Data Services API Monthly Returns Available?


Is it possible to obtain monthly returns for systems via the Data Services API? I am using four factor regressions to analyze the performance of the systems. In the past I pulled them manually (copy and paste into excel) but this is very time consuming.

Also, I noticed that some systems have monthly return data even though the last trade executed was years ago. For example, system #13239664 has return data up to 2009 but the last trade was closed on 10/31/05. I assume they have trades open after they discontinued their system or your method of calculating returns accounts for other factors (I did read the other threads related to monthly returns). I can easily filter these returns but it might be a good idea (if possible) to stop the calculation of returns when systems are no longer supported. I am doing academic empirical research so I know this is not a priority for most of your clients. Just a thought.

Finally, is there any other format for the data API? XML is great but CSV or other formats would be nice (I know I am asking for too much!) I currently use SAS for my research and it doesn’t like XML all that much.

Best regards,



If you go to the new C2 site and click on a system, where the trades show, you can click for more history. The entire trade history shows up and button to download a .csv file of the trades appears. Very easy to work with.

Thanks for the reply Keith. I am looking for automated ways to get the data because I am analyzing the performance of all of the systems on here and there are thousands of them. I can do automated batch jobs to download the majority of the information I need via the API. I haven’t figured out a way to automate the monthly return retrieval nor does the API permit .csv downloading, it is in .xml format. I believe with the .csv files you mention I would have to access each system, one at a time.

Hi, Boris:

We don’t currently make the monthly return data available through the Data Services API, but I will add that shortly.

Thank you for the quick reply Matthew. Thanks for everything!