Designing a Securities Master for Reliable Trading Data
Summary
A securities master organizes instrument reference data, historical prices, corporate actions, and related information so that research, risk, and trading systems can use consistent inputs. The article focuses on a practical equities database for a retail trader or small fund, while noting that larger institutions may need more complex infrastructure. It compares flat files, document databases, and relational databases: flat files are simple to exchange and archive, NoSQL stores can suit flexible fundamental data, and relational systems offer structured queries and links among entities.
The proposed data model separates instruments, vendors, exchanges, prices, corporate actions, and holidays. The discussion emphasizes automatic data updates, sufficient historical coverage for studying different market regimes, and checks for errors such as split mishandling, anomalous prices, and survivorship bias. Data should be queried or replicated selectively to limit transfer costs, with synchronization issues considered. The examples and recommendations are introductory rather than a complete implementation guide; the article narrows its detailed treatment to end-of-day equities, ETFs, and indices and acknowledges that canonical identifiers and data quality require careful handling.
Key ideas
- A securities master provides consistent financial data to research, risk, and trading systems.
- Flat files, document stores, and relational databases offer different tradeoffs in querying, structure, and performance.
- A practical equities schema can separate instruments, data sources, prices, corporate actions, and holidays.
- Historical coverage should reflect the strategy’s needs and account for market regime changes.
- Data validation should check corporate action adjustments, price spikes, aggregation errors, and survivorship bias.
- Selective querying and replication can limit data transfer, though synchronization can create operational problems.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.