I have a question regarding the download of stock price data referring to specific dates, varying throughout the dataset. I use Datastream to download stock price data matching to M&A announcement retrieved from the SDC Mergers&Acquisitions database. Specifically, I need to download stock price data referring to specific announcement dates, varying from company to company. (e.g. Deal A was announced on 10jun2016, so I want to retrieve the target stock price 30 trading days prior to the transaction. For Deal B, the announcement date may be 26jun2016. And so on...)
As the sample is quite large (>90.000 transactions over a 20-year period), I am looking for a way to only download the stock price data for the relevant dates for each transaction (i.e. I only need a few specific dates per transaction, but the dates are different for each transaction). I want to avoid downloading stock price data of the last 20 years for all companies, because it would result in an immense ammount of unused data. Of course, I also want to avoid manually having to download the data for each company and date, as this would take me months.
I would be glad, if someone knew a way of automatically downloading only the stock price dates relevant for the regarding transaction for a large dataset, on the basis of the companies' Datastream code.
Thanks a lot for your help!
I have been thinking about this request a fair bit, personally i think this is best tackled from a request table.. rather than through the API
Step 1 - Identify the companies & the M&A date, then use Excel functionality to create two new dates (the start & end date for each instruments time series).
Step 2 - Drop this information into a request table and each request will run from between your imputed start and end dates.
See the images attached for reference.
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I'm not sure I understand the challenge. Perhaps I'm missing something here, but what you're asking for seems trivial to me. When you're requesting timeseries from Datastream Web Service you can specify the time period. There's an example in the tutorial for Datastream Web Services on this portal:
So, if I understand the desired workflow correctly, you read the data from "SDC Mergers&Acquisitions database" (I don't know what that database is, but from my perspective it doesn't matter). This data contains the symbol for the company you're interested in and the deal date. You use this symbol and the 30 day time period preceding the deal date to construct and execute the timeseries request to Datastream Web Service. Where's the challenge?
thanks for your answers. I forgot to update the status of this post, as I already found out how to solve the issue and that this forum is not quite the right spot to post this question.
I have pretty much done it like paul.bacon proposed to do it. Create start and end dates for each company in Stata based on the Acquisition Announcement Date and then splitting the dataset into subsets to make processing a request via the Datastream Excel plug-in possible.
Thanks a lot for your input!