Index rebalancing questions

Hi,



I have 3 questions about the SQX data procedure of index rebalancing.


I compared the S&P rebalancing announcement (2023) vs. SQX data,
based on https://www.spglobal.com/spdji/en/search/?query=+*S%26P+500&activeTab=&ContentType=Announcement



The check was about the deleted and newly added tickers to the S&P500 index.


The results are in the attachment.


Till September 2023 it's all OK, since October 18, 2023, seems to be not updated yet.


Please let me understand your workflow:


1. Are those updates delivered by any data provider or you are doing it in-house?


2. What is the rebalancing delay we need to expect?


3. Do we need to do anything more to update the ticker lists inside of SQX (apart from using the "update data in group" button)?


Thanks for that info!


Michal



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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status In progress
  • Priority Normal

History

m
#1

Michal

22.01.2024 08:11

Task created

PS
#2

Petr Šomek

24.01.2024 13:19

Status changed from New to In progress

Hello Michal,

1.Are those updates delivered by any data provider or you are doing it in-house?
Answer: Yes, we fetch stockgroup changes from data provider (he offers actual content of stockgroups by REST API)

2. What is the rebalancing delay we need to expect?
Answer: this procedure is done regulary everyday at 9:00 pm (Prague time). So client should have delay 1 day.

3. Do we need to do anything more to update the ticker lists inside of SQX (apart from using the "update data in group" button)?

Answer: only one thing what you have to do is click on Update button above the stockgroup list


Thank you about your analysis, I'll check the differences.


PS
#3

Petr Šomek

25.01.2024 07:18
Just note for third question:

Do we need to do anything more to update the ticker lists inside of SQX (apart from using the "update data in group" button)?


Answer: to get new stockgroup definition you don;t need to do anything. During starting up of strategyquant its checked if new stockgroup definition already exists. If yes, this newer stockgroup definition is automatically downloaded and new stocks are inserted to stockgroups definition. This check and update of stockgroup is done during startup of SQ only. 


You need to click on "Update" button when you really want to download history data for tickers which are oinclusesd in the stockgroup. 

m
#4

Michal

25.01.2024 15:35
Hello Petr,


thanks for the detailed info.


Then, it seems that the data provider has up to a few months of delay in adding/removing tickers to the index. Please give us a tip if you will know some details.


Best regards,

Michal



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