DataMiner Operation DataUniverse

Download data for an entire Universe over a period

Overview

This operation allows you to retrieve point in time data for a selected universe for a given date range. A data license with the data providers we support (S&P Compustat or Factset) is required for this operation in order to return raw fundamental factors. However, you can retrieve most price related data and derived fundamental factors like ranks and z-scores without a vendor data license.

Input Specification

Default values if not specified are in [brackets]. Any parameter which has a default value is optional and can be omitted. The input script is in YAML syntax. The learn the basics see DataMiner YAML Syntax

Key

Value

Description

Main:              

# Section with main settings

→Operation:

DataUniverse

→On Error: 

[Stop],  Continue 

Specifies if you want to stop an operation when there is an error.

→Precision: 

[2],3,4 

Decimal precision of the output values.

Settings:

# Section with operation settings

→Vendor:

[FactSet], Compustat

→Include Names: 

[false], true 

Include company names in the results.

→Universe

ALLFUND, SP500, etc.

Specifies the Universe to be used in the operation. Specify the name of your custom universe or one of the Portfolio123 Universes

→PIT method: 

[Complete],  Prelim

“Prelim” includes preliminary data from earnings calls, while “Complete”  only includes quarter or annual report data.

→Frequency: 

[1Week], 2Weeks,  3Weeks, 4Weeks, 6Weeks, 8Weeks, 13Weeks, 26Weeks, 52Weeks

Frequency with which data is retrieved. 

→Start Date:

YYYY-MM-DD

Defines the period used.

→End Date:

[today] 

→Formulas:           

# Formula list. Limit 100 formulas per script

→→- "Display name":

"Formula"


Data point to be returned. If formula is missing the column name is used as the formula.

Sample Input

Main:
  Operation: DataUniverse
  On Error:  Stop
  Precision: 2 
Settings:  
  PIT Method: Prelim 
  Start Date: 2015-01-01
  End Date: 2015-06-01
  Frequency: 4weeks
  Universe: SP500
  Include Names: false
  Formulas:
    - Future%Chg(21) #Future total 21 bar return.
    - Pr2Sales Rank: FRank("Pr2SalesTTM",#Industry,#ASC)
    - EarnYield Rank: FRank("EarnYield",#All,#DESC)

Sample Output