How to link across different data products within the Refinitiv (Thomson Reuters) system
Refinitiv (Thomson Reuters) Data Map
Refinitiv (formerly known as Thomson Reuters) is a comprehensive data vendor that carries a wide range of data, including but not limited to pricing, fundamental, and institutional data. In addition, Refinitiv has been actively acquiring outside data products. As a result of these recent aquisitions, Refinitiv can be a relatively complicated database for researchers to maneuver.
The Refinitiv database on WRDS platform carries the following data products:
Datastream: global pricing data
Insiders: insider activity data reported through SEC forms 3, 4, 5, and 144
Institutional Holdings - S34: holdings data collected from SEC form 13f
Lipper Hedge Fund (TASS): fund performance data
Mutual Fund Holdings - S12: mutual fund characteristics, holdings, and performance data
Ownership: global institutional ownership data
Refinitiv ESG: company-level ESG information based on publicly-reported data
SDC: historical M&A and new issues data
Worldscope: global fundamental data
WRDS-Reuters DealScan: global commercial loan data
As each data product provides unique empirical data, the products tend to have different identification systems. For instance, in Datastream's equity pricing data piece, Datastream Code (DsCode) is used as a permanent identifier to track a security, while in WorldScope, the Worldscope Permanent ID (item6105) is used to track down a company. Therefore, to facilitate empirical research, it is crucial to have an accurate and efficient way of mapping across all the data products under the Refinitv umbrella.
Refinitiv provides a suite of "helper" datasets that enable tracking down a security over time and mapping it across various data vendors. The common identifier that links across all different Refinitiv data products is the SecCode. The files are located on WRDS server at: /wrds/tfn/sasddata/common/. Researchers can review the Database Schema for Refinitiv Quantitative Analytics Core Tables for an in-depth description on how to understand these support tables. We will discuss briefly how to use two of the main support tables below.
SecMstrX and GSecMstrX are security master tables for the North American and the Global universe respectively. These tables are structured in a similar manner. In addition, the Refinitiv team also developed a SQL view, vw_securityMasterX, that pre-joins the information from SecMstrX and GSecMstrX.
Similarly, Refinitiv pre-joined the SecMapX and GSecMapX into SQL view vw_securityMappingX for easy access.
For example, the code snippet below shows how to look up all US companies that contain the phrase "APPLE " in their company name string.
Please make sure to select "SAS" in the kernel list when trying to run the code in Jupyter Notebook environment.