The SEC filings index is split in quarterly files since 1993 (1993-QTR1, 1993-QTR2...). By using python-edgar and some scripting, you can easily rebuild a master index of all filings since 1993 by stitching quarterly index files together. The master index file can be then feed to a database, a pandas dataframe, stata, etc...
An index file is a csv-like (pipe | separated) file that contains the following information:
- Company name (eg.
TWITTER, INC) - Company CIK (eg.
0001418091) - Filling date (eg.
2013-10-03) - Filling type (eg.
S1) - Filling URL on EDGAR (
edgar/data/1418091/0001193125-13-390321.txt)
Once python-edgar is finished downloading index files, you can open an index file with csv.csvreader or pandas.read_csv to have the data programmatically usable. Remember that the delimiter character is |!
python-edgar can be used as a library called from another python script, or as a standalone script.
- Fast: parallel downloads with
multiprocessing. The more CPUs you have the faster it'll go. - Efficient: retrieve compressed archives instead of raw index file that are 10 times bigger
- Import as a library in your python project or run as a standalone script
- Python 2 & 3 Compatible with external 0 dependencies.
Install from pip in a virtualenv
pip install python-edgarCall the library
import edgar
edgar.download_index(download_directory, since_year)Output
2018-06-23 12:41:46,451 - DEBUG - downloads will be saved to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o
2018-06-23 12:41:46,451 - DEBUG - downloading files since 2017
2018-06-23 12:41:46,451 - INFO - 6 index files to retrieve
2018-06-23 12:41:46,465 - DEBUG - worker count: 4
2018-06-23 12:41:48,359 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR3/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2017-QTR3.tsv
2018-06-23 12:41:48,611 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2018/QTR2/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2018-QTR2.tsv
2018-06-23 12:41:48,649 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR4/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2017-QTR4.tsv
2018-06-23 12:41:48,935 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2018/QTR1/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2018-QTR1.tsv
2018-06-23 12:41:49,750 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR2/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2017-QTR2.tsv
2018-06-23 12:41:50,237 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR1/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2017-QTR1.tsv
2018-06-23 12:41:50,376 - INFO - complete
2018-06-23 12:41:50,377 - INFO - Files downloaded in /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o- Download this repository as a zip ("Clone or Download" green button, > Download as zip.)
- Open your terminal inside that directory and run
python run.py -h. You can specify a destination directory for downloaded index files like-d edgar-idx(defaults to a temporary directory) and/or specify the year from which you want to build the index with-y 2017(defaults to current year).
$ python run.py -y 2017
2018-06-23 12:41:46,451 - DEBUG - downloads will be saved to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o
2018-06-23 12:41:46,451 - DEBUG - downloading files since 2017
2018-06-23 12:41:46,451 - INFO - 6 index files to retrieve
2018-06-23 12:41:46,465 - DEBUG - worker count: 4
2018-06-23 12:41:48,359 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR3/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2017-QTR3.tsv
2018-06-23 12:41:48,611 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2018/QTR2/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2018-QTR2.tsv
2018-06-23 12:41:48,649 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR4/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2017-QTR4.tsv
2018-06-23 12:41:48,935 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2018/QTR1/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2018-QTR1.tsv
2018-06-23 12:41:49,750 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR2/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2017-QTR2.tsv
2018-06-23 12:41:50,237 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR1/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3o/2017-QTR1.tsv
2018-06-23 12:41:50,376 - INFO - complete
2018-06-23 12:41:50,377 - INFO - Files downloaded in /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpr2Nk3opython-edgar does only one thing and does it well: getting and cleaning uncompressed quarterly index files to your computer. Use command line tools, in the spirit of unix philosophy, to stitch these index files together and create our master index file.
In this example, we called python run.py without arguments. It'll download every quarterly index file since 1993.
python run.py -y 1993
2018-06-23 13:00:16,855 - DEBUG - downloads will be saved to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7
2018-06-23 13:00:16,855 - DEBUG - downloading files since 1993
2018-06-23 13:00:16,856 - INFO - 102 index files to retrieve
2018-06-23 13:00:16,879 - DEBUG - worker count: 4
2018-06-23 13:00:18,814 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR4/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2017-QTR4.tsv
2018-06-23 13:00:19,026 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR3/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2017-QTR3.tsv
2018-06-23 13:00:19,157 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2018/QTR2/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2018-QTR2.tsv
2018-06-23 13:00:19,543 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2018/QTR1/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2018-QTR1.tsv
2018-06-23 13:00:20,521 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR2/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2017-QTR2.tsv
2018-06-23 13:00:20,719 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2016/QTR4/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2016-QTR4.tsv
2018-06-23 13:00:21,016 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2016/QTR3/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2016-QTR3.tsv
2018-06-23 13:00:21,134 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2017/QTR1/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2017-QTR1.tsv
2018-06-23 13:00:22,099 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/2016/QTR2/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/2016-QTR2.tsv
(...)
dcw07x6zrrr0000gn/T/tmpcF1rx7/1993-QTR2.tsv
2018-06-23 13:00:54,378 - INFO - > downloaded https://www.sec.gov/Archives/edgar/full-index/1993/QTR1/master.zip to /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7/1993-QTR1.tsv
2018-06-23 13:00:54,423 - INFO - complete
2018-06-23 13:00:54,424 - INFO - Files downloaded in /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7Inspect the directory where our files where downloaded:
$ ls -lh /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7
total 4964656
drwx------ 104 eswiac staff 3.3K Jun 23 13:00 .
drwxr-xr-x 342 eswiac staff 11K Jun 23 13:01 ..
-rw-r--r-- 1 eswiac staff 585B Jun 23 13:00 1993-QTR1.tsv
-rw-r--r-- 1 eswiac staff 580B Jun 23 13:00 1993-QTR2.tsv
-rw-r--r-- 1 eswiac staff 1.0K Jun 23 13:00 1993-QTR3.tsv
-rw-r--r-- 1 eswiac staff 2.8K Jun 23 13:00 1993-QTR4.tsv
-rw-r--r-- 1 eswiac staff 2.9M Jun 23 13:00 1994-QTR1.tsv
-rw-r--r-- 1 eswiac staff 2.3M Jun 23 13:00 1994-QTR2.tsv
(...)
-rw-r--r-- 1 eswiac staff 27M Jun 23 13:00 2017-QTR3.tsv
-rw-r--r-- 1 eswiac staff 27M Jun 23 13:00 2017-QTR4.tsv
-rw-r--r-- 1 eswiac staff 41M Jun 23 13:00 2018-QTR1.tsv
-rw-r--r-- 1 eswiac staff 31M Jun 23 13:00 2018-QTR2.tsvHead to that directory so we can merge these files into a master file using cat
$ cd /var/folders/bv/2zbdkyyj14766dcw07x6zrrr0000gn/T/tmpcF1rx7
$ cat *.tsv > master.tsv
$ du -h master.tsv
2.3G master.tsvNow you have this master index file. It's not sorted but that's easy to do (hint: Look into the sort command)
https://github.com/harelba/q allows you to run SQL directly on tabular data.
Use with caution: q does not use indexes so running queries against the master index will be very slow since it's rather large. Sorting the master index or narrowing the data to a smaller subset will make search faster. Ultimately you want to load the master index file into a proper database that's able to handle the size.
Some queries you may want to try
q "SELECT COUNT(1) FROM 1999-QTR4.tsv"q -d"|" "SELECT * FROM master.tsv where c1 = 1418091 and c3 = '10-Q' order by c4"
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