Parameters

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 MKT, 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. %45 10 0 – 99999