Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.
5
votes
4answers
299 views
Best way to store hourly/daily options data for research purposes
There are quite a few discussions here about storage, but I can't find quite what I'm looking for.
I'm in need to design a database to store (mostly) option data (strikes, premiums bid / ask, etc.). ...
0
votes
1answer
45 views
BSYM for historical tickers
When looking through Bloomberg's BSYM data ADR and Common Stock data (5/2/13), I was able to find the ticker symbol 'V' associated with Visa but was unable to find any record for Vivendi, which I ...
2
votes
2answers
100 views
How to synchronize put and call option-data?
I recently retrieved a large amount of European option data, for call and put prices, from OptionMetrics. Doing so for the same time period I get a file consisting of
62558 rows of call prices & ...
2
votes
1answer
114 views
Get intraday data of SAP with google Finance
According to this link I try to get intraday data of SAP listed at Xetra.
Intraday data with timestep of 1 second would be great. I do not understand parts of the command, I try
...
0
votes
0answers
38 views
Need historical option data for my final graduation project [duplicate]
I am a student doing my final graduation project on uncertainty quantification applied to option pricing.To validate my work I need historical european option data.So I wonder if there is someone here ...
3
votes
1answer
139 views
Where can I get historical ticker change database?
There's 30 days worth of data at http://www.otcmarkets.com/marketActivity/symbol-changes - but I'm really looking for the past 10 years, or 5 years if only that is possible. Any dice?
The closest ...
1
vote
2answers
246 views
How to detect and adjust for stock splits?
I am using a large daily data panel for over 250 companies and over several years. I am concerned about adjusting for stock splits. Is there any program in SAS to detect stock splits? How do I adjust ...
1
vote
0answers
145 views
Data feed that shows individual orders
Does anyone know how I can obtain time and sales data for a stock?
Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume.
I ...
5
votes
0answers
199 views
option chain data visualization, sunburst
I think option chains are not represented in the best way. With more and more options products coming out and trading on the various exchanges, I see vendors struggling to keep up with a good way to ...
3
votes
1answer
149 views
time in time series database - UTC or local
I strictly store UTC time stamps inside time series files or databases, mainly to allow processing several time series together. Timezone information is kept with each time series file or item, so ...
0
votes
1answer
150 views
Collecting Data such as the relationship data from http://investing.businessweek.com [closed]
This question may barely meet criteria for Quantitative Finance. Lets hope I got it right.
I am amazed by how much "people data" http://investing.businessweek.com has, such as age, annual ...
0
votes
1answer
195 views
Where can I put some Bloomberg API C# tools online? [closed]
I have some tools I wrote in C# for handling Bloomberg API requests and responses and I think they would be useful to other programmers. Where is a good place to put useful code online?
Google ...
3
votes
3answers
361 views
Generate tick data from candlestick
Is there software (or Python / R / ... scripts) to generate (pseudo) tick data from candlestick data.
I have candlestick data (CSV format) from monthly timeframe (MN) to minute timeframe (M1) but ...
2
votes
0answers
102 views
What are the proper metrics to look at for checking discrepancies in these two time series
I am obtaining bid/ask price and volume market data from two different sources for the same ticker and for the same day and checking to see that at time intervals X they are "roughly the same". The ...
1
vote
2answers
181 views
Data feed API that uses REST?
Is there a data feed provider that has a REST (http) API?
Preferably real-time and historical, at least for US equities.
5
votes
4answers
856 views
Analyzing tick data
What are some of the commonly used techniques to analyze tick data?
I am looking at tick data to see how the quotes/ mid-price evolves due to certain events in the market. Since tick data is ...
-1
votes
1answer
322 views
Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
What constitutes "stealing" when it comes to publicly posted financial data?
I think there are three instances of this that we can individually vet:
a.) you physically broke into a location or ...
1
vote
1answer
80 views
Generating Return Streams for stress testing
There is never enough market data for testing. And sampling from user defined distribution is a hotly debated subject as which distribution does the market really go with?
There are many ways to ...
3
votes
3answers
237 views
How do you handle Calendars in a .NET quant system?
I have developed an analytic platform in .NET, but I now have to tackle the problem of data cleaning which first starts by finding holes in time series, before actually looking to find inconsistent ...
3
votes
1answer
182 views
mortgage prepayment model
I am trying to develop my own MBS prepayment model. I am confused by the terms SMM and CPR. Are they estimates/models in themselves or are they ACTUAL data for the MBS pool. where can I find actual ...
2
votes
1answer
98 views
Historical data on short rates
I would like to backtest a short-equity strategy. I'm looking for historical data on the availability of shares and cost to short certain stocks. Does anyone know of such data being available ...
1
vote
1answer
491 views
Data source for historical Share Outstanding totals for individual stocks?
Data is normally adjusted for splits/reverse splits, etc. The current shares outstanding is usually available. Is there a data repository that captures the shares outstanding for any point in the ...
1
vote
1answer
116 views
Brent Crude Data
I am trying to locate historical volatility data (5+ years) for Brent Crude? Does anyone know where I might be able to source such data?
3
votes
1answer
217 views
Should I use SSAS to store Tick and bar data?
I have been looking for a low cost solution to effectively store and query tick and bar data.
Databases like kdb+ and Streambase are too expensive for me.
Building a custom solution with SSAS (Sql ...
4
votes
1answer
726 views
Why use a column database for tick/bar data?
I often hear that column-oriented databases are the best choice method for storing time series data in finance applications. Especially by people selling expensive column-oriented databases.
Yet, at ...
1
vote
1answer
212 views
Normalized data
I am new to this. I trained and tested my data using SVM in Matlab with the autoscale option true => the data would be normalized with unit SD. Let's say the training data have the price around 200.
...
3
votes
2answers
556 views
Tick data collection
I am new to this. I am confused on what consists of a tick data.
I have a trading platform in which I could collect data of exchange traded product like futures and stocks. While I am intending to ...
8
votes
3answers
599 views
Why isn't all market data free?
I am hoping any answers can be threaded somewhere between "don't be naive" and starting a quasi-political flame.
Transparency is suppose to be good for markets and also a social good. The market ...
5
votes
1answer
383 views
Automated 10-K XBRL data grab using the SEC file structure
I would like to write a program that takes as input a list of CIK/year/quarter entries. The program should iterate through the list and, for each entry, grab XBRL financial data from the SEC website ...
8
votes
7answers
2k views
Is “eoddata” a good data source?
Not sure if this is a relevant question for site, but I am looking to move to www.eoddata.com as my data source.
If anyone has used it, can you tell me how the data quality is ?
I am currently ...
6
votes
1answer
269 views
NASDAQ TotalView ITCH order reference number number characteristics
I am building a custom hash implementation for storing NASDAQ ITCH order messages. Obviously this is keyed on the order reference number and I am wondering if these numbers are sequential, random or ...
6
votes
2answers
814 views
Non-SQL methods for high-frequency accounting?
Does anyone know of any prior art for non-SQL data structures for high-frequency accounting, whether client, broker, or exchange-side? I'm thinking specifically of the problem of booking individual ...
-3
votes
2answers
155 views
Re-resolving OHCLV stock Data [closed]
Whats the most efficient way to re-resolve stock data? I have 10m data in a database that I am using for 3-5day trading purposes (e.g a 5 day chart). Now for a 1 month chart, I am multiplying 10 by 4 ...
8
votes
1answer
294 views
Where can I find data on the interbank lending market?
Where can I find disaggregated interbank lending data (i.e. bank A lends to bank B x money at y rate)? I could only find data on interest rates.
I would accept LIBOR market data as well as any ...
-4
votes
2answers
464 views
Automate fetching of a stock's sector & industry [closed]
Does anyone know an automated way to get a stock's sectory and industry using Yahoo Apis. I know Yahoo! stores this information, I would like to retrieve it programatically.
Thanks
Why would you ...
11
votes
3answers
3k views
R: How feasible is it to store — and work with — tick data in a database connected to R?
I'm looking to convert some tickdata .csv files into a database on a local disk and then use R to call the data and do my various analytics and modelling.
What are some best practices / ...
2
votes
0answers
157 views
Can a higher P/E ratio be beneficial under certain circumstances? [closed]
I am new to investing. I understand that the P/E ratio along with other data can be used to determine whether a stock may or may not be undervalued.
Are there situations where a HIGH P/E is actually ...
3
votes
2answers
196 views
Which indices to use for an equity vs. fixed-income portfolio simulation?
I want to backtest several basic optimization methods (e.g. MVO, "most-diversified portfolio"), and I want to do this on a basket of different asset indexes. To start with, I want to simulate a 60/40 ...
4
votes
0answers
98 views
single channel for multiple feeds of news? [closed]
I subscribe to various blogs and twitter feeds which I use to parse for keywords. Many times these subscriptions do not include topics which are of the primary concern.
Are there multiplex channels ...
8
votes
2answers
683 views
time series management system
I'm happy how we store a single time series but we somehow lack a system that glues them all together. I'm talking about a few million time series coming from ~50 data vendors and representing maybe ...
2
votes
0answers
177 views
What is a good site to download historical stock 'events' such as earnings releases? [duplicate]
Possible Duplicate:
What data sources are available online?
Earnings and valuation data sources online
I'd like to backtest some strategies involving earnings release surprises, as well ...
1
vote
0answers
599 views
Historical S&P 500 Stock Weights [closed]
I'm looking for histocial weights of S&P 500 constituents. I have access to a Bloomberg terminal. Any thoughts on how/where I might calculate/find these data?
P.S. I'm looking for as much data as ...
6
votes
2answers
207 views
Where can you find data on non-trading stocks?
My data source for end of day prices only gives the prices of the trades during the day. If a stock stops trading/goes out/moves to another exchange|changes symbol. I never hear about this.
My ...
7
votes
3answers
298 views
Is there data on market participants at a particular moment?
I am looking for data on market participants at a particular moment (or some proxy/approximation). For example, how can I tell whether mostly big players and HFTs are dominating the market in ...
-2
votes
1answer
344 views
Way to download current stock information (for free)? [duplicate]
Possible Duplicate:
What data sources are available online?
Is there a free way to download the current prices (and possibly other data) for stocks for various companies?
Context: This is ...
9
votes
2answers
312 views
How to “uncluster” a set of financial data?
I am attempting to evaluate and compare the profit factor of different "test runs" of a FOREX trading strategy.
My problem is that, despite an average time between orders of 2hr+, some of these runs ...
6
votes
4answers
213 views
What is a sound way to project Company X's earnings over the next Y years?
I need to estimate cumulative earnings over the next Y years and I'd like to find a solution that is theoretically sound and relatively simple. Can anyone recommend an approach?
Given:
I have 30 ...
17
votes
2answers
1k views
How much data is needed to validate a short-horizon trading strategy?
Suppose one has an idea for a short-horizon trading strategy, which we will define as having an average holding period of under 1 week and a required latency between signal calculation and execution ...
9
votes
3answers
399 views
Literature on generating synthetic time series for testing
I have some market data (daily time series) for bond prices and CDS indices and I would like to generate synthetic versions of these which are statistically "similar" for testing trading strategies. ...
7
votes
4answers
1k views
Real-time & Fast S&P 500 E-Mini Futures (ES) Data
I trade on local exchanges in Europe, but my HFT strategies need S&P 500 e-mini futures data (ES). I don't need to trade ES, but I need real-time data and I want to have it as fast as possible.
...
