Universe

A dataset providing the composition of the US stock market. Used to identify stocks traded in the market during a specific period.

Example code

from finter.data import ContentFactory

cf = ContentFactory("us_stock", 20200101, 20200201)
df = cf.get_df("constituent")

Metadata

Valid From
Delivery Schedule
Time Zone
Data Frequency

1998-04-01

1d

Item List

  • constituent: A binary dataset indicating whether a stock is part of the market composition on a given date.

Dataset structure:

  • Columns: gvkeyiid (Unique stock identifier)

  • Values:

    • 1: Included in the market composition on the given date

    • 0: Not included in the market composition on the given date

Data generation process:

  • Selects the top 30% of stocks based on market capitalization

  • Includes only stocks listed on NYSE and NASDAQ

  • Incorporates delisting history to ensure validity

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