Missing Historical Stock Data in BigQuant 3.0 Factor Extraction

Summary

This forum post describes a historical data extraction discrepancy between BigQuant versions 1.0 and 3.0. The author reports calculating a 60-period regression slope relating stock returns to a benchmark return series over January 2010. In the stated example, one Chinese stock is absent from the extracted output while another appears; the missing stock is said to be available in version 1.0 and when the date range is moved later. The workflow uses a factor expression and a data extraction step with a pre-start lookback.

The post raises the possibility of incomplete historical coverage, but it does not establish that as the cause. It includes no response, diagnosis, or corrected query, and it provides no independent validation of the output. The example is useful as a data-quality and feature-extraction troubleshooting case, with an unresolved distinction between source coverage, window requirements, filtering, and extraction behavior.

Key ideas

• The author reports a stock missing from a 2010 factor extraction in BigQuant 3.0.
• A second stock appears in the same output, and the missing stock is reported in version 1.0.
• The factor uses a rolling regression slope against a benchmark return series.
• Later date ranges reportedly return both stocks, but the cause of the discrepancy is not established.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.