EXCHANGE allows the user to filter the trading history of issues on the basis of stock exchange. This option is available when using variations of LIST or PORT as the ENTITY type. Exchange code restriction options are specified in the first #, using the codes below:
1 NYSE
2 NYSE American
3 NYSE/NYSE American
4 NASDAQ
5 NYSE/NASDAQ
6 NYSE American/NASDAQ
7 NYSE/NYSE American/NASDAQ
The second # symbol further refines the selection using 3 flags. These are:
0 keep only during time period when valid
1 keep none if ever invalid
2 keep all if ever valid
For example,
PORT|ALL|WEIGHT equal_weight|EXCHANGE 1,0
Will result in output for an equal-weighted portfolio with all stocks that traded on the NYSE during the time period specified in the DATE option.
B. SHARETYPE #,#[,#]
SHARETYPE allows the user to restrict the output on the basis of share type for individual securities. This option is available when using variations of LIST and PORT as the ENTITY type. The selection is based on the two-digit CRSP Share Type Code variable. The first two comma-separated number symbols above contain 10 digits each. If the value of a digit is 1, that type of issue is valid and if the value of a digit is 0, that type of issue is ineligible.
Columns for the first two codes can be added to the ts_print format to get the desired share code combination. For example, the share type restriction where only ordinary common shares and ADRs representing closed-end funds and closed-end funds incorporated outside the US are included is represented in ts_print format is 0101000000,0000110000.
The first # contains 10 digits relating to the security. These options are:
Code
Definition
ts_print format
1
Ordinary common shares
0100000000
2
Certificates
0010000000
3
ADRs (American Depository Receipts)
0001000000
4
SBIs (Shares of Beneficial Interest)
0000100000
7
Units (Depository Units, Units of Beneficial Interest, Depository Receipts, etc.)
0000000100
The second # contains 10 digits relating to the security type. These options are:
Code
Definition
ts_print format
0
Securities which have not been further defined
1000000000
1
Securities which need not be further defined
0100000000
2
Companies incorporated outside the US
0010000000
3
Americus Trust Components (Primes and Scores), HOLDR Trusts, and Index Fund Trusts
0001000000
4
Closed-end funds
0000100000
5
Closed-end fund companies incorporated outside the US
0000010000
8
REITs (Real Estate Investment Trusts)
0000000010
The third # symbol further refines the selection criteria using 3 flags. These are:
0 keep only during time period when valid
1 keep none if ever invalid
2 keep all if ever valid
For example,
LIST|ALL|SHARETYPE 0001000000,0010000000,0
will restrict the output to securities that have share codes identifying them as American Depository Receipts (ADRs) and companies incorporated outside the US.
c. NMSIND #[,#]
NASDAQ National Market Indicator. NASDAQ issue range restriction is applicable to variations of LIST and PORT as the ENTITY type. Each # represents a single integer. When the NMSIND option is used, only NASDAQ issue ranges are restricted. It has no effect on ranges that match NYSE and NYSE American name structures. The first # symbol ranges from 1 to 7. Each number has the following meaning:
1 keep NASDAQ National Market and Global Markets
2 keep NASDAQ SmallCap and Capital Market
3 keep all NASDAQ markets with price reporting
4 keep NASDAQ SmallCap before June 15, 1992
5 keep National Market and Global Select Market only
6 keep National Market and Global Market only
7 keep Global Select Market only
The second # symbol further refines the selection using 3 flags. These are:
0 keep only during time period when valid
1 keep none if ever invalid
2 keep all if ever valid
For example, LIST|ALL|NMSIND 2,0 will restrict the output to NASDAQ SmallCap and Capital Market securities.
D. SICCD#-#[,#-#...],#
SIC issue range restriction is applicable to LIST and PORT as the ENTITY type. Each # represents a single SIC Code. You can filter the data to output a range of SIC values or individual SIC values with the following syntax: SIC #[-#][,#[-#].
For example, LIST|ALL|SIC 1000-2000,3725 would extract all securities with SIC Codes between 1000 and 2000, and all with and SIC code of 3725.
Subscription Information
A. EXCHANGE #[,#]
EXCHANGE allows the user to filter the trading history of issues on the basis of stock exchange. This option is available when using variations of LIST or PORT as the ENTITY type. Exchange code restriction options are specified in the first #, using the codes below:
1 NYSE
2 NYSE American
3 NYSE/NYSE American
4 NASDAQ
5 NYSE/NASDAQ
6 NYSE American/NASDAQ
7 NYSE/NYSE American/NASDAQ
The second # symbol further refines the selection using 3 flags. These are:
0 keep only during time period when valid
1 keep none if ever invalid
2 keep all if ever valid
For example,
Will result in output for an equal-weighted portfolio with all stocks that traded on the NYSE during the time period specified in the DATE option.
B. SHARETYPE #,#[,#]
SHARETYPE allows the user to restrict the output on the basis of share type for individual securities. This option is available when using variations of LIST and PORT as the ENTITY type. The selection is based on the two-digit CRSP Share Type Code variable. The first two comma-separated number symbols above contain 10 digits each. If the value of a digit is 1, that type of issue is valid and if the value of a digit is 0, that type of issue is ineligible.
Columns for the first two codes can be added to the ts_print format to get the desired share code combination. For example, the share type restriction where only ordinary common shares and ADRs representing closed-end funds and closed-end funds incorporated outside the US are included is represented in ts_print format is 0101000000,0000110000.
The first # contains 10 digits relating to the security. These options are:
The second # contains 10 digits relating to the security type. These options are:
The third # symbol further refines the selection criteria using 3 flags. These are:
0 keep only during time period when valid
1 keep none if ever invalid
2 keep all if ever valid
For example,
will restrict the output to securities that have share codes identifying them as American Depository Receipts (ADRs) and companies incorporated outside the US.
c. NMSIND #[,#]
NASDAQ National Market Indicator. NASDAQ issue range restriction is applicable to variations of LIST and PORT as the ENTITY type. Each # represents a single integer. When the NMSIND option is used, only NASDAQ issue ranges are restricted. It has no effect on ranges that match NYSE and NYSE American name structures. The first # symbol ranges from 1 to 7. Each number has the following meaning:
1 keep NASDAQ National Market and Global Markets
2 keep NASDAQ SmallCap and Capital Market
3 keep all NASDAQ markets with price reporting
4 keep NASDAQ SmallCap before June 15, 1992
5 keep National Market and Global Select Market only
6 keep National Market and Global Market only
7 keep Global Select Market only
The second # symbol further refines the selection using 3 flags. These are:
0 keep only during time period when valid
1 keep none if ever invalid
2 keep all if ever valid
For example, LIST|ALL|NMSIND 2,0 will restrict the output to NASDAQ SmallCap and Capital Market securities.
D. SICCD#-#[,#-#...],#
SIC issue range restriction is applicable to LIST and PORT as the ENTITY type. Each # represents a single SIC Code. You can filter the data to output a range of SIC values or individual SIC values with the following syntax: SIC #[-#][,#[-#].
For example, LIST|ALL|SIC 1000-2000,3725 would extract all securities with SIC Codes between 1000 and 2000, and all with and SIC code of 3725.