Security master

Info

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The security master provides point-in-time (PIT) static information on securities across international markets for 860,000+ listed and delisted securities. This provides a means for resolving securities attributes, identification, symbology and informational challenges efficiently. Some common use cases for the security master include research, backtesting, compliance and report generation, risk management, and keeping portfolios current.

• History. From to 2005-01-01 to present.
• Coverage. Global.
• Update frequency. Once per week.
• Listing level. All records are maintained at the listing level, which means each individual listing for a security has its own set of records.
• Delisting and relisting. The system continues to track securities even after they have been delisted. This is crucial because securities are occasionally relisted, so maintaining a continuous record prevents gaps in the time series thus avoiding ambiguity.

See also

Security master field descriptions for further details.

Securities and listings

A security is a fungible, tradable financial asset listed on regulated exchanges. Each security has a primary exchange listing and may be listed on multiple secondary exchanges. The security master utilizes a security_id to associate these various listings.

Each public listing is identified by a unique listing_id that links together a series of point-in-time (PIT) records. The records are ordered by the ts_effective timestamp, which is when the information was valid from.

A listing_group_id groups all listings for the same security on a specific exchange, including secondary listings such as those in different trading currencies.

Security types

The top ten security types covered are listed in descending order based on their frequency of occurrence:

See the SECTYPE enum lookup table for possible values.

Exchange coverage

The security master has coverage across 220+ exchanges worldwide.

• primary_exchange field specifies the primary exchange for the security.
• exchange field specifies the exchange for the listing and can be filtered by specifying a dataset.
• operating_mic field specifies the ISO 10383 MIC of the listing exchange.

See the EXCHANGE enum lookup table for possible values.

Tip

The operating_mic field will match the venue from the listed publishers and the Definition schema exchange field, which is an ISO 10383 Market Identifier Code (MIC).

Listing continuity

The listing_id and security_id have continuity with changes to the underlying security in the following scenarios:

• Name changes. Issuer name changes which result in a ticker symbol change (e.g. Facebook: FB -> Meta Platforms: META).
• Mergers. Either where the company operates under a new name, or one of the original company names.
• Demergers. Either where the companies operate under new names, or one keeps the original company name.

The listing_id and security_id do NOT have continuity in the following scenarios:

• Spin-offs. When the parent company continues operating, the spun-off companies become new listings.
• Delistings. When the security is never relisted.

Enriching the definition schema

The security master data can be used to enrich instrument definitions by merging two pandas dataframes by an inner join, using the definition schema 'symbol' field and the security master 'symbol' field (where stype_in is raw_symbol).

df_combined = pd.merge(
    df_definition,
    df_security_master,
    left_on="symbol",
    right_on="symbol",
    how="inner",
)

This assumes Nasdaq Integrated Platform Suffix is used for the definition schema instrument (such as those obtained from the XNAS.ITCH dataset), otherwise joining on the definitions raw_symbol may be necessary.

See also

Enriching instrument definitions tutorial.