FirstRate Data - Data Quality
At FirstRate Data, our two biggest priorities are data quality and customer service.
As our business has grown since our 2017 founding so has our emphasis on data quality and we are committed to providing institutional-grade data at an affordable price. Our historical data is now relied on by numerous institutions including hedge funds, government institutions (National Bureau of Economic Research, Boston Federal Reserve, Chicago Federal Reserve), and multiple major academic institutions (Cambridge University, NYU, Stanford University). See the Featured Academic Research below
From June 2023, our team now includes two dedicated data specialists who focus solely on maintaining and improving the quality of our datasets.
Our Data Testing Process
We update all datasets at the end of each trading day. As part of our update process, all data is screened by our test-suite for gaps, duplicates, truncated data, and data anomolies (such as spikes, bad prices etc).
If an issue is flagged we firstly rerun the data collection and assembly process for the relevant ticker as most data issues as the result of either networking or data connectivity issues. Any unresolved issues are then flagged for manual follow-up and resolution (typically these issues are due to either an error in the exchange's feed or incorrect meta-data such as a misreported dividend).
Common Data Issues
Gaps - by far the most common support requests we get are for gaps in the trading sequence. Note that we do not include zero volume bars in the data so when there is no trading there will be a gap in the sequence. Such gaps are a normal feature of financial data and reflect low liquidity (which is actually very common in small-cap tickers, or during periods of low trading volume such as pre/post market hours trading inequities). We have even seen gaps reported for market circuit-breakers such as in March 2020 when trading was paused on several occasions for 15-minutes.
Stock Splits / Dividends - our biggest challenge internally is testing and cleaning equity splits and dividends. Splits and dividends are an essential input into our stock and ETF offering as most customers use the splits/dividend adjusted data. Unfortunately, the dissemination of splits and dividends is not as formalized as that of trading data published by the exchanges. Most third-party feeds which aggregate splits and dividends have misreporting issues such as incorrect ex-div dates or an incorrect split denominator, especially for very small-cap tickers.
From August 2023 we launched an internal program to source splits and dividends directly from SEC filings.
We hope this gives an overview of our data. We provide samples on each product page for review, there are also some extended samples on our free data page.
If you have any questions or would like to learn more, please reach out to us at firstname.lastname@example.org .
Featured Academic Research
We are happy to feature academic research using FirstRate Data for the core analysis dataset:
Institution : Stanford University
Uncertainty in the Hot Hand Fallacy:Detecting Streaky Alternatives to Random Bernoulli Sequences
FirstRate Data dataset used : Index Bundle
Institution : National Bureau of Economic Research, New York University
What Explains the Covid-19 Stock Market
FirstRate Data dataset used : Stocks+ETF Bundle
Institution : Cambridge University
Incorporating Stock Market Signals for Twitter Stance Detection
FirstRate Data dataset used : Index Complete
Institution : University of Michigan
The reaction of the financial market to the January 6 United States Capitol attack: An intraday study
FirstRate Data dataset used : Stocks+ETF Bundle , Futures Bundle
Institution : London School of Economics , University College London
Causal coupling between European and UK markets triggered by announcements of monetary policy decisions
FirstRate Data dataset used : Index Bundle , Futures Bundle