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.

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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.

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