| --- |
| license: apache-2.0 |
| language: |
| - en |
| pretty_name: US Security Master — dated identifiers for SEC filers |
| size_categories: |
| - 1M<n<10M |
| task_categories: |
| - tabular-classification |
| tags: |
| - finance |
| - sec |
| - edgar |
| - security-master |
| - cusip |
| - ticker |
| - point-in-time |
| - survivorship-bias |
| - ziplime |
| configs: |
| - config_name: issuers |
| data_files: |
| - split: train |
| path: "data/issuers/*.parquet" |
| - config_name: identifiers |
| data_files: |
| - split: train |
| path: "data/identifiers/*.parquet" |
| - config_name: cusip_map |
| data_files: |
| - split: train |
| path: "data/cusip_map/*.parquet" |
| - config_name: observations |
| data_files: |
| - split: train |
| path: "data/observations/*.parquet" |
| - config_name: pit |
| data_files: |
| - split: train |
| path: "data/pit/*.parquet" |
| --- |
| |
| # US Security Master |
|
|
| Which company a ticker belonged to, on a date. Which filer a CUSIP points at. |
| What a company used to be called. |
|
|
| **23 553 filers · 144 054 identifier spans · 10 061 784 dated observations · |
| 74 814 CUSIP–ticker pairs · 1960 to 2026** |
|
|
| This is the glue for the rest of the family. Every other ZipLime dataset keys |
| on the SEC's CIK, which never changes — and every price series, broker feed and |
| research note keys on a ticker, which changes all the time. Joining the two |
| with today's mapping is the quiet way to put the wrong company's history into a |
| backtest. |
|
|
| The pipeline lives in [`recipe/`](recipe/) at the same revision as the data. |
| See [PIPELINE.md](PIPELINE.md) for the method and its limits. |
|
|
| ## The problem this exists for |
|
|
| | | | |
| |---|---| |
| | Filers that changed ticker | **6 410** of 23 553 | |
| | Filers that changed name | **11 439** | |
| | Tickers held by more than one company over time | **2 224** of 26 895 | |
|
|
| A ticker is not an identity. `PLUM` can be one company until 2014 and another |
| from 2019, and a strategy that resolves it by today's map reads the second |
| company's fundamentals against the first company's prices for the earlier |
| years. This dataset says which was which, and when. |
|
|
| ```python |
| import polars as pl |
| |
| spans = pl.read_parquet("data/identifiers/*.parquet") |
| |
| def cik_for(ticker: str, on: str) -> str | None: |
| hit = spans.filter( |
| (pl.col("kind") == "ticker") |
| & (pl.col("value") == ticker) |
| & (pl.col("valid_from") <= pl.lit(on).str.to_date()) |
| & (pl.col("valid_to") >= pl.lit(on).str.to_date()) |
| ).sort("observations", descending=True) |
| return hit["cik"][0] if hit.height else None |
| |
| cik_for("FB", "2015-06-30") # Meta, under its old symbol |
| cik_for("META", "2015-06-30") # None — the symbol did not exist yet |
| ``` |
|
|
| ## What a span means, and what it does not |
|
|
| `valid_from` and `valid_to` are the **first and last filing that stated the |
| identifier**, not registry dates. Nobody publishes the day a ticker changed |
| hands. A gap inside a span means nobody filed, not that the identifier lapsed, |
| and `observations` says how much evidence stands behind it. |
|
|
| Two flags answer two different questions: |
|
|
| * `is_latest_for_filer` — the newest value this company gave. Use it to ask |
| *what did this company last call itself*, including companies that stopped |
| filing in 2011. |
| * `is_current` — that, **and** the company still files. Use it to ask *who owns |
| this ticker now*. Defining current without the second condition left 1 218 |
| tickers current for two companies at once; with it, 54 remain, and those are |
| genuine dual filers. |
|
|
| ## The CUSIP bridge |
|
|
| 13F and N-PORT identify a holding by CUSIP. Everything else identifies a |
| company by CIK. No free source maps between them, so this one is built: |
| settlement records tie a CUSIP to a ticker on a date, filings tie a ticker to a |
| filer over a span, and the two compose. |
|
|
| | Match | Rows | Meaning | |
| |---|---|---| |
| | `ticker_and_dates` | 23 074 | the ticker matched and the dates overlap — **high** | |
| | `cusip6_inherited` | 13 105 | another security of the same issuer resolved — **medium** | |
| | `ticker_only` | 4 145 | the ticker matched, the dates do not overlap — **low** | |
| | `name_conflict` | 683 | a fund, and the filer holding its ticker was never called anything like it — **none** | |
| | `unmatched` | 33 807 | no filer found — **none** | |
|
|
| **53.9% of CUSIP-ticker pairs resolve to a filer; 74.8% weighted by how often |
| the CUSIP appears in settlement records, counting only the pairs that are not |
| funds — which is what the build gates on.** Measured against real 13F holdings, |
| the matched set covers **83.1% of holding rows and 87.5% of position |
| value** (82.2% and 86.7% keeping only `high` and `medium`). |
|
|
| Every one of those was higher a release ago — 68.8%, 78.7%, 93.9% and 95.0% — |
| because the issuer-prefix rule was lending fund families a stranger's CIK and a |
| coverage metric counts a wrong filer as a hit. Dropping the wrong matches reads |
| as lost coverage. [PIPELINE.md](PIPELINE.md) has what happened. |
|
|
| Counting raw CUSIPs understates it badly, and the reason is worth knowing: |
| 10 679 of these rows are funds. A fund settles like a share, and most file |
| nothing under a ticker of their own — `IVV`, `IWM` and `VOO` are lines inside a |
| registrant trust's filings, not filers. They carry `looks_like_fund = true` and |
| are excluded from the coverage the build gates on. Some funds *are* their own |
| trust and do file: `SPY`, `GLD`, `DIA` and `MDY` each resolve to the trust that |
| issues them, and 749 fund rows carry a CIK on that basis. A fund that matched a |
| company only by sharing its ticker is refused instead: `MDY` pointed at Midway |
| Gold until the name check was added. |
|
|
| A further 8 527 rows carry a settlement symbol that nobody trades under — |
| clearing placeholders (`XCEMZZZZ`), preferred lines (`BACPRS`), CUSIP fragments. |
| They are real evidence about the instrument and are marked |
| `standard_symbol = false` rather than dropped. |
|
|
| ```python |
| bridge = pl.read_parquet("data/cusip_map/*.parquet") |
| holdings = holdings.join( |
| bridge.filter(pl.col("match_confidence").is_in(["high", "medium"])) |
| .select("cusip", "cik"), |
| on="cusip", how="left", |
| ) # now 13F joins to fundamentals and insider trades on `cik` |
| ``` |
|
|
| ## Configs |
|
|
| | Config | Rows | What one row is | |
| |---|---|---| |
| | `issuers` | 23 553 | one filer: current name, ticker, industry, and how long it has filed | |
| | `identifiers` | 144 054 | one identifier and the span of filings that stated it | |
| | `cusip_map` | 74 814 | one CUSIP, the ticker it settles under, the filer behind it | |
| | `observations` | 10 061 784 | one dated statement — the evidence the spans are built from | |
| | `pit` | 144 054 | one point-in-time identifier event, plus a Delta table for ziplime | |
|
|
| `observations` is published so that anyone who disagrees with how the spans |
| were derived can derive their own. It is the only honest way to ship a |
| judgement. |
|
|
| ## Where the evidence comes from |
|
|
| | Source | Observations | What it gives | |
| |---|---|---| |
| | Form 4 filings, via [ZipLime/insider-trading](https://huggingface.co/datasets/ZipLime/insider-trading) | 8 129 289 | the ticker a company printed on a filing, on that day — the only free source of ticker **history** | |
| | XBRL filings, via [ZipLime/company-fundamentals](https://huggingface.co/datasets/ZipLime/company-fundamentals) | 1 901 363 | names, former names with change dates, industry, incorporation, fiscal year end | |
| | SEC `company_tickers_exchange.json` | 31 132 | today's listings, including companies that never filed a Form 4 | |
| | SEC fails-to-deliver records, 411 archives | 23.5M records | CUSIP to ticker, twice a month since 2004 | |
|
|
| `company_tickers.json` alone is what most projects use, and it is a snapshot: |
| it states today and carries no past, so a company that changed symbol appears |
| under the new one for its entire life. The history here comes from four million |
| filings that each stated a symbol on a known date. |
|
|
| ## Coverage and honest gaps |
|
|
| * **81% of filers have a ticker; 93% of *active* filers do.** The rest are |
| funds, trusts and private filers that never printed one. |
| * **Exchange is sparse** — 8 228 spans. Filers rarely name the venue, and SEC's |
| current map only covers live listings. |
| * **Coverage starts in 1960** only because a filing header stated a name change |
| from then. Ticker evidence effectively begins in 2006 with Form 4, and |
| identifiers before that are not in EDGAR to be found. |
| * **A span is evidence, not a registry.** See above. |
| * **Most fund CUSIPs do not resolve, by construction.** See above. |
| * **54 tickers are current for two filers.** Dual filers and reorganisations |
| mid-transfer; the raw observations let you decide. |
|
|
| ## Provenance and updates |
|
|
| Sources: SEC EDGAR (Form 4 and XBRL filings, both via sibling ZipLime |
| datasets), `company_tickers_exchange.json`, and the fails-to-deliver |
| files — all US Government works in the public domain. |
|
|
| Rebuilt weekly, Monday 07:40 UTC, by a Hugging Face Job |
| ([`jobs/run.py`](jobs/run.py)) that lints, tests, rebuilds, verifies and only |
| then publishes. |
|
|
