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.

Sirca DataConsults

Sirca members are able to access the Sirca DataConsult team for assistance in accessing complex, non-standard or unwieldy data to support their research objectives. Examples include gaining access to the ASX CHESS database (see this post for more details on CHESS), accessing forms of data which are not downloadable from our online resources, and mashing data across multiple sources.

Our DataConsult team is expert in curating data for academic research and as a result tends to suffer from having a large number of requests to complete. We try hard to fulfill these requests as rapidly and efficiently as possible, however due to their nature and the economics of the academic segment it is not always possible to turn these jobs around quickly, particularly at peak times of the academic year when research projects are beginning.

At present we are also having to recreate our software request libraries for ASX data due to third party coypright issues which have emerged recently, as well as modernising some of the infrastructure which underpins data retrieval.

As a result there is currently quite a big backlog being managed by the team. In order to try and tackle the workload, we are seconding additional resource to the DataConsult function, however we do ask for understanding from members whilst we get to grips with things.

As a reminder, the current process to submit a DataConsult job is to submit a formal request using the DataConsult form. The form can be accesses from this page, by clicking on the “Data Consult Form” link at the bottom of the page. Requestees will note that this prompts you for a password. This password is held by the designated Sirca liaison point within your university; this steps act as validation for your research request by your university. Get in touch with us if you need to know who to contact for your university password.

Tick History / Exchange Qualifiers

We often get asked for details about the “qualifiers” which are associated with Tick History data retrieved from individual exchange venues. Wherever possible Thomson Reuters Tick History relays qualifiers sent from individual exchange venues, translating these into a series of Tick History specific qualifiers. If we focus on the Australian Securities Exchange cash equities venue for example, the following list of qualifiers is used in Tick History:

Please note that qualifiers with the suffix [GV4_TEXT] can be combined, for example, XTMO[GV4_TEXT] would mean Croosed Trade and Morning Open Price Match.

Please contact us if you need further details about the qualifiers pertaining to your research area.

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

Access to ASX CHESS for Sirca members

Sirca member universities can access the ASX’s Clearing House Electronic Sub-register System, better known as CHESS, to support eligible research projects. Since 1995, CHESS has been performing two core functions for the ASX: (i) it facilitates the settlement and clearing of trades in shares, and (ii) it provides an electronic sub-register for shares in ASX listed companies.

Sirca is able to facilitate access to CHESS, for reasonable research requests, from qualified academics, within member universities. The first step is to contact Sirca in order to begin the process of describing the research goals and how these can be achieved via access to the CHESS database.

Members will appreciate that CHESS contains sensitive data where the privacy of market participants needs to be protected; any proposed access to the CHESS database must be designed therefore in such a way that the privacy of market participants is maintained, in line with ASX standards and Australian legislation. Both Sirca and ASX staff and processes will be vigilant in ensuring that the data extraction goals from CHESS are designed with this in mind.

Given this, we have agreed on a process with the ASX whereby any data extracted from CHESS is subjected to the following tests before it can be released to the researcher:

(i) “Threshold Test”

The “Threshold Test” checks that there are a minimum of 10 observations within each point for each data category. For example, if a researcher is seeking to identify the number of Super Funds who are invested in a particular stock, we will only be able to release data in the event that at least ten Super Funds are present on the sub-register for that company.

(ii) “Dominance Test”

The “Dominance Test” checks that no single observation accounts for more than 50% of the value for each data point for each data category; that no two observations combined account for more than 75% of the value of each data point for each data category; and that no three observations combined account for more than 90% of the value of each data point for a data category.

(iii) “Activity Test”

Where time series data is provided, the “Activity Test” checks that no single observation accounts for more than 50% of the absolute value of aggregate changes for the data category compared to the previous period, and that no two observations combined account for more than 75% of the absolute value of aggregate changes for the data category compared to the previous period.
Below are the categories for which holdings data can be extracted. Please also note that these are further subdivided into domestic vs foreign branches making 18 categories in total.

1. Bank.
2. Other Deposit Taking.
3. Nominees.
4. Insurance.
5. Super Funds.
6. Trusts.
7. Government.
8. Inc. Companies.
9. Individuals.
It is also worth noting the following frequently asked questions about CHESS data:

(i) Why don’t the categories sum to 100%?

Since CHESS only accounts for shares being registered on the CHESS sub-register, if a shareholder decides not to register his/her shares with the CHESS sub-register of a company after its IPO for whatever reasons, then a portion of the shares issued won’t be registered on CHESS and as a result the sum of categories may not account for 100% of shares on issue.

(ii) Why does the sum of the two categories, individual, and institutional, on some occasions exceed 100%?

A cross-listed (dual-listed) company will have shares issued in Australia as well as in at least one overseas jurisdiction. In the event that this company’s foreign issued shares are traded in Australia, they may be registered in CHESS, in addition to the domestically issued shares. In this case, working out the ownership percentage using the Australian issued shares as a denominator, may result in a percentage greater than 100% given that we wouldn’t have accounted for the foreign issued shares in arriving at the denominator value.

(iii)  Why can’t I get a complete breakdown of ownership holdings for a company from CHESS?

This source will only show ownership holdings for individuals/entities who trade. This means the holdings of entities that have not traded over the history of the CHESS data set, are not known.  A complete breakdown of ownership holdings is therefore not usually possible for larger companies. CHESS records for Woolworths, for example, would not record a key shareholder’s holdings if this entity had never traded them since the inception of CHESS.  Of course, as soon as a trade does occur, the holdings in that trading entity would be reported.  Holdings that this entity may control in other entities would remain unknown until some of these were also traded.

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.