for filing based data.

Dataset-Specific Column Header Definitions

See the Data Feeds & Dictionaries documentation for each dataset. Descriptions for each column of data are provided in a dataset's documentation. All data values are reported in ones units. Datapoints that are impacted by stock price changes are marked with an asterisk (*) in the documentation.