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References

Available Market Data

1. Price Volume Data for Equity

2. Company Fundamental Data for Equity
3. Analyst Estimate Data for Equity
4. Relationship Data for Equity
5. Sentiment Data for Equity
6. US News Data

1. Price Volume Data for Equity

Price volume data gives open/high/low/close price values and average daily volume traded of stocks for every
day. Open, high, low, close, volume, vwap and sharesout have been carefully adjusted for corporate actions
(such as dividends, splits, reverse splits, etc.) and are ready to be used for Alpha computation. As a
comparison, raw price or volume is actually not ready for direct usage in Alpha code; without this distinction,
Alphas would be unstable.

This can be explained in an example: Suppose GOOG (Google) will split 2:1 on April 2 and its current price is
at $1200. In April 3, it would likely be around $600. Without adjusting, raw price alone will distort the price
action.

Adjusted data must be updated every day. For efficiency, WebSim calculates only for a fixed lookback period
(defined as “Lookback Days” in settings). Dividend and split data only have values on the day of the activity
and are missing on the other days. This must be kept in mind when combining with other data which have
values every day.

Daily volume weighted average price (vwap) equals the dollar value of all trades divided by the total trading
volume for the current day. Calculation starts when trading opens and ends when trading closes.

Outstanding shares refers to a company's stock currently held by all its shareholders, including share blocks
held by institutional investors and restricted shares owned by the company’s officers and insiders. The
number of outstanding shares is used in calculating key metrics such as a company’s market capitalization, as
well as its earnings per share (EPS) and cash flow per share (CFPS). A company’s outstanding shares will
increase if it issues additional shares.

Grouping data have an integer value for every stock corresponding to the group the stock belongs to. For
example, if there are 4 possible sector values then sector will have 0, 1, 2 or 3.

Data Name Description

open Daily open price

close Daily close price

high Daily high price

low Daily low price

vwap Daily volume weighted average price

volume Daily volume

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Data Name Description

returns Daily returns

adv20 Average daily volume in past 20 days

sharesout Daily outstanding shares (in millions)

cap Daily market capitalization (in millions)

split Stock split ratio

dividend Dividend

market Market grouping

country Country grouping

exchange Exchange grouping

sector Sector grouping

industry Industry grouping

subindustry Subindustry grouping

2. Company Fundamental Data for Equity

Fundamental analysis involves looking at any data, other than the trading and price history of a stock, which
can be expected to impact the price or perceived value of the stock. Fundamental analysis focuses on
creating a portrait of a company; identifying the intrinsic, or fundamental, value of its shares and buying or
selling the stock based on that information.

Some of the indicators commonly used to assess company fundamentals include:

Return on assets and equity

Equity and preferred dividends
Sales, debt and income
Liabilities and assets
Inventory and cost of goods sold
Cash flows (sales CF, operating CF, financial CF, etc.)

For more information, please look up fundamental analysis on Investopedia.

Depending on the company and the exchange where it is listed, reporting requirements and thus frequency of
data may vary (i.e. quarterly, semi-annual, annual). Additionally, companies might miss periodic updates, so
the frequency is not always regular. For fields in which frequency is not explicitly stated in the table,
frequency may vary, e.g. from quarterly to semi-annual.
EUR
ASI (f
Data Name Description USA (Consultants
Consulta
Only)
Accounts payable are an entity's short term debt obligations to its
accounts_payable ✔ ✔
creditors
Accumulated depreciation is the aggregate accumulated depreciation of
accum_depre ✔ ✔
fixed assets in property, plant and equipment (PPENT)

assets Total Assets (Quarterly) ✔ ✔ ✔

Current assets such as cash, securities, receivables, and inventories

assets_curr ✔ ✔ ✔
(Quarterly)

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EUR
ASI (f
Data Name Description USA (Consultants
Consulta
Only)
Other current assets such as short term investments and restricted cash,
assets_curr_oth ✔ ✔
which do not fall under current assets

bookvalue_ps Book Value per Share (Annual) ✔ ✔ ✔

capex Capital Expenditure (Annual) ✔ ✔ ✔

cash Cash - Total (Quarterly) ✔ ✔ ✔

cash_st Cash and Short-Term Investments ✔ ✔

cashflow Cashflow (Annual) ✔

cashflow_dividends Cashflow From Dividends (Annual) ✔

cashflow_fin Cashflow From Financing Activities (Annual) ✔ ✔ ✔

cashflow_invst Cashflow From Investments (Annual) ✔ ✔ ✔

cashflow_op Cashflow From Operating Activities (Annual) ✔ ✔ ✔

cogs Cost of Goods Sold (Quarterly) ✔ ✔ ✔

Cost of revenue includes all costs directly attributable to the goods and
cost_of_revenue ✔ ✔
services produced and sold

current_ratio Current ratio = Current Assets / Current Liabilities (Quarterly) ✔ ✔ ✔

debt Total Debt (Quarterly) ✔ ✔ ✔

debt_lt Long Term Debt (Quarterly) ✔ ✔ ✔

Current long term debt represents the portion of long-term debt due
debt_lt_curr ✔ ✔
within the following fiscal year

debt_st Short Term Debt (Quarterly) ✔ ✔ ✔

Depreciation is the allocation of costs of tangible assets over the time

depre ✔ ✔
periods during which the assets will be used

depre_amort Depreciation and Amortization (Quarterly) ✔ ✔ ✔

EBIT Earnings Before Interest and Taxes (Annual) ✔ ✔ ✔

EBITDA Earnings Before Interest, Taxes, Depreciation and Amortization (Annual) ✔ ✔ ✔

employee Employees (Annual) ✔ ✔

enterprise_value Enterprise Value (Quarterly) ✔ ✔

eps Earnings per Share (Quarterly) ✔ ✔ ✔

equity Common Equity (Quarterly) ✔ ✔ ✔

goodwill Goodwill (Quarterly) ✔ ✔ ✔

income Net Income (Quarterly) ✔ ✔ ✔

income_beforeextra Income Before Extraordinary Items (Quarterly) ✔ ✔ ✔

income_tax Income Taxes - Total (Quarterly) ✔ ✔ ✔

income_tax_payable Income Tax Payable ✔ ✔

interest_expense Interest and Related Expense- Total (Quarterly) ✔ ✔ ✔

inventory Total Inventory (Quarterly) ✔ ✔ ✔

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EUR
ASI (f
Data Name Description USA (Consultants
Consulta
Only)

inventory_turnover Inventory Turnover (Quarterly) ✔ ✔ ✔

invested_capital Invested Capital – Total (Quarterly) ✔

liabilities Total Liabilities (Quarterly) ✔ ✔ ✔

Other current liabilities such as dividends payable, income tax payable,

liabilities_cur_oth ✔ ✔
etc.

liabilities_curr Current Liabilities (Quarterly) ✔ ✔ ✔

liabilities_oth Other liabilities such as reserves, pension benefits, etc. ✔ ✔

operating_expense Operating Expenses (Quarterly) ✔ ✔ ✔

operating_income Operating Income (Quarterly) ✔ ✔ ✔

operating_margin Operating margin is the ratio of operating income to total revenue ✔ ✔

ppent Property, Plant and Equipment - Total (Quarterly) ✔ ✔ ✔

ppent_net Total-Net Property Plant and Equipment ✔ ✔

Preferred dividends represent the total dollar amount of the current

preferred_dividends ✔ ✔
dividend requirement on issued preferred stock of a company

pretax_income Pretax Income (Quarterly) ✔ ✔ ✔

Quick ratio is a measure of how well a company can meet its short-term
quick_ratio ✔ ✔
financial liabilities

rd_expense Research And Development (Quarterly) ✔

rad Research And Development (Quarterly) ✔ ✔

receivable Receivables - Total (Quarterly) ✔ ✔ ✔

retained_earnings Retained Earnings (Quarterly) ✔ ✔ ✔

return_assets Return on Assets (Quarterly) ✔ ✔ ✔

return_equity Return on Equity (Quarterly) ✔ ✔ ✔

revenue Revenue - Total (Quarterly) ✔ ✔ ✔

sales Sales (Quarterly) ✔ ✔ ✔

sales_growth Growth in Sales (Quarterly) ✔

sales_ps Sales per Share (Quarterly) ✔

SGA_expense Selling, General, and Administrative Expense (Quarterly) ✔ ✔ ✔

working_capital Working Capital (Balance Sheet) (Quarterly) ✔

3. Analyst Estimate Data for Equity

Analyst estimate data comprises financial analysts’ predictions for various company financials. Generally,
analysts give a consensus for a company's earnings per share and revenue; these figures are most often
made for the quarter, fiscal year and next fiscal year. Analyst update data are therefore updated infrequently.

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Based on projections, models, sentiments and research, analysts strive to come up with an estimate of what
the company will do in the future. Estimates are not an exact science. This leads some market movers to
believe that the market is not as efficient as often purported, and that the efficiency is driven by estimates
about a multitude of future events that may not be accurate. This might help explain why a company's stock
quickly adjusts to the new information provided by quarterly earnings and revenue numbers when these
figures diverge from the consensus estimate.

Note that est_* and etz_* data are potentially sourced from different groups of analysts.

Data Name Description

est_bookvalue_ps Estimate of Book Value per Share (Quarterly)

est_capex Estimate of Capital Expenditure (Quarterly)

est_cashflow_fin Estimate of Cash Flow from Financial Activities (Quarterly)

est_cashflow_invst Estimate of Cash Flow from Investments (Quarterly)

est_cashflow_op Estimate of Cash Flow from Operating Activity (Quarterly)

est_cashflow_ps Estimate of Cash Flow from Operations per Share (Quarterly)

est_dividend_ps Estimate of Dividend per Share (Quarterly)

est_ebit Estimate of EBIT (Quarterly)

est_ebitda Estimate of EBITDA (Quarterly)

est_eps Estimate of Earnings per Share (Quarterly)

est_epsa Estimate of Adjusted Earnings per Share (Quarterly)

est_epsr Estimate of Reported Earnings per Share (Quarterly)

est_fcf Estimate of Free Cash Flow (Quarterly)

est_fcf_ps Estimate of Free Cash Flow per Share (Quarterly)

est_ffo Estimate of Funds from Operations (Quarterly)

est_ffoa Estimate of Adjusted Funds from Operations(Quarterly)

est_grossincome Estimate of Gross Income (Quarterly)

est_netdebt Estimate of Net Debt (Quarterly)

est_netprofit Estimate of Net Profit (Quarterly)

est_netprofit_adj Estimate of Net Profit Adjusted (Quarterly)

est_ptp Estimate of Pre Tax Income (Quarterly)

est_ptpr Estimate of Reported Pre Tax Income (Quarterly)

est_rd_expense Estimate of Research and Development Expenses (Quarterly)

est_sales Estimate of Sales (Quarterly)

est_sga Estimate of Selling, General and Administrative Expense (Quarterly)

est_shequity Estimate of Shareholders’ Equity (Quarterly)

est_tbv_ps Estimate of Tangible Book Value per Share (Quarterly)

est_tot_assets Estimate of Total Assets (Quarterly)

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Data Name Description

est_tot_goodwill Estimate of Total Goodwill (Quarterly)

etz_eps Estimate of Earnings per Share (Quarterly)

etz_eps_delta Absolute change in estimate of earnings per share (Quarterly)

etz_eps_ret Percentage change in estimate of earnings per share (Quarterly)

etz_eps_tsrank Time-series rank of estimate of earnings per share (Quarterly)

etz_revenue Estimate of Total Revenue (Quarterly)

etz_revenue_delta Absolute change in estimate of total revenue (Quarterly)

etz_revenue_ret Percentage change in estimate of revenue (Quarterly)

4. Relationship Data for Equity

Relationship data contains information on other publicly listed companies related to a company’s business.
For example, in this context ‘customers’ refers to other publicly listed companies that are customers of the
company in question. Relationship data is available for the following categories:

Customers (cust)
Competitors (comp)
Strategic Partners (part)
All Relationships (all)

Data Name Description

rel_num_all Total number of relationships

rel_num_comp Total number of competitor companies

rel_num_cust Total number of customer companies

rel_num_part Total number of partner companies

rel_ret_all Average daily returns of all relationships

rel_ret_comp Average daily returns of competitor companies

rel_ret_cust Average daily returns of customer companies

rel_ret_part Average daily returns of partner companies

5. Sentiment Data for Equity

The underlying datasets for sentiment data use a large amount of news and social media posts to estimate
market participants’ expectation of stock price directions. This information is collected by aggregating news,
tweets, articles, blog and message board posts, etc. and determining their collective opinion on individual
stocks. Most sentiment data have a score associated with them which indicates the strength and/or direction
of the sentiment.
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Data Name Description

snt_bearish Bearish sentiment

snt_bearish_tsrank Time-Series Rank of snt_bearish

snt_bullish Bullish sentiment

snt_bullish_tsrank Time-Series Rank of snt_bullish

Indicates intensity of sentiment. Average value is 1. Values below 1 are low intensity while those ab
snt_buzz
1 are high intensity

snt_buzz_bfl Identical to snt_buzz, except average value of 1 is backfilled if entry is missing

snt_buzz_ret Percentage change in snt_buzz from previous day

Ratio of bullish to bearish sentiment. It is calculated from raw values and is different from the ratio
snt_ratio
snt_bullish to snt_bearish

snt_ratio_tsrank Time-Series Rank of snt_ratio

snt_social_value Normalized value of sentiment derived from social media.

snt_social_volume Volume of sentiment derived from social media. Higher value indicates more activity.

snt_value Indicates mood of sentiment; below zero is negative, above zero is positive

6. US News Data
News data provides up-to-date information on potential news driven movements in the market. It has the
potential to help create strong, robust and high returning alphas. While news is inherently delay 0 data, we
encourage you to develop alphas on delay 1 because not only do delay 1 alphas provide more capacity, but
they also tend to be more robust considering the noisy nature of news. In fact, tradable news often have
strong impact lasting much longer than a few minutes or a day; sometime it lasts for a month, a quarter or
some times even longer. Even existing alpha ideas may benefit from the additional potential signals in news
data. Understanding news and its impact is an essential skill for researchers.

US News Data:

Matches up financial news with market data.

Enables analysis and use of a stock's reaction to breaking news and anticipated announcements as
they happen in your model.
Has 75 analytic options and synchronized real-time news and market data.
Combines news and stock prices to provide a comprehensive insight and understanding to enhance
trading decisions.
Combines news with market data analytics to provide an additional source of alpha over conventional
quantitative factors.

Note: Most US News data fields involve price or volume and their movements in the time around news
releases, not the actual content or sentiment of those news releases.
Data Name Description

news_prev_vol Previous day’s session volume

news_curr_vol Current day’s session volume

news_mov_vol 30 day moving average session volume

news_ratio_vol Curr_Vol / Mov_Vol

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Data Name Description

news_open_vol Main session open volume

news_close_vol Main session close volume

news_tot_ticks Total number of ticks for the trading day

Fourteen day average based on absolute price changes. TR is defined as the greatest of the
news_atr14
following:

Method 1: Current High less the current Low

Method 2: Current High less the previous Close (absolute value)

Method 3: Current Low less the previous Close (absolute value)

Current ATR = [(Prior ATR x 13) + Current TR] / 14

Percent change between the previous day's open and close formulated as (Close[t-1]-Open[
news_prev_day_ret
1])/Open[t-1] where t is the current date

news_prev_close Previous trading day’s close price

news_open Price at the session open

(DayOpen – PrevClose) / PrevClose. The value is negative if current day's opening price is low
news_open_gap
than yesterday's close

news_spy_last Last price of the SPY at the time of the news

news_ton_high Highest price reached during the session before the time of news (TON)

news_ton_low Lowest price reached during the session before the time of news

news_ton_last Price at the time of news

news_eod_high Highest price reached between the time of news and the end of the session

news_eod_low Lowest price reached between the time of news and the end of the session.

news_eod_close Close price of the session

news_spy_close Price of SPY at close of session

news_post_vwap Post session volume weighted average price

news_pre_vwap Pre session volume weighted average price

news_main_vwap Main session volume weighted average price

news_all_vwap Volume weighted average price of all sessions

news_eod_vwap Volume weighted average price of the session from the time of news until the end of the sessi

news_max_up_amt The after-the-news high minus the price at the time of the news

news_max_up_ret Percent change from the price at the time of the news to the after the news high

Price at the time of the news minus the new low price after the news was announced. The va
news_max_dn_amt
can be negative.
Percent change from the price at the time of the news to the new low price after the news w
news_max_dn_ret
announced

news_session_range Session High Price – Session Low Price

news_session_range_pct (Session High Price – Session Low Price) / Session Low Price.

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Data Name Description

news_ls Whether a long or short position would have been more advantageous:

If (EODHigh - Last) > (Last - EODLow) Then LS = 1;

If (EODHigh - Last) = (Last - EODLow) Then LS= 0;

If (EODHigh - Last) < (Last - EODLow) Then LS = -1.

Performance of stock w.r.t market index. It is denoted by ((EODClose - TONLast) / TONLast)

news_indx_perf
((SPYClose - SPYLast) / SPYLast)

news_pct_30sec The percent change in price in the 30 seconds following the news release

news_pct_1min The percent change in price in the first minute following the news release

news_pct_5_min The percent change in price in the first 5 minutes following the news release

news_pct_10min The percent change in price in the first 10 minutes following the news release

news_pct_30min The percent change in price in the first 30 minutes following the news release

news_pct_60min The percent change in price in the first 60 minutes following the news release

news_pct_90min The percent change in price in the first 90 minutes following the news release

news_pct_120min The percent change in price in the first 120 minutes following the news release

news_mins_1_pct_up Number of minutes that elapsed before price went up 1 percentage points

news_mins_2_pct_up Number of minutes that elapsed before price went up 2 percentage points

news_mins_3_pct_up Number of minutes that elapsed before price went up 3 percentage points

news_mins_4_pct_up Number of minutes that elapsed before price went up 4 percentage points

news_mins_5_pct_up Number of minutes that elapsed before price went up 5 percentage points

news_mins_7_5_pct_up Number of minutes that elapsed before price went up 7.5 percentage points

news_mins_10_pct_up Number of minutes that elapsed before price went up 10 percentage points

news_mins_20_pct_up Number of minutes that elapsed before price went up 20 percentage points

news_mins_1_pct_dn Number of minutes that elapsed before price went down 1 percentage points

news_mins_2_pct_dn Number of minutes that elapsed before price went down 2 percentage points

news_mins_3_pct_dn Number of minutes that elapsed before price went down 3 percentage points

news_mins_4_pct_dn Number of minutes that elapsed before price went down 4 percentage points

news_mins_5_pct_dn Number of minutes that elapsed before price went down 5 percentage points

news_mins_7_5_pct_dn Number of minutes that elapsed before price went down 7.5 percentage points

news_mins_10_pct_dn Number of minutes that elapsed before price went down 10 percentage points

news_mins_20_pct_dn Number of minutes that elapsed before price went down 20 percentage points

news_mins_1_chg Minimum of news_mins_1_pct_up and news_min_1_pct_dn

news_mins_2_chg Minimum of news_mins_2_pct_up and news_min_2_pct_dn

news_mins_3_chg Minimum of news_mins_3_pct_up and news_min_3_pct_dn

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Data Name Description

news_mins_4_chg Minimum of news_mins_4_pct_up and news_min_4_pct_dn

news_mins_5_chg Minimum of news_mins_5_pct_up and news_min_5_pct_dn

news_mins_7_5_chg Minimum of news_mins_7_5_pct_up and news_min_7_5_pct_dn

news_mins_10_chg Minimum of news_mins_10_pct_up and news_min_10_pct_dn

news_mins_20_chg Minimum of news_mins_20_pct_up and news_min_20_pct_dn

news_cap Reported market capitalization for the calendar day of the session

Reported price to earnings ratio for the calendar day of the session. The latest earnings releas
news_pe_ratio
by the companies is used

news_dividend_yield Annual dividend yield

news_short_interest Total number of shares sold short divided by total number of shares outstanding

(EODHigh - TONLast)/StdDev, where StdDev is one standard deviation for the close price for
news_high_exc_stddev
calendar days
(TONLast - EODLow)/StdDev, where StdDev is one standard deviation for the close price for
news_low_exc_stddev
calendar days
(CurrentVolume - AvgVol)/VolStDev, where AvgVol is the average of the daily volume, and
news_vol_stddev
VolStdDev is one standard deviation for the daily volume, both for 30 calendar days
(RangeAmt-AvgRange)/RangeStdDev, where AvgRange is the average of the daily range, an
news_range_stddev
RangeStdDev is one standard deviation for the daily range, both for 30 calendar days

news_atr_ratio Today's Range/ATR20

news_eps_actual The actual Earnings per Share value that was conveyed by the news release

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