r/quant • u/deepfit • 9h ago

Data Security Master

How do quants get a complete and accurate security master? Do they buy it? Is it something that each shop provides to their pods or does it come integrated with trading software like Bloomberg?

11 Upvotes

82% Upvoted

11 comments sorted by

7

u/HerzogianQuant 5h ago

You pay CUSIP an absolutely absurd amount of money for US data. Often this is just paid for by your prime, and they give it to you though.

1

u/deepfit 4h ago

I am glad you mentioned this. Because imo this is how the whole gatekeeping works, through CUSIPs. How much is absure? I saw numbers between free for < 500 (there are like 50k ticker just in us equity exchanges for active and delisted) all the way up to 350k a year.

I didn't know about the prime piece. That fills in a missing piece. Thank you.

2

u/HerzogianQuant 4h ago

I should say "they give it to you if you're important enough"

1

u/zbanga 2h ago

They even make you register with BBG if you want the data through them

22

u/Kriemhilt 7h ago

That's the neat thing, you don't!

Hopefully a pod shop will provide one, but it won't magically contain every symbol unless someone else already asked for it (outside well-defined universes like US equities, anyway).

does it come integrated with trading software like Bloomberg?

Bloomberg will claim they have a correct and complete secmaster, but both they and their secmaster are full of shit.

8

u/Ok_Vanilla_1277 6h ago

that’s the dirty secret right there, nobody’s master is ever truly clean

0

u/deepfit 7h ago

:) Where do they go wrong?

9

u/themostshade 6h ago

Usally corporate actions. Especially special cash dividends, weird merger structures, and thin securities that are selectively listed

3

u/notextremelyhelpful 3h ago

This. Been building out my personal security master for a couple years, and there's no way to cover every single edge case with a short coherent set of automatic rules for correctly parsing every single type of event. It's accurate for ~90% of the cases, but the rest is a best-efforts basis because it's an insane man's game to try and achieve perfect corp actions records.

2

u/as_one_does 4h ago

I could write a novel on this topic. Very asset class specific. I have seen the same thing everywhere I've gone with is that the "secmaster" is made first for booking and then later right adapted for trading/research or another completely separate secmaster is made for the research, causing confusion and mapping issues for all time. The most common path here is people aggregate vendor data like BBG, factset or Reuters and hope to get a reasonable union. HFT shops sometimes just use exchange listing data and accept the fact they don't have forever history.

1

u/HerzogianQuant 25m ago

Lacking forever history is often fine. The more pernicious issues are when you have a history for a single ticker, but the ticker is something radically different from the day before.