Direct Indexing
Calculates the minimum requirement to roughly mirror an index.
Inputs:
- prices.csv - must contain the first 3 columns: STOCK, PRICE, WEIGHT
- boardlot.csv
Example Output for PSEI:
STOCK, PRICE, WEIGHT, LOT SIZE, SHARES, TOTAL PRICE, CALCULATED WEIGHT
[
AC, 930.0, 7.22%, 10, 40, 37,200.00, 5.83%,
AEV, 60.0, 4.16%, 10, 440, 26,400.00, 4.13%,
AGI, 13.7, 1.1%, 100, 500, 6,850.00, 1.07%,
ALI, 43.2, 8.86%, 100, 1,300, 56,160.00, 8.79%,
AP, 35.0, 1.31%, 100, 200, 7,000.00, 1.10%,
BDO, 123.7, 6.52%, 10, 330, 40,821.00, 6.39%,
BLOOM, 11.32, 1.17%, 100, 600, 6,792.00, 1.06%,
BPI, 84.0, 4.86%, 10, 360, 30,240.00, 4.74%,
DMC, 11.18, 1.11%, 100, 600, 6,708.00, 1.05%,
FGEN, 21.3, 0.66%, 100, 100, 2,130.00, 0.33%,
GLO, 1903.0, 1.49%, 5, 5, 9,515.00, 1.49%,
GTCAP, 930.0, 2.18%, 10, 10, 9,300.00, 1.46%,
ICT, 113.0, 3.1%, 10, 170, 19,210.00, 3.01%,
JFC, 309.0, 3.97%, 10, 80, 24,720.00, 3.87%,
JGS, 65.8, 5.17%, 10, 500, 32,900.00, 5.15%,
LTG, 15.24, 1.15%, 100, 400, 6,096.00, 0.95%,
MBT, 75.2, 3.92%, 10, 330, 24,816.00, 3.89%,
MEG, 5.15, 1.51%, 100, 1,800, 9,270.00, 1.45%,
MER, 367.0, 2.32%, 10, 40, 14,680.00, 2.30%,
MPI, 4.57, 1.62%, 1,000, 2,000, 9,140.00, 1.43%,
PGOLD, 46.8, 1.14%, 100, 100, 4,680.00, 0.73%,
RLC, 22.8, 1.24%, 100, 300, 6,840.00, 1.07%,
RRHI, 86.5, 1.24%, 10, 90, 7,785.00, 1.22%,
SCC, 21.75, 0.64%, 100, 100, 2,175.00, 0.34%,
SECB, 162.5, 1.93%, 10, 70, 11,375.00, 1.78%,
SM, 940.0, 13.33%, 10, 90, 84,600.00, 13.25%,
SMC, 170.7, 1.63%, 10, 60, 10,242.00, 1.60%,
SMPH, 37.95, 9.38%, 100, 1,500, 56,925.00, 8.91%,
TEL, 1030.0, 2.5%, 5, 15, 15,450.00, 2.42%,
URC, 137.0, 3.56%, 10, 160, 21,920.00, 3.43%]
Total Requirement: 601,940.00
Total Calculated Weight: 94.26%