Category Archives: Data

Use Python to download data from the DTCC’s Swap Data Repository

I helped my friend to download data from the DTCC’s Swap Data Repository. I am not familiar with the data and just use this as a programming practice. This article gives an introduction to the origin of the data: http://www.dtcc.com/news/2013/january/03/swap-data-repository-real-time The … Continue reading

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Download FR Y-9C data from WRDS

WRDS currently populates FR Y-9C data quarter by quarter in individual datasets, like BHCF200803, BHCF200806, BHCF200809 and so on. WRDS has not stacked those individual datasets to formulate a single time-series dataset like COMPUSTAT. There are two ways to overcome … Continue reading

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Use Python to download TXT-format SEC filings on EDGAR (Part II)

As I said in the post entitled “Part I“, we have to do two steps in order to download SEC filings on EDGAR: Find paths to raw text filings; Select what we want and bulk download from the EDGAR FTP server using … Continue reading

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EDGAR index files in Stata dataset (from 1993 Q1 to March 2, 2017)

SEC makes all EDGAR filings publicly available. We can download all 10-Ks, 10-Qs, 8-Ks filed since 1993. However, SEC makes this far away from just a few mouse clicks (in order to reduce the server load and avoid the possible abuse … Continue reading

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Link RSSD and PERMCO

If you are working on bank holding company data, such as FR-Y9C, you may need to link the unique identifier (RSSD) in the data to the unique identifier (PERMCO) in CRSP. Federal Reserve Bank of New York provides such a … Continue reading

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Use Python to download TXT-format SEC filings on EDGAR (Part I)

We know that SEC makes company filings (e.g.,10-Ks, 10-Qs and 8-Ks) publicly available on EDGAR. The web search interface is convenient, but we may need to bulk download raw text filings. SEC provides an anonymous EDGAR FTP server to access raw text filings (Update on … Continue reading

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