Trading volume and market capitalization data for delisted stocks

p.saffi
p.saffi Newcomer
in Eikon Data APIs

Hello,

I'm working with Brazilian data and trying to get price, return, trading volume and market capitalization (in units) for all firms in the past 15 years.

However, I'm having trouble getting the data for delisted stocks. I asked Refinitv Support and they told me the following:
"The information that exists for delisted Rics is scarce and includes only pricing data, usually Trade Price, Bid, Ask, Net asset value and Turnover.

TR.IssueMarketCap: The issue market capitalization represents the market value of the requested issue share type. It is calculated by multiplying the requested share type by the last close price. This item supports Default, free-float, and outstanding share types. The default share type is the most widely reported outstanding shares for a market and its most commonly issued, Outstanding, or Listed shares."

I can believe that Refinitv doesn't allow proper backtesting if they drop data on stocks that are delisted. Any info on whether that can be downloaded using Python?

For example, here is the formula for one delisted RIC (it was a large company around that time): =@TR("ELPL4.SA^K17","TR.CLOSEPRICE.date;TR.CLOSEPRICE(Adjusted=0),TR.CLOSEPRICE(Adjusted=1);TR.Volume;TR.DailyValueTraded","SDate=2012-01-01 EDate=2012-02-01 Frq=D CH=Fd RH=IN")

From the attached file with historical data on the internet, notice that, for example, on 02-Jan-2012, there is a return and trading volume, but the formula doesn't return any data. Could you let me know how to retrieve it? I would also like to get info on the variable TR.IssueMarketCap

For a listed stock, everything works fine: =@TR("MGLU3.SA","TR.CLOSEPRICE.date;TR.CLOSEPRICE(Adjusted=0),TR.CLOSEPRICE(Adjusted=1);TR.Volume;TR.DailyValueTraded;TR.TotalReturn.date;TR.TotalReturn;TR.TotalReturn1D;TR.IssueMarketCap","SDate=2012-01-01 EDate=2012-02-01 Frq=D CH=Fd RH=IN")

I really appreciate any help you can provide.

Pedro

screenshot-2024-03-19-at-13-59-59-elpl4-historico.png


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Best Answer

  • aramyan.h
    aramyan.h admin
    Answer ✓

    Hi @p.saffi ,


    You can use Refinitv Data Libraries for Python to get the pricing data. See below:

    import refinitiv.data as rd
    rd.open_session()

    rd.get_history("ELPL4.SA^K17", start = "2012-01-01", end = "2024-03-10")


    screenshot-2024-03-19-at-175255.png

    This returns all available fields. you can specify fields by using field parameter inside the get_history call.


    As it comes to the market cap, it seems there is no market cap information for that specific instrument. I have checked for another delisted stock and we do have the market cap info for that:

    rd.get_history("WORK.N^G21", fields = "TR.CompanyMarketCap", start = "2012-01-01", end = "2024-03-10")

    screenshot-2024-03-19-at-175930.png

    You can ask the content team for the missing instrument.

    Hope this helps.


    Best regards,

    Haykaz

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