FactSet Equity Metadata

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.

Copyright © 2019 FactSet Research Systems Inc. All rights reserved.

Overview

FactSet Equity Metadata is a dataset that includes information about equities such as the security type, listing currency, exchange, and more. The dataset combines fields from FactSet Symbology and FactSet Fundamentals that are commonly used to build a tradable universe.

FactSet Equity Metadata is available via the Pipeline API, which means it can be accessed in Research and the IDE.

Note

Global data is available in Pipeline in Research. The IDE only has access to US equity data at this time.

Properties

  • Coverage: All supported countries on Quantopian
  • Data Frequency: Irregular/static; most equity metadata is expected to be static or only change infrequently due to some sort of corporate action/event
  • Update Frequency: Daily (updated overnight after each trading day)
  • Timespan: North American equities are covered from 2004 to present; other region start dates can be found here
  • Point-In-Time Start: June 2018
  • Holdout: 1 year

Methodology

Point-In-Time

Starting in June 2018, FactSet Equity Metadata is collected and surfaced in a point-in-time fashion on Quantopian. This corresponds to when Quantopian started downloading and storing Equity Metadata on a nightly basis. It is possible that changes to equity metadata fields that occured prior to June 2018 are not represented in the dataset. Historical data from before Quantopian started collecting Equity Metadata live is dated according to when an asset was listed. Historical effective dates are note available from FactSet, so Equity Metadata records are dated according to when the equity started trading on a Quantopian-supported exchange.

Usage

FactSet Equity Metadata is accessible via the EquityMetadata pipeline DataSet. The sections below provide more information on the EquityMetadata dataset including a code example.

Import

from quantopian.pipeline.data.factset import EquityMetadata

Example

This code snippet constructs and runs a pipeline of Canadian equities that gets screened down to a tradable universe. The tradable universe is defined as the top 1000 equities (ranked by market cap) of security type SHARE that are also the primary share of the company. Make sure to run it in Research.

from quantopian.pipeline import Pipeline
from quantopian.pipeline.data.factset import EquityMetadata, Fundamentals
from quantopian.pipeline.factors import Returns
from quantopian.pipeline.domain import CA_EQUITIES
from quantopian.research import run_pipeline

# Create a factor of latest market cap.
mcap = Fundamentals.mkt_val.latest

# Create a pipeline filter for 'tradable' stocks.
is_tradable = (
    EquityMetadata.security_type.latest.eq('SHARE')
    & EquityMetadata.is_primary.latest
)

# Create a base universe filter that selects the top 50% of our 'tradable'
# equities based on market cap.
base_universe = mcap.percentile_between(50, 100, mask=is_tradable)

# Create a trailing 1-week returns factor and a latest quarterly sales factor.
returns_1w = Returns(window_length=6)
latest_sales = Fundamentals.sales_qf.latest

# Build a pipeline with our returns and quarterly sales factors. The pipeline is defined
# over the Canadian equities domain and gets screened down to our base universe.
pipe = Pipeline(
    columns={
        'quarterly_sales': latest_sales,
        'returns': returns_1w,
    },
    domain=CA_EQUITIES,
    screen=base_universe,
)

# Execute our pipeline and print the first few rows of the output dataframe.
df = run_pipeline(pipe, '2015-05-05', '2016-05-05')
df.head()

Pipeline Datasets & Columns

Dataset

EquityMetadata - The EquityMetadata dataset is a pipeline DataSet that provides access to equity information most commonly used for constructing a tradable universe.

Fields

The EquityMetadata dataset has 5 fields (accessible as BoundColumn attributes):

  • is_primary (dtype bool) - Boolean flag denoting whether this is the primary share of the security (True = primary share, False = non-primary share).
  • listing_currency (dtype str) - Code denoting the currency in which the security or listing trades. Table 1 below enumerates the set of possible currencies as well as the currency code (the code is what is returned by pipeline)
  • listing_exchange (dtype str) - Code denoting the exchange on which a listing trades. Table 2 below enumerates the set of supported exchanges in each country as well as the exchange code (the code is what is returned by pipeline).
  • primary_fsym_security_id (dtype str) - The primary fsym security ID of the equity.
  • security_type (dtype str) - A string code representing the security type of the equity. Table 3 below enumerates the set of possible security types.
Table 1: Currency Codes
Code Currency
ARS Argentine Peso
AUD Australian Dollar
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
CLP Chilean Peso
CNY Chinese Yuan Renminbi
COP Colombian Peso
CZK Czech Koruna
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
HUF Hungarian Forint
IDR Indonesian Rupiah
INR Indian Rupee
JPY Japanese Yen
KRW Korean Won
MXN Mexican Peso
MYR Malaysian Ringgit
NOK Norwegian Krone
NZD New Zealand Dollar
PEN Peruvian Sol
PHP Philippine Peso
PKR Pakistani Rupee
PLN Polish Zloty
RUB Russian Ruble
SEK Swedish Krona
SGD Singapore Dollar
THB Thai Baht
TRY Turkish Lira
TWD Taiwanese Dollar
USD U.S. Dollar
ZAR South African Rand
Table 2: Exchange Codes
Country Country Code Exchange Name Exchange Code
Argentina AR Buenos Aires Stock Exchange BUE
Austria AT Vienna Stock Exchange WBO
Australia AU Australian Securities Exchange ASX
Australia AU National Stock Exchange of Australia NEC
Belgium BE Euronext Brussels BRU
Brazil BR Sao Paulo Stock Exchange BSP
Canada CA Toronto Stock Exchange TSE
Canada CA TSX Venture Exchange TSX
Canada CA Canadian Securities Exchange CNQ
Chile CL Santiago Stock Exchange SGO
China CN Shenzhen Stock Exchange SHE
China CN Shanghai Stock Exchange SHG
Colombia CO Colombia Stock Exchange BOG
Czech Republic CZ Prague Stock Exchange PRA
Denmark DK NASDAQ OMX Copenhagen CSE
Finland FI NASDAQ OMX Helsinki HEL
France FR Euronext Paris PAR
Germany DE Berlin Stock Exchange BER
Germany DE Dusseldorf Stock Exchange DUS
Germany DE XETRA ETR
Germany DE Frankfurt Stock Exchange FRA
Germany DE Hamburg Stock Exchange HAM
Germany DE Hannover Stock Exchange HAN
Germany DE Munich Stock Exchange MUN
Germany DE Stuttgart Stock Exchange STU
Germany DE Xetra Indices XEX
Great Britain GB London Stock Exchange LON
Great Britain GB ICAP Securities & Derivatives Exchange ICAP
Great Britain GB Cboe Europe Equities CXE CHIX
Greece GR Athens Exchange ATH
Hong Kong HK Hong Kong Stock Exchange HKG
Hungary HU Budapest Stock Exchange BUD
India IN Bombay Stock Exchange BOM
India IN National Stock Exchange of India NSE
Indonesia ID Indonesia Exchange JKT
Ireland IE Irish Stock Exchange DUB
Ireland IE Irish Stock Exchange Bonds & Funds ISEF
Italy IT Milan Stock Exchange MIL
Japan JP Tokyo Stock Exchange TKS
Japan JP JASDAQ JAS
Japan JP Osaka Exchange OSE
Japan JP Nagoya Stock Exchange NGO
Japan JP Fukuoka Stock Exchange FKA
Japan JP Sapporo Securities Exchange SAP
Malaysia MY Malaysia Stock Exchange KLS
Mexico MX Mexcian Stock Exchange MEX
Netherlands NL Euronext Amsterdam AMS
New Zealand NZ New Zealand Stock Exchange NZE
Norway NO Oslo Exchange OSL
Pakistan PK Pakistan Stock Exchange KAR
Peru PE Lima Stock Exchange LIM
Philippines PH Philippine Stock Exchange PHS
Poland PL Warsaw Stock Exchange WAR
Portugal PT Euronext Lisbon LIS
Russia RU Moscow Exchange MIC
Singapore SG Singapore Exchange SES
South Africa ZA Johannesburg Securities Exchange JSE
South Korea KR Korea Exchange KRX
South Korea KR Korea KONEX KON
Spain ES Madrid Stock Exchange MAD
Spain ES Spanish Markets MCE
Sweden SE NASDAQ OMX Stockholm OME
Sweden SE Nordic Growth Market NGM
Switzerland CH SIX Swiss Exchange SWX
Switzerland CH BX Swiss AG BRN
Switzerland CH Swiss Fund Data SFD
Taiwan TW Taiwan Stock Exchange TAI
Thailand TH Stock Exchange of Thailand BKK
Turkey TR Istanbul Stock Exchange IST
United States US NYSE NYS
United States US NASDAQ NAS
United States US NYSE American - AMEX ASE
United States US US OTC OTC
United States US NYSE Arca PSE
United States US CBOE BZX US Equities Exchange BATS
United States US NYSE Chicago CHI
United States US IEX Markets IEXG
Table 3: Security Types
Code Short Description Long Description
ADR American Depositary Receipt An ADR is issued by a U.S. depositary bank and represents shares of a foreign corporation held by the bank. ADRs provide foreign companies with an access to U.S. capital markets. The instruments typically trade in U.S. dollars.
ALIEN Alien/Foreign Shares that foreign investors can purchase from countries where they issue shares, such as Thailand. Foreigners can register these shares under their own name using the Foreign Board and receive all benefits offered by the company, such as rights offerings and dividends. Such securities have no floor or ceiling limits, so share prices respond to the demand and supply.
DR Depositary Receipts/Certificates This security type represents all other depository receipts not mentioned above. Depositary Receipts (DR) are negotiable certificates that enable domestic investors to own shares in foreign companies. Each DR represents a given number of a company's shares.
ETF_ETF Exchange Traded Fund (ETF-ETF) A security that is created to track the performance of an index or a basket of assets. ETFs are traded on organized exchanges.
GDR Global Depositary Receipt Certificate that represents ownership of a given number of a company's shares and can be listed and traded independently from the underlying shares. Provide issuers with an access to foreign capital markets.
MF_C Closed-ended Fund These funds have a fixed number of shares, which are listed on the stock exchange. The market price of the shares is determined by demand and supply factors. These are readily transferable in the open market and are bought and sold like other stock. These funds do not accept new contributions from investors, but only reinvest the return on the existing portfolio.
MF_O Open-ended Fund These funds have no limit to the number of units (or shares) they can issue. The price of the units (or shares) remains closely aligned to the NAV of the fund. Open-end funds sell their own new shares to investors, stand ready to buy back their old shares, and are not listed on exchanges. Open-end funds are so called because their capitalization is not fixed.
NVDR Non-Voting Depositary Receipt A Non-Voting Depository Receipt (NVDR) is a trading instrument issued by the Thai NVDR Company Limited, a subsidiary wholly owned by the Stock Exchange of Thailand (SET). Investment in NVDR eliminates foreign investment barriers. The only difference between investing in NVDRs and the company's shares is the voting right. NVDRs are automatically regarded as listed securities in the SET.
PREF Preferred A type of stock that pays a fixed dividend regardless of corporate earnings, and which has priority over common stock in the payment of dividends. The main characteristics of preferred stocks is the fixed income stream and priority of payment at liquidation.
PREFEQ Preferred Equity A security that has equity characteristics (i.e., ownership at liquidation, share in the profits in the company) rather than fixed redemption and trades as a common equity (i.e., is very liquid and its prices are quoted in a currency rather than percentage of par, which is a common characteristic of preferred stock). These securities are most commonly issued in Brazil, Canada, and many European markets (i.e., Russia, Germany, and Italy). Preferred equity has some priority rights over common stock. This category also includes Italian savings shares.
RIGHT Right A right gives the holder an option to purchase additional shares of an underlying instrument at a pre-determined price on a specified date (typically at a discount from the market price). In most cases, right instruments must be exercised within a relatively short period.
SHARE Share/Common/Ordinary Securities that represent an ownership interest in a corporation. If the company has also issued preferred stock, both common and preferred stockholders have ownership rights. Common stockholders assume the greater risk, but generally exercise greater control and may gain a larger award in the form of dividends and capital appreciation.
STRUCT Structured Products Investment products that are based on an underlying security such as a single equity, a basket of stocks, an index, a commodity, a debt issuance, or a foreign currency. Structured products allow investors to buy a single unit/share of a fund that represents an interest in the investment portfolio.
TEMP Temporary Securities that trade for a limited period of time (typically less than a year) and trade alongside the mainline security. Also included are securities that trade alongside the mainline and then assimilate to the mainline security after trading for few days/months. An example of temporary instruments are parallel lines and assented lines.
UNIT Unit An equity that consists of more than one equity instrument (i.e., security consisting of class A and B; 1 share and 1 warrant).
WARRANT Warrant An instrument giving the holder a right to subscribe to an underlying instrument at a given price and date.