ai-asset-pricing: Skill for Claude Code

WRDS PostgreSQL Query Skill (Local psql via .pgpass)

Execute WRDS queries directly from the local machine using psql with service file authentication. No SSH required.

CRSP Version Policy

All CRSP queries MUST use v2 tables:

• crsp.dsf_v2 / crsp.wrds_dsfv2_query (daily) — NOT crsp.dsf
• crsp.msf_v2 / crsp.wrds_msfv2_query (monthly) — NOT crsp.msf

v1 is frozen at 2024-12-31. v2 is updated through 2025-12-31+.

v2 eliminates three common v1 error patterns:

1. No abs(prc) — prices are always positive (dlyprcflg flags bid/ask midpoint)
2. No msenames join — ticker, issuer name, exchange are columns in the v2 views
3. No delisting merge — dlyret/mthret already include delisting returns

For the full column mapping see .claude/agents/crsp-wrds-expert.md.

Examples

• /wrds-psql -- interactive guidance for building a query
• /wrds-psql "daily returns for AAPL in 2024" -- natural language query description
• /wrds-psql "SELECT permno, dlycaldt, dlyret FROM crsp.dsf_v2 WHERE permno=14593" -- direct SQL

Critical Rule: Single-Line Commands Only

Always write psql commands as a single line. Never use \ line continuation or heredocs. This avoids shell expansion approval prompts.

# GOOD — single line
psql service=wrds -c "SELECT permno, dlycaldt, dlyret FROM crsp.dsf_v2 WHERE permno = 84398 LIMIT 10;"

# BAD — multi-line
psql service=wrds \
    -c "SELECT permno, dlycaldt, dlyret
        FROM crsp.dsf_v2
        WHERE permno = 84398 LIMIT 10;"

For complex queries, write SQL to a file and use -f:

psql service=wrds -f query.sql

Connection

Connection details are in ~/.pg_service.conf (host, port, database, user); password in ~/.pgpass.

Windows

On Windows, PGSERVICEFILE=... psql shell syntax does not work. In Python, pass environment variables via subprocess.run(..., env={...}):

import os, subprocess
env = os.environ.copy()
env['PGSERVICEFILE'] = os.path.expandvars(r'$APPDATA\postgresql\pg_service.conf')
result = subprocess.run(
    ['psql', '-X', '-w', 'service=wrds', '-c', sql],
    capture_output=True, text=True, timeout=300, env=env,
)