Param_list describes a set of parameters that are applied to derive applicable items in the list element. Parameters must be specified in the expected order for the item. If a parameter is not specified the derivation will use the default value for that parameter. If earlier parameter are not specified a period is used as a placeholder in a list. If a parameter list is applied to a group it will be applied to all items in the group that require parameters. Groups never contain items with conflicting parameters. Examples are:
tlvl (20071231,100.0) - first parameter basedate is 20071231 and second parameter baseamt is 100.0.
tlvl (.,1.0) - first parameter basedate will use the default (date of earliest price) and the second parameter baseamt will be 1.
tlvl – since no parameters are given basedate and baseamt will use default values, the date of earliest price for basedate and 100 for baseamt.
adjprc (20071231,1) - first parameter adjdate is 20071231 and second parameter adjtype is 1. The third parameter gaprule is not specified so the default value will be used.
PARAMETER NAME
DATA TYPE
PARAMETER TYPE
PARAMETER VALUES
FORMAT
DEFAULT
RANGE OF VALUES
basedate
integer
ex_caldt
Date set to base amount. If before first date of prices will be set to that date. If after last date of prices will be set to that date.
%8d
0
0 – 99999999
baseamt
Double precision
posnum
Amount to be reported on base date. If 0 then it will use the actual price on the base date.
%1d
100.0
0 – 10000
adjdate
integer
ex_caldt
Anchor date where all data reported as is. If before first date of prices will be set to that date. If after last date of prices will be set to that day.
%8d
99999999
0 – 99999999
gaprule
integer
flag01
Rule used to handle holes in the data.
0 = continue date on the other side of a gap at user risk due to incomplete adjustment data during gap.
1 = all values on the other side of a gap will be set to missing
%1d
1
0 – 1
rightsrule
integer
Flag01
Rule used to apply share factors from rights distributions
0 = use shares outstanding as in CRSP shares history.
1 = recreate shares history by ignoring shares factors associated with rights distributions.
%1d
0
0 – 1
adjtype
integer
flag04
Types of distribution events used to make price adjustments
0 = apply only stock splits and dividends
1 = apply all factors
%1d
1
0 – 1
adjtypes
integer
flag01
Types of distribution events used to make shares and volumes adjustments
0 = apply only stock splits and dividends
1 = apply all factors
%1d
0
0 - 1
validexch
integer
wholenum
Binary flag for exchanges of interest, 1 = NYSE, 2= NYSE American, 4 = Nasdaq, 8 = ARCA, plus sums to get multiple exchanges.
%2d
15
0 – 15
gapwindow
integer
wholenum
Maximum number of periods allowed between current date and previous price for that price to be valid in a return calculation.
Subscription Information
Param_list describes a set of parameters that are applied to derive applicable items in the list element. Parameters must be specified in the expected order for the item. If a parameter is not specified the derivation will use the default value for that parameter. If earlier parameter are not specified a period is used as a placeholder in a list. If a parameter list is applied to a group it will be applied to all items in the group that require parameters. Groups never contain items with conflicting parameters. Examples are:
tlvl (20071231,100.0) - first parameter basedate is 20071231 and second parameter baseamt is 100.0.
tlvl (.,1.0) - first parameter basedate will use the default (date of earliest price) and the second parameter baseamt will be 1.
tlvl – since no parameters are given basedate and baseamt will use default values, the date of earliest price for basedate and 100 for baseamt.
adjprc (20071231,1) - first parameter adjdate is 20071231 and second parameter adjtype is 1. The third parameter gaprule is not specified so the default value will be used.
Rule used to handle holes in the data.
0 = continue date on the other side of a gap at user risk due to incomplete adjustment data during gap.
1 = all values on the other side of a gap will be set to missing
Rule used to apply share factors from rights distributions
0 = use shares outstanding as in CRSP shares history.
1 = recreate shares history by ignoring shares factors associated with rights distributions.
Types of distribution events used to make price adjustments
0 = apply only stock splits and dividends
1 = apply all factors
Types of distribution events used to make shares and volumes adjustments
0 = apply only stock splits and dividends
1 = apply all factors