ASX Daily Data

Daily price and volume data

ASX Daily Data provides historical daily trading information including total volume, value and number of trades and the open, high, low and close price for each stock listed on the ASX. This data is available for the period 19 February 1990 to the present.

SIRCA members are able to download the data directly from the SIRCA ftp server. Data security will be provided by encrypting the data. Once the data has been downloaded to the university server, it may be extracted by authorised users with the ASX Daily Data View Tool. Instructions for users to do this are available here in PDF.

The CRD has been updated to 31 Dec 2007 on 09 May 2008.

Members are able to manipulate this data in any manner that they wish to conduct research. The data can be used for research purposes without the need to obtain external approvals and similarly research papers can be produced and published without consents eg. from the Australian Stock Exchange (ASX). The data, however, must not be distributed to any third parties or on-sold in any way.

The ASX Daily Data contains the following fields:

Field	Description	Notes
1	Date
2	ASX stock code
3	SIRCA stock identifier	1
4	High price for the day	2
5	Low price for the day	2
6	Last traded price for the day	2
7	Volume traded for the day	3
8	Value traded for the day	3
9	Today’s dilution factor	4
10	Number of Dilutions
11	Dilution Code	5
12	Dilution Factor
13	Entitlement	6
14	Dollar Amount	6

Notes

1. This is a code assigned by SIRCA which allows companies to be tracked through time when the stock code changes.
2. After 1991, these fields include only on-market trades and exclude cancelled trades and odd-lots. If the stock did not trade on this day, no record appears in these fields.
3. Includes on-market and odd-lot trades, but excludes off-market trades.
4. Dilution factors are calculated as described in the document "The calculation of the dilution factors for the SIRCA CRD" by David Bellamy. Please refer to this document before using these dilution factors. A dilution factor of 1 signifies that there were no capitalisation changes on this date. The daily dilution factor incorporates all dilutions in the order in which they appeared.
5. If the number of dilutions for that day is zero, this field will be filled with a space character (" "). If there is exactly one dilution for that day, then this field will be filled with the dilution code (described in the following table). If there are 2 or more dilutions then this field will contain the code "Z". The Dilution Code may have the following values:
   

   Field	Description
   B	Bonus Issue
   C	Consolidation
   S	Split
   E	Non-Renounceable Issue
   F	Non-Renounceable Issue (Portfolio)
   Q	Renounceable Issue (Portfolio)
   R	Renounceable Issue
   T	Capital Return
   L	Call on partly-paid shares
   D	Dividend
   X	Unknown

6. These "Entitlement" and "Dollar Amount" fields contain data which is dependent on the type of dilution. A description of the fields for each dilution type is listed below:
   

   Dilution Type	Entitlement Field (in dollars)	Dollar Amount field
   B	0	Number of shares needed to be entitled to additional share
   C	0	Number of shares that a single cum share becomes as a result of the consolidation
   S	0	Number of shares that a single cum share becomes as a result of the split
   E	Subscription Amount	Subscription Amount Number of shares needed to be entitled to an additional share
   F	Subscription Amount	Subscription Amount Number of shares needed to be entitled to an additional share
   Q	Subscription Amount	Subscription Amount Number of shares needed to be entitled to an additional share
   R	Subscription Amount	Subscription Amount Number of shares needed to be entitled to an additional share
   T	Capital Amount	0
   L	0	0
   D	Dividend Amount	0
   X	0	0

Daily Index Data

The ASX indices are managed and calculated by Standard and Poors. Currently there are 50 different indices available.

This data may be downloaded directly from the SIRCA website.

These files are arranged by index. The format for these files is comma-delimited ASCII. The data in these files is prepared after the end of trading each day. The files named "_&ltCODE>" contain the last value for the day while the files named "_&ltCODE&gt_A" contain the accumulated index value. This naming convention is chosen to prevent confusion with other stocks.

The format of the files is given below. If the market did not trade this day, no record appears in the file.

Notes

1. The index code may have the following values:
   

   Code	Index
   XGO	Gold
   XOM	Other metals
   XSF	Solid fuels
   XOG	Oil & gas
   XDR	Diversified resources
   XEY	Energy
   XUI	Infrastructure & utilities
   XDC	Developers & contractors
   XBM	Building materials
   XAT	Alcohol & tobacco
   XFH	Food & household goods
   XCE	Chemicals
   XEG	Engineering
   XPP	Paper & packaging
   XRE	Retail
   XTP	Transport
   XME	Media
   XBF	Banks & finance
   XIN	Insurance
   XTE	Telecommunications
   XEI	Entrepreneurial investors
   XIF	Investment & financial services
   XPT	Property trusts
   XMS	Miscellaneous services
   XMI	Miscellaneous industrials
   XDI	Diversified industrials
   XTU	Tourism & leisure
   XTO	ASX 100
   XTL	20 leaders
   XAM	All mining
   XAR	All resources
   XAI	All industrials
   XAO	All ordinaries
   XFL	50 leaders
   XMD	MIDCAP 50
   XMR	MIDCAP 50 resources
   XMT	MIDCAP 50 industrials
   XTR	ASX 100 resources
   XTI	ASX 100 industrials
   XSO	Small ordinaries
   XSR	Small resources
   XSI	Small industrials
   XTT	Trans-Tasman 100
   XCN	Asian listings
   XAV	ASX /Russell all value
   XAG	ASX /Russell all growth
   XLV	ASX /Russell value 100
   XLG	ASX /Russell growth 100
   XSV	ASX /Russell small value
   XSW	ASX /Russell small growth