CRD Documentation

Documentation for the data in the CRD is available via the Data Library > CRD folder. The documentation provides the field descriptors for both the price and announcement files. The Bellamy report referenced on page 3 of the CRD user guide for the calculation of dilution factors in the price files is also available in the same location.

Sirca Data Library and Core Research Data (CRD)

Some Sirca members may have noticed the new addition to the Sirca Product Portal recently. The Data Library is a recent addition to help facilitate access to our smaller and less complex datasets that do not require a tailor made user interface. The Data Library is a flexible way for us to add future collections of files that customers can download readily.

The Core Research Database (CRD) is the first inclusion through this portal. The CRD was previously encrypted and accessible through a separate login that wasn’t widely available. It can now be accessed using your regular Sirca login.

The CRD contains historical daily trading information including total volume, value and number of trades, and the high, low and close price for each stock listed on the ASX, including dilution information. This data is available from mid-1983 to the present. Members are able to manipulate this data in any manner that they wish to conduct research. E.g. Daily returns can be calculated from the information provided.

Please contact us if you would like more information.

ASX PureMatch

Continuing the theme of adding new Australian equities coverage to our Ausequities database, we confirm that the new ASX PureMatch feed will be incorporated into Ausequities. We need to complete a few tasks to get this feeding into Ausequities, we estimate that this will be achieved by end January 2012.

AusEquities will show the PureMatch instrument code with an “_APM” suffix, for example BHP_APM, which will show the PureMatch market data for that instrument. We will post again when this work is complete.

Enhancements to Australian Company Announcements database

Sirca is about to launch a new extension of their Australian Company Announcements product on July the 4th. The product currently allows searching of all Australian Company Announcements through a simple search interface. 

In the coming release, users will be able to perform rich searches using the Lucene Search Syntax. Users will also be able to retrieve the ‘OCR-ed’ version of the PDF in plain text.

This is the first in a series of imminent releases of new and innovative extensions to the Sirca product suite.

Sirca / Share Price & Price Relative database

In 2010, Sirca and the University of New South Wales entered into an agreement to migrate the production of databases previously undertaken by the Australian Business School based Centre for Research in Finance to Sirca. This included the impressive Australian share price and price relative (SPPR) database.

SPPR is an historical record of share prices and calculated price relatives of all Australian listed and previously listed companies with fully paid shares.

For each company, the share price, dividends, adjustments for share issues and reconstructions, number of shares on issue and price relatives are held on a monthly basis. Pertinent company and trading information is also supplied. The SPPR covers the period from December 1973 to December 2010. It includes earlier price relatives for a smaller subset of companies, some back as far as 1958.

The SPPR is updated annually, at present updates are sent to subscribers on a DVD. New subscribers receive the full history, as well as ongoing updates. Sirca is obviously planning to make this database avialable on-line as an option on the Sirca product portal; at present access to SPPR is not included as part of standard Sirca membership.

Further details about the database can be accessed here.

SPPR is an important resource which enables researchers to factor historical realities into their work thus making point-in-time databases which tend to reflect the way a market was structured and constituted on a specific date, much more valuable and accessible for their research. SPPR therefore enables researchers to use historical records as part of contemporary research by using the database’s persistent identifiers, thus allowing users to move backwards and forwards through entity changes. This obviously helps address some of the usual concerns of data bias caused by the omission of data pertaining to delisted entities.

An increasing number of universities also rely on the entity tracking part of SPPR by making this the back bone to the way they link data pertaining to individual active and delisted companies, to data sourced from other databases.

AusEquities database – “Qualifiers”

Sirca’s Australian members are able to request access to AusEquities a database of ASX quote and trade data dating back to the beginnings of the electronic market in Australia in 1987. The data is delivered in as raw a format as possible including the Qualifier codes which sometimes are assigned to trade and quote data via the central host.

We are often asked what the Qualifiers mean. The AusEquities help files give a pretty good overview of these, but here is a list of the ITS flags which appear as Qualifiers since their introduction in September 2006 (for Qualifiers prior to this date see the product help files, or get in touch with us):

AK: All or Nothing
AC: Auction Trade
BB: Bulletin Board
BP: Booking Purpose Crossing Reporting
CT: Combination Trade
DR: Direct Reporting
EP: Exercised Put
EQ: Equity/Option Combination
ET: Special Crossing ETF
FK: Fill and Kill (fill as much as possible and cancel the balance)
GL: Government Loan Reporting
IB: Index Replicating Special Crossing
LN: Loan Reporting
LT: Late Trade
MK: Market Price Order
ML: Market-to-Limit Order
OD: Odd-lot Order
OS: Overseas Trade
SP: Special Crossing
SX: Portfolio Special Crossing
TM: Tailor-made Combination
UV: Undisclosed Volume
WH: Wholesale Interest Rate Reporting
XT: Crossing Trade

Australian Company Announcements / IPOs

The Australian Securities Exchange has supported Sirca since its inception, and has kindly made a broad array of its datasets available to us in order to help our mission to support academic research into the financial markets. These datasets include the feed of company announcements resulting from the ASX’s listing rules in the context of the continuous disclosure regime. As a result of this Sirca has developed an online database of ASX listed company announcements with an archive going back to 1992. This is available as an additional on-line resource called “Australian Company Announcements” for Sirca academic members and subscribers.

Sirca has developed software which exposes all available reference data for each disclosure, along with all the free text terms which appear in the bodies of the disclosures. Whilst the database is not as manually indexed as many of the offerings available from commercial providers it is nevertheless a very impressive resource in terms of enabling access to raw data.

As an example of how the database can be used, we were recently asked whether we could help with some research which was attempting to nail down the definitive listing of gold sector IPOs on the ASX for the last 5 years, along with a statement about the amount of capital raised.

Each company seeking access to the ASX needs to complete/submit a range of documentation and have these filed through the ASX ComNews service, these include prospectuses and information memoranda, along with standard ASX documentation. The ASX also issues official documents which indicate that an entity has been admitted to their official list. Using the way the ASX categorise these documents, combined with Sirca’s process of exposing the text of the disclosures it was possible to narrow down the overall list of IPOs to just those pertaining to the Gold sector. Furthermore the researcher was able to access the actual disclosures to cross check the amount of capital raised.