Reference Data.

One record per instrument

Every series in the store belongs to an instrument record: its name, asset class, currency, tick and contract size, sector and trading calendar. Research, validation and the trader all read the same record.

• Created on arrival Runs

  When a name joins a universe, its record is created from the source's own details, such as the exchange's tick size for a crypto pair, and it is subscribed to prices. No one adds it by hand.

• Futures specifications Runs, with limits

  All 9,396 futures instruments carry their currency, tick size, contract size, price multiplier and calendar, 9,313 of them under 47 roots. 8,545 carry an expiry, for most of them the roll schedule's last trading day, which the schedule holds for each of its 8,564 contracts. First notice dates are not yet taken from the exchanges: 2,720 contracts carry a placeholder or an approximation, which nothing should use.

• Every change logged Runs, with limits

  A change to an instrument's fields is logged with the old value, the new value and the date. The log is noisy: it holds 392,782 name changes for 18,329 instruments, far more than real renames, so it is not yet a clean history of what changed.

• Listing identity In progress

  A Yahoo symbol does not say which exchange it trades on. Symbols are matched to their exchange and calendar using fund holdings files, which carry each security's ISIN, and Yahoo's own metadata. Each batch is reviewed before it is applied. 28,398 of 28,686 datasets now declare a calendar.

What can be tradedExecution today is through one broker, IG, on a demo account. The equities and crypto on this page are research data.

Who was in the index on the day

An equity backtest that uses today's index members has already picked the winners, because the companies that fell out are missing. Nexus records each membership as a dated range, so the history of who was in a universe is kept from the day its record began. Reading it back by date is not finished; the daily lists can be read whole.

• Dated ranges. A membership opens on the day a name is first seen in the list and closes on the day it is gone. A name that returns gets a new range.
• Every accepted list kept. Each day's accepted list is stored as an unchanged snapshot, every day since 5 June 2026, so a range can be traced to the lists behind it. A list the guard refuses is not stored.
• Refreshed daily. The job runs at 02:00 UTC. An empty list is refused, and so is a list more than a tenth shorter than a membership of 100 or more. A refused list leaves the membership as it was.
• Read as of a date, with limits. The ranges keep names that have left, but the data API's as-of and range reads return only open memberships, so a past universe read through the API is missing its leavers. Research can ask for dated membership; by default it uses today's members.

For your firmMembership from before April 2026 has to come from an index provider or a data vendor. It loads into the same dated ranges as the history recorded since then.

Dividends and splits, kept beside the price

A split cuts the price overnight and a dividend lowers it on the ex-date. Neither is a move a strategy could have traded. Nexus stores the events beside the prices and applies the dividends when a series is read. Splits are not applied on read, which leaves a gap, set out in step 3.

1. 1

   Capture

   Every day, for every daily Yahoo ticker

   Dividends and splits are fetched once a day for every active instrument with a daily Yahoo subscription, and stored with their ex-date and amount. A stored event is never overwritten: the first value is kept.

   Runs

   145,858 dividends and 6,633 splits for 3,602 tickers, with ex-dates from 1962 to 21 October 2026. The latest were stored at 02:26 UTC on 22 October.

2. 2

   Unknown is not none

   A refused request is recorded as refused

   Since August 2026 the vendor has refused deep history for some thin instruments, mostly warrants and rights. An empty answer to a refused request used to look like a stock that had never paid a dividend. Now the refusal is recorded in the job's log, and refused tickers are asked again in rotation.

   Runs, with limits

   The data API does not yet mark a refused ticker, so an empty answer there does not mean none.

3. 3

   Adjust on read

   The dividend-adjusted series is built when it is read

   The data API builds a dividend-adjusted series from the stored price and the dividend record, scaling earlier prices at each ex-date. The adjustment is not stored, so it can always be checked against the events behind it.

   Runs, with limits

   The vendor restates its history after a split, but a later download never replaces a stored daily bar. A split before a series was first downloaded is already in its prices; a split after that leaves a jump, and the dividend-adjusted series keeps it. KLA's stored closing price, before adjustment, falls from 2,307.54 on 11 June 2026 to 252.91 on 12 June, the day of its 10-for-1 split.

When a market trades, and what a series says it is

Validation and trading both need to know whether a missing bar is a gap or a closed market, and whether a price is adjusted. Each dataset declares the answers, so no reader has to guess.

• 51 calendars. 43 exchange timetables with their sessions, breaks and holidays, and 8 custom calendars such as 24/5 FX and 24/7 crypto. Four soft-commodity calendars were added on 21 October 2026; pages read on 15 October count 47. Market status, open, closed or holiday, is recomputed every five minutes, as set out in Validate and clean.
• Declared per dataset. Each of 28,686 datasets declares its timestamp convention, its time zone and which way its price is quoted; 28,398 also declare a calendar.
• Corporate-action basis. 21,115 datasets are declared split-adjusted and 7,232 not applicable, as for an FX rate. 339 declare no basis yet. Prices stored before a later split are not restated for it, whatever the declaration says.
• Roll method. 222 futures series are ratio back-adjusted, 39 difference back-adjusted and 444 joined as raw splices. 27,642 need no roll, and 339 declare no method yet.
• Checked, not trusted. Validation measures which way a price is quoted and whether prices sit on the declared tick grid. A wrong declaration is treated as a reference-data fault and flagged for review.
• Broker contracts. The broker's dealing terms for each market, such as minimum size, margin and stop distance, are kept as observations that are only ever added to: 4,242 for 138 broker symbols since 30 July 2026.

What is point in time, and what is not

Validate and clean sets out what was known, and when, for prices. Here is the same question for reference data.

What runs, stated plainly

Each line here was checked against the database or the code on 22 October 2026.

• This page describes the data platform. It shows no strategy returns and makes no performance claim. Execution is through one broker, IG, on a demo account; the equities and crypto here are research data.
• Counts move as the jobs run; each is dated to the day it was read.

Sources, read 2026-10-22: the instrument, membership, snapshot, crypto listing, exchange, corporate action, calendar, dataset declaration and broker contract tables in the market-data store; the constituents, corporate actions and price jobs' code on the data service's main branch; and the universe resolver in the research service.

Reading