| --- |
| pretty_name: Stocks Daily Market Cap |
| language: |
| - en |
| license: other |
| task_categories: |
| - time-series-forecasting |
| - tabular-regression |
| tags: |
| - finance |
| - quantitative-trading |
| - backtesting |
| - algorithmic-trading |
| - stocks |
| - equities |
| - daily |
| - market-cap |
| - size |
| - point-in-time |
| size_categories: |
| - 10M<n<100M |
| extra_gated_prompt: "This dataset is free to browse and gated for download. Approval is tied to a Papers With Backtest subscription, which also covers the other datasets in this organisation and the strategy catalogue at https://paperswithbacktest.com. Plans and what each one includes: https://paperswithbacktest.com/pricing" |
| --- |
| |
| # Stocks Daily Market Cap |
|
|
| The market capitalisation of every US-listed name on every trading day since 2010: the split-adjusted close times the basic shares outstanding of the latest quarterly filing public on that day. |
|
|
| <!-- MEASURED:START - rewritten by dataset_cards/refresh.py --> |
| |
| Shape measured at the next refresh of `dataset_cards/facts.json`. Refreshed monthly. |
|
|
| <!-- MEASURED:END --> |
|
|
| ## Why It Matters |
|
|
| Size is the first sort of the cross-section and the weight of every value-weighted portfolio, and the catalogue carried it only inside `Stocks-Weekly-ShortOverShorted`: weekly, frozen at 2026-05-29, and broken by reverse splits, where a handful of micro-caps above 1 000 bn USD absorb a value-weighted book. Here the two factors are on the same share basis and the share count is point-in-time. |
|
|
| - **Point-in-time by construction:** the share count used on a day is the one of the last filing dated on or before it, from the merged `Stocks-Quarterly-IncomeStatement` (its `filing_date` and XBRL share count); a count older than 400 days is not carried forward, so a filer that stopped filing stops having a capitalisation and a recycled ticker does not inherit one. |
| - **No split factor:** the price feed is back-adjusted for splits and the filing feed restates past share counts to today's basis (checked on Apple's 2014 and 2020 splits), so the product is the capitalisation as of that day. |
| - **Weighted-average shares:** the count is the quarter's basic weighted average, not the period-end figure; the two differ by the buybacks and issuance of one quarter. |
|
|
| Share classes are joined by name (the filing feed writes `BRK.B`, the price repository carries both `BRK-B` and `BRK.B`) and tied by `cik`. A filer reports one count, in the units of its most numerous class, so `market_cap` is the company's capitalisation: the smallest close-times-count across its classes that day, attached to every class. Only common stock, ADRs and ordinary shares by the instrument reference; warrants, units, rights and preferreds are left out on both sides. Three sanity rules on the count, measured against the previous weekly series on 2026-05-29 (3 860 common symbols, median ratio 0.998, 85 % within 10 %, 92 % within 25 %): a count under 100 000 shares, a filing whose count disagrees by more than eight times with the period-end count of `Stocks-Quarterly-BalanceSheet` for every class of the filer, and a count more than eight times away from the filer's own rolling median are dropped as mis-scaled rows; the day then takes the previous valid filing, within 400 days. |
|
|
| ## Load It |
|
|
| ```bash |
| pip install --upgrade pwb-toolbox |
| ``` |
|
|
| ```python |
| from pwb_toolbox import datasets as pwb_ds |
| |
| df = pwb_ds.load_dataset("Stocks-Daily-MarketCap", symbols=["AAPL"]) |
| print(df.iloc[-1, :]) |
| ``` |
|
|
| ## Columns |
|
|
| | Column Name | Description | |
| | :--- | :--- | |
| | **symbol** | Stock ticker, as in `Stocks-Daily-Price`. | |
| | **date** | Trading day. | |
| | **cik** | Filer's SEC Central Index Key; share classes of one company share it. | |
| | **close** | Split-adjusted close of the day, from `Stocks-Daily-Price`. | |
| | **shares_outstanding** | Basic weighted-average shares of the latest filing public on that day, on today's share basis. | |
| | **market_cap** | The company's capitalisation that day, in USD: the smallest `close` times `shares_outstanding` across its share classes. | |
| | **shares_period_end** | Fiscal period end of the filing the count comes from. | |
| | **shares_filing_date** | Day that filing reached EDGAR. | |
|
|
| ## Access |
|
|
| Browsing the card and the schema is open to anyone. Downloading the files needs an approved request, tied to a subscription: [what each plan includes](https://paperswithbacktest.com/pricing). The same subscription covers every dataset in this organisation and the strategy catalogue. |
|
|
| ## Elsewhere |
|
|
| - [The strategy catalogue](https://paperswithbacktest.com/strategies) |
| - [`pwb-toolbox`](https://github.com/paperswithbacktest/pwb-toolbox), the loader used in the snippet above |
| - [Every dataset in this organisation](https://huggingface.co/datasets/paperswithbacktest) |
|
|
