European data now available on beta site

We have launched https://beta.portfolio123.com/, which features European data.

There you’ll find new universes to choose from in addition to those available on this site:

  • Europe (incl. Foreign Primary): this includes all European stocks as well as stocks from outside Europe that are available to trade in Europe;
  • Europe (Primary): only stocks whose primary listing is in Europe; and
  • North Atlantic (Primary): a combination of Europe (Primary) and North America (Primary).

So you can now test your strategies, screens, and ranking systems either on Europe alone or on a combined universe of North American and European stocks.

There is no additional charge to use this beta site, but once we have finalized the release, there will be an additional charge to access European data. In the meantime, please have reasonable expectations. There may be issues. If so, please call them to our attention.

A few random notes:

  • In our experience, reasonably robust ranking systems, screens, and simulations perform very well in Europe.
  • The only benchmark for European stocks available at the moment is MSCI Europe (IMEU:NLD). You can find it by switching your currency to Euros. We plan to add many more.
  • There are some factors and functions for which we do not currently have European data. Short interest, institutional factors, and bid-ask spread come to mind.
  • About half of European stocks report semiannually: for those companies, data from the income or cash-flow statements for even-numbered quarters cover the sum of the last six months instead of the last three, and odd-numbered quarters (including ___PQ) are N/A. We have not yet loaded semiannual estimates, but that will be done shortly. To find out if a company reports quarterly or semiannually, use InterimMonths(0). If it equals 3, then it reports quarterly; if it equals 6, it reports semiannually. We will be introducing factors to make this easier to work with.
  • Manage tools are not sticky for the beta site. If you enter transactions into an account they will not propagate correctly in Production.
  • Changes to existing systems and the creation of new systems in beta will not be retained.
  • Some of the universes on Production have been renamed.
  • The names of North American companies on beta are slightly different than those on Production in terms of punctuation. (For example, “Apple Inc” in Production is “Apple, Inc.” in beta.) When we switched from Compustat to FactSet, we retained the old formatting, but beta does not use that formatting.

We hope you enjoy experimenting on the beta site and very much look forward to hearing your thoughts.

Do you know anything about the price for “the additional charge to access European data”?

Few things:

  1. The UK has a 0.5% stamp duty on almost every stock. Should probably warn people about that to avoid tears later.

  2. Does everything get converted back to USD as of last night exchange rate? For example, if I use mediandailytot(65) > 500000 on a European universe, does that refer to US$500k or 500k of the local currency? EDIT: assuming it is whatever the “currency” is at the top of screen? or does it just on whatever was set in the universe?

  3. You should make it easier to screen for certain exchanges ie. typing ExchangeCode(1058, 1012) = True is easier than ExchangeCode = 1058 or ExchangeCode = 1012. Everyone will have to do this once they realize their broker doesn’t have access to all the exchanges. You might even want to make a short list for the exchanges IBKR has. See here for a list: https://investors.interactivebrokers.com/en/index.php?f=1562&p=europe

Here is the listings for IBKR: exchangecode = 1058 or exchangecode = 1012 or exchangecode = 1054 or exchangecode = 1043 or exchangecode = 1052 or exchangecode = 1021 or exchangecode = 1014 or exchangecode = 1038 or exchangecode = 1047 or exchangecode = 1030 or exchangecode = 1005 or exchangecode = 1042 or exchangecode = 1057 or exchangecode = 1029 or exchangecode = 1033 or exchangecode = 1041 or exchangecode = 1053

  1. How do I get the API to work with the European data? Getting URL error.

That’s right. And I believe Ireland has a 1% stamp duty.

It depends on the currency you choose. Everything is in the currency indicated. If you use the mediandailytot rule in a European universe and you’re using USD as your currency, it’s 500,000 USD; if you’re using Euros, it’s 500,000 Euros; and so on.

This is not quite correct. If you screen out certain exchanges, you’ll be screening out stocks that you could easily buy on a different exchange. The exchange code refers to the primary listing of each company, but a huge number of European companies are listed in more than one exchange. You can see these on the Issues tab for each stock. It’s not currently possible to screen out stocks that trade only in a certain exchange.

You can’t. Yet.

At the moment (though this could change), we’re thinking along these lines: adding a second region will probably add about 35% to 50% to your current subscription, but you could also subscribe only to Europe for the same price that you’re paying now (and then you wouldn’t have access to North American data).

The secondary exchange volume will be negligible in 95% of stocks, you’ll end up with simulation from fantasy land.

This looks very promising and very usable so far.

A couple things that would help:

  1. For Strategy results, under the Transactions / Realized tab, is it possible to add Exchange as an option to the Aggregate dropdown so that performance by country can easily be viewed?
  2. Minimum and maximum per order notional commissions are pretty common in Europe. Would be a nice-to-have option for more accurate fee modeling. The aforementioned per-country transaction taxes would also be nice to account for.

Also, what are the “Easy to Trade” universes? They look unpopulated thus far.

I believe that many of us outside of the United States do not need access to the entire region. I see no reason to trade stocks in other European countries more then stocks in the US. I, am exclusively interested in Norway. Is there any way to only add one country?

These universes are indeed populated.
The rules for them can be seen here:
https://beta.portfolio123.com/app/opener/UNIV?cat=36902
We are planning to make the Easy to Trade US universe the default universe for screens and ranking systems for North American subscribers and the Easy to Trade Europe universe the default for Europe-only subscribers.

This is not in our plans at the moment.

Any ETA on the API for the beta?

Thank you!

So far it’s been encouraging to see how my US/Canadian-built models works very well in Europe - I guess the underlying market anomalies really are universal. Always great to have more data to work with.

That may be true, but the 5% might include some rather important companies. Novo Nordisk, for instance, wouldn’t show up if you limited your search to the exchanges listed since its primary exchange is 1017, but you could easily buy it on exchange 1021. (Does IBKR not support stocks in the LSE, Exchange Code 1003? Novo Nordisk is especially easy to trade there.)

But more to the point, I neglected to address your main concern, which is to make it easier to simulate what IBKR offers. I apologize. The solution is to use InSet. The code would be InSet(ExchangeCode, 1058, 1012, 1054, 1043, 1052, 1021, 1014, 1038, 1047, 1030, 1005, 1042, 1057, 1029, 1033, 1041, 1053)

What is the difference between filtering by ExchangeCode and by Country(“ABC,…”)?

Many companies in smaller countries choose to have their stocks exchanged in a larger country. For example, L’Occitane international, a huge organic cosmetics company, has its home in Luxembourg but is listed on the Frankfort exchange rather than on the Luxembourg one. A large number of Israeli tech companies are listed on the NASDAQ rather than on the Tel Aviv Stock Exchange. And so on.

There are a number of reasons why it’s very unlikely that we’ll grant users access to European data via the API before we launch Europe in production.

Awesome. Thank you.

Can you enable hedging indices in the same universes as the investment universe so we can isolate the potential alpha? Thank you.

I can’t get any decent returns for sims using European data.
Can P123 please provide an example which shows that European stocks may be preferable to USA stocks.

There should bee around 240 stocks on Oslo Exchange in 2000, but I can only find 85. Why? https://www.researchgate.net/figure/The-Oslo-...le-shows-the_tbl1_4997366 (Im using “Country(“NOR”)” in the beta version, under screen backtest.)