DTCC failure-to-deliver data

I spent most of Friday organizing DTCC failure-to-deliver data for equities. I had been putting it off, because the DTCC had divided the data up into 35 disorganized zip files, and I knew putting it together into something useful was going to be a pain.

You try downloading the data from the SEC website and putting it in a graph like the one below, and see how long it takes you.




Source of data: http://www.sec.gov/foia/docs/failsdata-archive.htm


The reason I spent so much time doing this is to show the highlight the big drop in stock FTDs beginning in August 2008. Coincidentally, the DTCC set up a European subsidiary (EuroCCP) which went into operation in August 2008. Also coincidentally, August 2008 is when the dollar rally started. More on this over the weekend.

This entry was posted in Background_Info, Financial_Wizardry, Wall_Street_Meltdown. Bookmark the permalink.

2 Responses to DTCC failure-to-deliver data

  1. dashxdr says:

    Can you program perl scripts? This sounds like a perfect use for perl.

  2. Eric deCarbonnel says:

    I used autohotkey to do it, but it was still a pain. Took me a day to write scripts and use them.

Leave a Reply

Your email address will not be published. Required fields are marked *

*

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <strike> <strong>