Dealing with Delisted Stocks / Index Re-Constituions

This refers more to AFL than data, so I'll ask here.
I'm scratching my head about how the reconstitution of an index, here the RUS1000 with NORGATE data, would affect real-time results. I was hoping to hear from someone using the data longer than myself to get some advice.

Here is the scenario:
image

at the grey vertical line, NIKE becomes an index member of the Russell1000. Almost instantly, I get a buy signal a few days later, the code ranks the stocks based on some momentum definition. So far ok.
However, if this new data was only made available at the green vertical line and just thrown "inside the watchlist" a long time after the actual event, it would obviously cause a change in the trade sequence, the "REAL-TIME" portfolio would have different positions as in the backtested version due to the new data added. I hope the question is clear.

What would/could anyone do to address the problem?

  1. Run 2 instances of AB, one with the data plugin enabled / quotes updated, the other one "static"?
  2. Track list of trades via file output?

all the ideas seem to "workaround" only, yet it's not a perfect solution.

Thanks.

If you're using Norgate NDU (which was recently moved from Beta to Commercial Release), then Norgate provides functions that will allow you to determine the bars on which a symbol was a member of a particular index. My experience has been that in "real time", Norgate is very quick to update both it's "current" watch list, e.g. Russell 1000, and its "historical" watchlist, e.g. Russell 1000 Current & Past, usually on the same day as the index membership changes.

@NorgateData has a presence here on the forum as well, so if this doesn't address your question they may be able to help as well.

Hi, thanks for the info.
If you're not using cell phone, the screenshot I included can be enlarged by "open picture in new tab"
So yes, this is norgate NDU, the turquoise line below the EQ-curve is the ISINDEXCONSTITUENT line.

FTSE Russell Re-Constituion
Their website shows:
May 11 – “rank day” – Russell US Index membership eligibility for 2018 reconstitution determined from constituent market capitalization at market close.
June 8 – preliminary US index add & delete lists posted to the FTSE Russell website after 6:00 PM US eastern time.
June 15 & 22 – updated US index add & delete lists posted to the FTSE Russell website after 6:00 PM US eastern time.
June 22 – reconstitution is final after equity markets close.
June 25 – equity markets open with newly reconstituted Russell US Indexes.

I did send a request to Norgate, let's see how it goes. I'll be monitoring the June 22 date to see how it would affect the data integrity.

Sorry, I didn't realize that the turquoise line was the Norgate Index Constituent line. In your original post you said:

However, if this new data was only made available at the green vertical line and just thrown "inside the watchlist" a long time after the actual event

Do you have evidence of this actually happening or are you just concerned about the repercussions if it DID happen? While anything is possible, I have never had this issue with Norgate's data, and I've been using it for about five years.

I'm just drawing scenarios in my mind to avoid disappointment because I can't assess how norgate handles re-constituions. I wanted to buy their data a long time ago but then they stopped selling it due to NDU development for over 1 year.
So, no, this never happened.

I got an answer from Norgate with regards to this:

They said they would deal with the reconstitution the 25th of June, it would be reflected 1-2days after. I will monitor it closely this year and watch what happens.

My experience has been that they respond very quickly not only to index reconstitutions, but also symbol delistings, ticker changes, and corporate events (splits, dividends, etc.). Will be interested to hear if you find otherwise in a couple of weeks.