Essays on financial data engineering — SEC filings, screeners, and the database problems behind market metrics.https://ptole.my/https://ptole.my/blog/a-company-is-not-a-stock/https://ptole.my/blog/a-company-is-not-a-stock/A stock screener needs separate identities for issuers, securities, listings, and quotes. Here is the data model and Python resolver that prevent silent double counting.Thu, 26 Sep 2019 00:00:00 GMThttps://ptole.my/blog/a-stock-ranking-is-a-database-transaction/https://ptole.my/blog/a-stock-ranking-is-a-database-transaction/Why a stock ranking algorithm needs snapshot isolation, deterministic arithmetic, and atomic publication to produce reproducible results.Thu, 19 Dec 2019 00:00:00 GMThttps://ptole.my/blog/a-stock-screener-is-a-database-problem/https://ptole.my/blog/a-stock-screener-is-a-database-problem/Build a fast stock screener with columnar arrays, vectorized Python, packed bitmap indexes, partial sorting, immutable snapshots, and reproducible latency benchmarks.Thu, 24 Jan 2019 00:00:00 GMThttps://ptole.my/blog/adjusted-prices-rewrite-history/https://ptole.my/blog/adjusted-prices-rewrite-history/Adjusted close prices are derived data. Build an immutable corporate-action ledger, exact split factors, point-in-time adjustment views, and reproducible total-return series.Thu, 25 Jul 2019 00:00:00 GMThttps://ptole.my/blog/dcf-numerical-stability/https://ptole.my/blog/dcf-numerical-stability/A production DCF model must quantify terminal value sensitivity, tie growth to reinvestment, and refuse unstable fair-value rankings.Thu, 23 Jan 2020 00:00:00 GMThttps://ptole.my/blog/enterprise-value-is-easy-until-you-read-the-filing/https://ptole.my/blog/enterprise-value-is-easy-until-you-read-the-filing/A point-in-time enterprise value implementation for stock screeners, including debt, cash, diluted shares, ASC 842 lease liabilities, SEC filing lag, and Python validation rules.Thu, 21 Mar 2019 00:00:00 GMThttps://ptole.my/blog/financial-ratios-need-a-type-system/https://ptole.my/blog/financial-ratios-need-a-type-system/Most stock screeners store financial values as floats. A production ratio engine needs units, periods, currencies, scopes, capital bases, and formula contracts.Thu, 21 Nov 2019 00:00:00 GMThttps://ptole.my/blog/financial-statements-have-versions/https://ptole.my/blog/financial-statements-have-versions/A point-in-time fundamental database needs immutable filings, publication timestamps, and queries that reconstruct what was knowable on a given date.Thu, 23 May 2019 00:00:00 GMThttps://ptole.my/blog/market-cap-fully-diluted-shares-sec-filings/https://ptole.my/blog/market-cap-fully-diluted-shares-sec-filings/Calculate fully diluted market capitalization from SEC filings using options, RSUs, warrants, multiple share classes, and the treasury stock method.Thu, 25 Apr 2019 00:00:00 GMThttps://ptole.my/blog/revenue-is-not-a-number/https://ptole.my/blog/revenue-is-not-a-number/A filing-aware method for calculating discrete quarterly revenue and trailing twelve months revenue from SEC XBRL facts, including fiscal calendars, concept drift, amendments, and restatements.Thu, 21 Feb 2019 00:00:00 GMThttps://ptole.my/blog/the-filing-date-is-part-of-the-number/https://ptole.my/blog/the-filing-date-is-part-of-the-number/Financial data needs two clocks: the period it describes and the moment it became knowable. A point-in-time schema prevents restatements and filing latency from leaking into stock screens and backtests.Thu, 27 Jun 2019 00:00:00 GMThttps://ptole.my/blog/the-sp-500-is-a-time-series/https://ptole.my/blog/the-sp-500-is-a-time-series/Historical S&P 500 constituents are a bitemporal event stream. Build point-in-time index membership without survivorship or look-ahead bias.Thu, 24 Oct 2019 00:00:00 GMThttps://ptole.my/blog/ticker-symbols-have-expiration-dates/https://ptole.my/blog/ticker-symbols-have-expiration-dates/Ticker symbols are time-bounded venue assignments. Build a point-in-time security master that prevents symbol reuse, share-class changes, and corporate actions from corrupting a stock screener.Thu, 29 Aug 2019 00:00:00 GMThttps://ptole.my/blog/your-backtest-is-cheating/https://ptole.my/blog/your-backtest-is-cheating/A practical design for building stock screeners and backtests that remain correct during splits, dividends, index changes, delistings, and market crashes.Wed, 26 Dec 2018 00:00:00 GMT