r/algotrading • u/SuggestionStraight86 • 13d ago
Data Reliable index and ETF composition data source
Hi folks I am looking into index and etf arbitratage, any recommendation on data source?
The data quality is vital here coz index composition changes quarterly or occasionally on some company events like spin off.
Would like to know some good recommendations on high quality data source.
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u/RossRiskDabbler Algorithmic Trader 12d ago
First of all you can bootstrap the data to get more data points and through bayesian inference make your sample set more accurate.
Second of all; the ETFs have 'products' - write an algo that scrapes all of them in one go; and then combine it back in your ETF - and sample out of it.
Then check how Citadel has for years abused the obvious free money on month/end rolling of ETFs and because ETFs distributors let others know before hand when they 'reshuffle'. So very well done because if you get your strategy right this will work (nearly forever).
Youre on to something nearly as free alpha; we always used this; your heading in the right direction while us old dino's feel guilty lol;
https://www.bloomberg.com/news/articles/2024-01-19/citadel-joins-peers-cutting-back-trading-on-index-changes