managing securities that get de-listed?

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managing securities that get de-listed?

posted

Is there a data source that lists when it was announced a given security would be de-listed? And when it was actually de-listed (these dates can sorta be derived from the Quantopian dataset)? Also, is there a standard wait time between announcement of de-listing and the de-listing itself? Or could a security just be de-listed any time (e.g. overnight, before the market opens)?

The reason I'm asking is that it would be valid to drop securities from a portfolio during a backtest only after the de-listing announcement, but not before, since this would introduce bias. And one might want to drop securities as soon as the de-listing is announced.

3 responses

I was just wondering this as well (especially when trading baskets that mimic an index). Perhaps checking the current exchange day versus an individual sids security_end_date?

in pseudo code:

if stock.security_end_date not today { remove_from_universe() }

Is that doable?

Some relevant posts, from a couple google searches:

https://www.quantopian.com/posts/exit-securities-which-no-longer-trade
https://www.quantopian.com/posts/delisted-slash-acquired-stocks
https://www.quantopian.com/posts/how-do-i-manually-remove-a-symbol-from-my-custom-universe
https://www.quantopian.com/posts/when-a-company-gets-acquired-my-portfolio-still-owns-shares-of-the-original-company-is-that-right

Simon Thornington

+1 for this to get solved somehow.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.