Forums  > Trading  > Building a bias-free universe for european equities  
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Total Posts: 237
Joined: Oct 2006
Posted: 2007-05-07 22:46
I am tasked with building a bias free database of European equities for the last 15 years:/ What is the best way to go about this?

1. Is it possible to buy data of good quality with minimal cleaning required?
2. How bad would it be to put this together from the abominable Bloomberg?
3. Is there any other way?

All recommendations/pointers/advice is very much appreciated.


The dark is light enough.


Total Posts: 1598
Joined: Sep 2006
Posted: 2007-05-08 03:00

Buy it directly from the exchanges?

It might be good to specify if you want anything beyond price and divs.  Just stocks or options too?

I can help you with futures, but not stocks, sorry.

Founding Member

Total Posts: 8372
Joined: Mar 2004
Posted: 2007-05-08 06:45
Yes, the exchange data is (generally) bias free. Drop me an e-mail if you like. I might be able to help you out in that department.

The Figs Protocol.


Total Posts: 237
Joined: Oct 2006
Posted: 2007-05-08 18:49

Thanks for your offer, I have sent you an email.


At this point, I am only looking at equities and I want things like ticker changes, dividends, splits, spin-offs, ohlcv etc. The goal is to know what the exchange ticker was at some point in history and the corresponding ISIN, SEDOL and so on. I think getting it directly from the exchanges in perhaps the best way. Thank You very much.

The dark is light enough.


Total Posts: 359
Joined: Aug 2007
Posted: 2013-06-06 13:46
To update this thread, could anyone recommend a decent provider for European equity data besides the exchange? I was hoping for all cacs data and at least one minute bars.


Total Posts: 87
Joined: Feb 2008
Posted: 2013-06-07 07:53
thomson reuters...


Total Posts: 359
Joined: Aug 2007
Posted: 2013-06-08 22:57
is that it? I guess I would prefer tickdata. I was hoping there was a decent European centric provider


Total Posts: 14
Joined: Jan 2019
Posted: 2019-04-17 03:11
Given that there doesn't appear to be another universe construction thread, I decided to revive this one.

I am currently using Bloomberg's EQS for point in time active equities. Anyone have an opinion on alternatives? Factset/reuters related screening tools? I use the APIs.


Total Posts: 4
Joined: Apr 2019
Posted: 2019-04-26 16:12
Factset have a number of delivery mechanisms for data, APIs through to binary loaders which shove it in your local SQL db.
Very expensive though!
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