Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Figure out unique IDs from CRSP #6

Open
davclark opened this issue Oct 9, 2015 · 1 comment
Open

Figure out unique IDs from CRSP #6

davclark opened this issue Oct 9, 2015 · 1 comment
Assignees

Comments

@davclark
Copy link
Contributor

davclark commented Oct 9, 2015

We should figure out if we can legally distribute those IDs.

@davclark
Copy link
Contributor Author

At this point, a lot of the logic for this is in dlab-finance, but we need to have an architecture for reading in the CRSP data and matching it with the TAQ data as we stream it in. @davclark and @max-eddy should sit down together and work on this, but it'd be great for @max-eddy to take an initial stab. Recommendations:

  • Create a separate file in taq/ for reading / cleaning CRSP data
  • Add functionality that uses that file from raw_taq to add PERMNO to the TAQ data
  • Figure out how to make pandas a soft dependency. As it stands, we could have the above step involve a python dictionary.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

2 participants