Historical market information includes price histories for different instruments. Updates to these tables typically occur once at the end of a trading day. Queries against these tables support the comparison of price histories over time.
Script name |
Historical market query description |
|---|---|
hist_qry1.sql |
Get the closing price of a set of 10 stocks for a 10-year period and group into weekly, monthly, and yearly aggregates. For each aggregate period determine the low, high, and average closing price value. The output is sorted by id (INSTRUMENT_ID) and trade date. |
hist_qry2.sql |
Adjust all prices and volumes (prices are multiplied by the split factor and volumes are divided by the split factor) for a set of 1000 stocks to reflect the split events during a specified 300 day period, assuming that events occur before the first trade of the split date. These are called split-adjusted prices and volumes. |
hist_qry3.sql |
For each stock in a specified list of 1000 stocks, find the differences between the daily high and daily low on the day of each split event during a specified period. |
hist_qry4.sql |
Calculate the value of the S&P 500 and Russell 2000 index for a specified day using unadjusted prices and the index composition of the two indexes on the specified day. |
hist_qry5.sql |
Find the 21-day and 5-day moving average price for a specified list of 1000 stocks during a 6-month period. (Use split adjusted prices). |
hist_qry6.sql |
(Based on the previous query) Find the points (specific days) when the 5-day moving average intersects the 21-day moving average for these stocks. The output is sorted by id (INSTRUMENT_ID) and date. |
hist_qry7.sql |
Determine the value of $100,000 now if 1 year ago it was invested equally in 10 specified stocks (That is, allocation for each stock is $10,000). The trading strategy is: When the 20-day moving average crosses over the 5-month moving average the complete allocation for that stock is invested and when the 20-day moving average crosses below the 5-month moving average the entire position is sold. The trades happen on the closing price of the trading day. |
hist_qry8.sql |
Find the pair-wise coefficients of correlation in a set of 10 securities for a two year period. Sort the securities by the coefficient of correlation, indicating the pair of securities corresponding to that row. |
hist_qry9.sql |
Determine the yearly dividends and annual yield (dividends/average closing price) for the past 3 years for all the stocks in the Russell 2000 index that did not split during that period. Use unadjusted prices since there were no splits to adjust for. |
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