CSI Stock Data - further dangers

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AFJ Garner
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CSI Stock Data - further dangers

Post by AFJ Garner » Fri Feb 02, 2007 12:18 pm

1681 ITGI OTC Investment Technology Group 19940504 19990428
19191 ITG NYSE Investment Technology Grp 19980803 20070124

Take a look at the above. The dates are start dates and end dates for the data. As you can see, it would appear that ITGI is de-listed.

Not so. This stock was first listed on Nasdaq in 1994 and then changed its listing to the NYSE in 1999. In any event it is the same stock. Check it out for yourselves on the company's website:
http://www.itginc.com

In your backtesting, would you not expect one continuous data stream to test your LTTF system on this stock?

The stock was never de-listed, did not go out of business, was not re-formed, re-jigged, re-constituted. Or not that I can see but I am only too happy for someone to prove me wrong.

And believe me, the CSI database contains quite a few examples like this. Does this make for happy backtesting? Does it matter? Perhaps the stocks where CSI gets it right make for a big enough sample size not to worry too much about the errors. Nonetheless, it does not make me very comfortable.

ecritt
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Post by ecritt » Mon Feb 05, 2007 2:42 pm

Mergers and spinoffs can get very confusing. Looks like Jefferies Group absorbed Quantex and later spun it off as ITGI, only to reacquire ITGI some years later in a convoluted merger involving multiple entities that resulted in ITG and JEF both listed on the NYSE.

ITG and Jefferies.

ITG began in 1986 with a simple, far-reaching idea, developed by some innovators at Jefferies, that technology could empower institutional investors. Originally developed as a means of facilitating block trading, "its value turned out to be much bigger than we had anticipated," commented Frank Baxter, Jefferies CEO at the time. In 1990, Jefferies bought Quantex and by 1994, this computer-based trading market was the largest intra-day matching system in the world. By the late 90s, the group was such a success, that it made sense to make ITG its own separate company.

In April of 1999, Jefferies Group, Inc. (NYSE: JEF) and Investment Technology Group, Inc. (NYSE: ITG) completed the planned spin-off of Jefferies & Company, Inc. and other subsidiaries, and the merger of ITG with the former Jefferies Group, now Investment Technology Group, Inc.

Through its wholly owned broker-dealer subsidiary, ITG Inc., ITG is the leading provider of technology-based equity trading services and transaction research to institutional investors and brokers. ITG services help clients to access liquidity, execute trades more efficiently, and make better trading decisions.

LOS ANGELES--(BUSINESS WIRE)--April 13, 1999--

Jefferies Group, Inc. (NYSE: JEF) today announced financial results for the first quarter ended March 26, 1999.

Total revenues for the first quarter of 1999 amounted to $200.1 million, compared to $203.4 million for the first quarter of 1998. Earnings before spin-off expenses, income taxes and minority interest amounted to $39.9 million, compared to $32.6 million for the first quarter of 1998, or an increase of 22%. Net earnings before spin-off expenses were $19.9 million versus $17.9 million for 1998, an increase of 11%. Earnings per share (diluted) before spin-off expenses were $0.83 on 23.5 million shares versus $0.77 on 22.9 million shares in the same period in 1998.

One-time expenses in connection with the planned spin-off (see below) reduced net earnings and diluted earnings per share by $3.3 million and $0.14 for the first quarter of 1999, and by $0.5 million and $0.02 for the first quarter of 1998.
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"Revenues from our brokerage businesses, assisted by exceptional gains from ITG, enabled us to achieve substantial increases in our operating earnings for the first quarter," said Frank E. Baxter, Chairman and CEO. "We accomplished this in the midst of a difficult underwriting environment. We continue to provide liquidity for our institutional clients and adapt to the opportunities in all the markets we serve", he added.

Planned Spin-Off and Related Impact on Quarterly Results

Jefferies Group previously announced plans to spin-off to its stockholders Jefferies & Company, Inc. and other subsidiaries of Jefferies Group (referred to in this press release as "New JEF"), and to thereafter effect a merger of Investment Technology Group, Inc. (NASDAQ: ITGI) with and into Jefferies Group. The merger will result in stockholders of Jefferies Group becoming direct stockholders of ITGI and Jefferies Group ceasing to be ITGI's parent company. Jefferies Group and ITGI have entered into definitive agreements for the merger and related transactions and have distributed proxy statements for special stockholders' meetings to approve the merger on April 20, 1999. The merger is expected to occur five business days following approval of the merger at the stockholders' meetings.

Expenses incurred in connection with the spin-off had a significant impact on operating results for the first quarter. Most of these expenses are anticipated to be non-deductible for income tax purposes. Assuming consummation of the spin-off, merger and related transactions, New JEF's results will include spin-off expenses as a component of discontinued operations (see Attachment A). The attached Consolidated Statements of Earnings for Jefferies Group footnotes the impact of spin-off expenses incurred during each quarter.

Attachment B to this Press Release contains a Pro Forma Consolidated Condensed Statement of Financial Condition for New JEF as of March 26, 1999.

Jefferies Group is an institutional brokerage firm and an investment bank that focuses on capital raising, research, mergers and acquisitions, advisory and restructuring services for small to medium-sized companies, and trading in equity and taxable fixed-income securities, convertible bonds, options, futures and international securities for institutional clients.

Through its wholly-owned, broker/dealer subsidiary, ITG Inc., ITGI is the leading provider of technology-based equity trading services and transaction research to institutional investors and brokers. ITG's services help clients to access liquidity, execute trades more efficiently, and make better trading decisions.

Further information regarding the planned spin-off, including historical financial data on both companies, can be found at Jefferies Group's website, www.jefco.com and ITGI's website, www.itginc.com.

This press release contains statements concerning the timing, structure and ramifications of the proposed spin-off and related transactions that are intended to be "forward-looking statements", as that phrase is defined by the Private Securities Litigation Reform Act of 1995. Forward-looking statements, which can be identified by the use of terms such as "plan", "anticipate", "will", "would", "expect", "estimate" or variations of such terms, may not occur as presently anticipated in the event necessary approvals are not obtained or are not obtained on acceptable terms or in the event of adverse developments in the market for Jefferies Group or ITGI securities or in securities markets in general. As a result, no forward-looking statement should be regarded as a representation by Jefferies Group, ITGI or any other person that the presently anticipated events will occur as described herein. -0-

Also see: http://sec.edgar-online.com/1998/03/18/ ... ction6.asp

AFJ Garner
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Post by AFJ Garner » Fri Feb 09, 2007 11:50 am

Eric, many thanks for the reply, good of you to have taken a look at this one. I think at the end of the day most if not all things in life are a compromise and as you hinted before, for the cost, CSI ain't a bad deal despite its, in some ways, serious limitations.

There again, as I was recently discussing with a friend and colleague, the universe of stock data for the US (as provided by CSI) is big enough perhaps to obviate the need for absolute accuracy (which in any event probably does not exist in an imperfect world).

regards
Anthony

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Post by ecritt » Fri Feb 09, 2007 10:44 pm

I've researched dozens of randomly selected delisted stocks from the CSI database; some the result of mergers, some banruptcies. Post 1990 I've found little reason for complaint. Before 1990 there are clearly some omissions.

Realtime performance of the database has given me no problems.

If you are finding IPO's with incorrect start dates you might look into the coverage of your subscription. I was under the impression that if you didn't pay professional fees you would be limited to some truncated time frame (like 10 years or so).

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Post by tobbe » Sun Feb 11, 2007 4:33 am

ecritt wrote:I was under the impression that if you didn't pay professional fees you would be limited to some truncated time frame (like 10 years or so).
For an annual subscription, there's 10 years of historical data, delisted stocks are not included. They are an additional $999. Then each extra year of historical data is another $25/year. This is for us "non-professional" users.

I think you're referring to the "commercial account services" where pricing is negotiable. Or put another way, more expensive. If memory serves, this is the only way to get access to some other info like stock splits on file and also have unlimited access to the stock data.

The non-professional subscription only allows access to 7500 stocks daily which is annoying if you recalculate the potential portfolio(s) everyday. Dates for splits and dividends can be calculated using adjusted and non-adjusted data, but I would rather have had them in a separate time series.
AFJ Garner wrote: There again, as I was recently discussing with a friend and colleague, the universe of stock data for the US (as provided by CSI) is big enough perhaps to obviate the need for absolute accuracy (which in any event probably does not exist in an imperfect world).
That's how I reason. If the errors are few and random they should, given enough data, have no great impact.

cheers,
tobbe

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Post by ratio » Sun Feb 11, 2007 7:16 am

A few year ago when I was more in stock, I had used http://www.datasharks.biz, they basically download EOD data from Yahoo finance, and since Yahoo finance ge their EOD from CSI....

they also download EOD from BriteFuture and FutureSource

If you look on Yahoo finance at the bottom of a quote page.

"Historical chart data and daily updates provided by Commodity Systems, Inc. (CSI). "

This could be a way to get more than 7500 stock for really cheap.

Here an exerpt from the datashark.biz web site:

Download

99,893 Non-US Equity Symbols, from the Yahoo Server.
40,458 US Equity Symbols, from the Yahoo Server.
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12,231 Indices, from the Yahoo Server.
6,154 Debt Instruments, from the Yahoo Server.
All U.S. Futures Contracts (including NY exchanges) - Current & historical data for active contracts - from the folks at BriteFutures, and FutureSource.
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Maintain multiple download list. For example you can have a download list for stocks, and another one for futures.
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Denis

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