research: commit the 2026-10-07/08 studies left in the working tree, overnight mid/small (STOP)

Studies run by earlier sessions and documented in CLAUDE.md, but never
committed: FINRA short volume (SVR) and the research-only svr_momentum veto,
SEC fails-to-deliver, 13D activists and the 13D event sleeve, 13F
institutional flow, GDELT news volume, S&P 400/600 Form 4 insiders,
union_shield, shield_lab; plus the mid/small insider and Tiingo fetcher
changes and midsmall_rebuild.

overnight_midsmall: the overnight-only momentum book on S&P 400/600 earns
0.93 net Sharpe at 3 bp a side (2019-26) with corr 0.83 to the S&P 500 book
(STOP).

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>

research/lab/fetch_13d.py

@@ -0,0 +1,126 @@
+"""Fetch SC 13D / 13G filings (activist and 5% passive stakes) from EDGAR.
+
+Quarterly full-index files list every filing:
+
+    https://www.sec.gov/Archives/edgar/full-index/YYYY/QTRn/form.idx
+
+Each is ~40-60 MB fixed-width text. Rows for SC 13D, SC 13D/A, SC 13G and
+SC 13G/A are kept (filed date, CIK, company, archive path). Amendments are
+flagged via the /A suffix so an event study can use originals only.
+
+Writes data/research/edgar_13d.csv (append-safe per quarter; a quarter
+already present in the CSV is refetched only with --refresh).
+
+    PYTHONPATH=. uv run python -m research.lab.fetch_13d [--quarters N]
+"""
+from __future__ import annotations
+
+import io
+import os
+import re
+import sys
+import time
+
+import pandas as pd
+import requests
+
+from research.lab.fetch_us import _proxy_env
+
+OUT = os.path.join("data", "research", "edgar_13d.csv")
+URL = "https://www.sec.gov/Archives/edgar/full-index/{y}/QTR{q}/form.idx"
+UA = {"User-Agent": "quant-research/0.1 gahow@example.com", "Accept-Encoding": "gzip"}
+ROW = re.compile(
+    r"^(?P<form>.{1,16}?)\s{2,}(?P<company>.+?)\s+(?P<cik>\d{4,10})\s+"
+    r"(?P<date>\d{4}-\d{2}-\d{2})\s+(?P<file>edgar/\S+)\s*$")
+KEEP = ("SC 13D", "SC 13G")
+
+
+def quarters() -> list[tuple[int, int]]:
+    out = []
+    for y in range(2016, 2027):
+        for q in range(1, 5):
+            if y == 2026 and q > 3:
+                continue
+            out.append((y, q))
+    return out
+
+
+def fetch_quarter(y: int, q: int) -> list[dict] | None:
+    url = URL.format(y=y, q=q)
+    for attempt in range(6):
+        try:
+            r = requests.get(url, headers=UA, timeout=300)
+            r.raise_for_status()
+            # SEC throttles sustained bulk downloads with small non-index pages
+            if len(r.content) < 5_000_000 or "Master Index of EDGAR" not in r.text[:2000]:
+                print(f"  {y}Q{q}: throttled or unexpected content "
+                      f"({len(r.content)}B), backing off")
+                time.sleep(20 * (attempt + 1))
+                continue
+            rows = []
+            text = io.StringIO(r.text)
+            for line in text:
+                if not (line.startswith("SC 13D") or line.startswith("SC 13G")):
+                    continue
+                m = ROW.match(line.rstrip("\n"))
+                if not m:
+                    continue
+                d = m.groupdict()
+                if not d["form"].startswith(KEEP):
+                    continue
+                rows.append({"quarter": f"{y}Q{q}", "form": d["form"].strip(),
+                             "company": d["company"].strip(), "cik": int(d["cik"]),
+                             "filed": d["date"], "path": d["file"]})
+            return rows
+        except Exception as exc:  # noqa: BLE001
+            if attempt == 5:
+                print(f"  FAILED {y}Q{q}: {exc}")
+            else:
+                time.sleep(5 * (attempt + 1))
+    return None
+
+
+def main() -> None:
+    _proxy_env()
+    limit = None
+    if "--quarters" in sys.argv:
+        limit = int(sys.argv[sys.argv.index("--quarters") + 1])
+    done: set[str] = set()
+    prev = None
+    if os.path.exists(OUT):
+        prev = pd.read_csv(OUT)
+        done = set(prev["quarter"].unique())
+    if "--refresh-since" in sys.argv:
+        since = sys.argv[sys.argv.index("--refresh-since") + 1].upper()
+        def ge(quarter: str) -> bool:
+            y, q = int(quarter[:4]), int(quarter[-1])
+            sy, sq = int(since[:4]), int(since[-1])
+            return (y, q) >= (sy, sq)
+        if prev is not None:
+            prev = prev[~prev["quarter"].apply(ge)]
+        done = {q for q in done if not ge(q)}
+    todo = [(y, q) for (y, q) in quarters() if f"{y}Q{q}" not in done]
+    if limit:
+        todo = todo[:limit]
+    print(f"quarters: {len(quarters())}, stored: {len(done)}, fetching: {len(todo)}")
+    frames = [prev] if prev is not None else []
+    for y, q in todo:
+        rows = fetch_quarter(y, q)
+        if rows is None:
+            continue
+        df = pd.DataFrame(rows)
+        if len(df) == 0:
+            print(f"  {y}Q{q}: empty, skipped")
+            continue
+        frames.append(df)
+        print(f"  {y}Q{q}: {len(df)} SC13 rows")
+        pd.concat(frames).drop_duplicates(subset=["form", "cik", "filed", "path"]).to_csv(OUT, index=False)
+        time.sleep(4)
+    if frames:
+        allrows = pd.concat(frames).drop_duplicates(subset=["form", "cik", "filed", "path"])
+        allrows.to_csv(OUT, index=False)
+        print(f"stored {len(allrows)} rows -> {OUT}")
+
+
+if __name__ == "__main__":
+    main()