Add query to merge AlphaVantage and WRDS assets

esgtools/db/merge/assets.sql

@@ -0,0 +1,91 @@
+
+/* 
+	We join the ticker-permno in WRDS with the lowest class share (normally A) and the highest delisting date (or none if available)
+	with the first ticker in AlphaVantage that has delisting date higher than last date in WRDS
+*/
+
+create table assets as
+select
+id
+, symbol
+, permno
+, name
+, exchange
+, asset_type
+, share_class
+, ipo_date_wrds
+, ipo_date_alpha
+, ipo_date
+, delisting_date_wrds
+, delisting_date_alpha
+, delisting_date
+, in_alpha
+, alpha_lud
+, lud
+from (
+	select *
+	, concat(symbol_permno, '-', row_number() over(partition by symbol_permno order by delisting_date asc NULLS last)) id
+	from (
+		select 
+		concat(case when w.ticker is null then coalesce(a.symbol, '0') else w.ticker end
+			   , '-', coalesce(cast(permno as TEXT), '0')) as symbol_permno
+		, coalesce(w.ticker, a.symbol) symbol
+		, w.permno
+		, a.name
+		, coalesce(a.exchange, w.primary_exch) exchange
+		, coalesce(a.asset_type, 'Stock') asset_type
+		, case 
+			when coalesce(a.asset_type, 'Stock') = 'Stock' then coalesce(w.share_class, 'A')
+			else w.share_class
+			end share_class
+		, ipo_date_proxy ipo_date_wrds
+		, ipo_date ipo_date_alpha
+		, case
+			when ipo_date_proxy is not null and ipo_date is not null then 
+				case when ipo_date_proxy < ipo_date then cast(ipo_date_proxy as date)
+				else ipo_date end
+			else cast(coalesce(ipo_date, ipo_date_proxy) as date) 
+			end ipo_date
+		, delisting_date_proxy delisting_date_wrds
+		, delisting_date delisting_date_alpha
+		, cast(coalesce(delisting_date, delisting_date_proxy) as date) delisting_date
+		, case when a.symbol is not null then 1 else 0 end in_alpha
+		, case 
+			when a.status is null and delisting_date_proxy is not null then 'Delisted' 
+			else a.status
+		  end status
+		, lud alpha_lud
+		, Now() lud
+		from assets_wrds w
+		full outer join (
+			select
+			replace(symbol, '-A', '') symbol
+			, name
+			, exchange
+			, asset_type
+			, ipo_date
+			, delisting_date
+			, status
+			, lud
+			, row_number() over(partition by symbol order by coalesce(delisting_date, CURRENT_DATE)) rnk
+			from assets_alpha
+			where ((symbol not like '%-%') or ((symbol like '%-A') and (length(symbol) - length(replace(symbol, '-', '')) = 1)))
+				  and (name not like '%- Unit%') -- no Units (stock + warrant)
+				  and (name not like '%Warrant%') -- no Warrants
+				  and ((name not like '%- Class %') or (name like '%- Class A%')) -- no Stocks with class other than A
+				  and (coalesce(delisting_date, CURRENT_DATE) >= (select max(date) from returns_wrds)) -- delisting_date in AlphaVantage is either missing or higher than highest in WRDS
+			--order by symbol, delisting_date
+		) a
+		on 
+		w.delisting_date_proxy is NULL -- Join only WRDS assets that were not delisted at the time
+		and w.rnk = 1  -- Ticker-permno in WRDS with the lowest class share (normally A) and the highest delisting date or none if available (newest).
+		and a.rnk = 1  -- Choose the first one (oldest) in AlphaVantage that satisfies delisting condition
+		and a.symbol = w.ticker
+		where
+			not (w.permno is null and a.asset_type = 'Stock' and length(a.symbol) > 4) -- Avoid AlphaVantage stocks with more than 4 characters since those are special issues
+	) a
+) a
+order by id, ipo_date
+;
+
+--alter table assets add primary key (id);