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New Data: Aggregated Insider Transactions
Gus Gordon
posted Nov 4, 2019
API Contest Using Data Q Updates Pipeline

The datasets described herein are proprietary to FactSet Research Systems, Inc. ("Factset") and may not be copied or distributed. The datasets made available to Quantopian by FactSet are not exhaustive of FactSet's data, products, software, and/or services.

Hey everyone,

We have a new dataset, Aggregated Insider Transactions, that is now available to use on the platform with US equities.

Insider transactions are trades by corporate insiders, like executives or board members. You can use insider transactions data to measure the behavior of these insiders and check if they are buying or selling their company's stock (or derivates of their company's stock).

Insider transactions are reported to the SEC using Forms 3, 4, and 5. FactSet collects individual insider transaction filings from the SEC, and Quantopian aggregates this data into daily metrics about the counts of unique insiders taking action.

For an example and more details, see the attached notebook. For further information, see the Aggregated Insider Transactions documentation.

As always, please try this data out, and let us know if you have any questions!

Disclaimer

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.

5 responses
Peter Harrington
Nov 26, 2019

Thanks for this post.
I was wondering if it was possible to view the following items:
-number of transactions in an aggregation period
-number of securities transacted or dollar value of transacted securities.

I read the documentation but it appeared that only unique buyers and sellers was available.

Thanks for the help,

Shiv Chawla
Jan 6, 2020

What should be the "asof_date" for slice with days_aggregated = 1 when there are no unique buyers or sellers?
Here I have attached a note book where "asof_date" is non-null and unique buyers and sellers are zero. What does it mean?

Can someone please help?

Gus Gordon
Jan 7, 2020

Hey Peter,
Sorry for the late reply, I totally missed this. Unfortunately we aren't providing that information right now, but are looking into ways in which we can expose it data in a way that gives a large amount of flexibility to our users.

Hey Shiv,
We still expect the asof_date to be non-null, because that's just the latest date we saw some new data. Since data is very sparse with a 1-day aggregation window (that's why it's probably usually a good idea to use a larger aggregation window like 7 or 90), you will see that the asof_date rarely updates from one day to the next, even for stocks like AAPL. The asof_date reflects the trade date on days where we have nonzero transactions in the 1-day aggregation. Let me know if that doesn't make sense.

Matt Levins
Jan 8, 2020

Is there a proper way to distinguish between seasonality and cyclical nature of the transactions? Could it be coincidence that the acquisition occurred during a usual low count given the time of year? I am trying to understand a method or approach to the tearsheet challenge that has reasoning.

Joakim Arvidsson (Cream Mongoose)
Jan 14, 2020

@Matt,

Insiders typically have a ‘trading freeze’ window (when they are not allowed to buy or sell shares) leading up to the next public release of financial statements. Perhaps it’s this phenomenon you’re seeing?

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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.