Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.

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13
votes
12answers
6k 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 ...
1
vote
1answer
81 views

Historical Data on $/yen forward exchange rates

Would anyone happen to know where I can find historical forward exchange rate data between the yen and dollar?
1
vote
1answer
86 views

Python code to download historical firm data

I am looking for a Python code that scraps a website to download historical firm data such as market capitalization, dividend-yield, and so on. I have a code that downloads the current firm data from ...
3
votes
2answers
454 views

Where to find historical stock news and other events?

So, I am working on a strategy that has pin-pointed some very interesting events in the form of extremely low volatility. The phenomena spans the past few years and a wide variety of symbols. Now, to ...
0
votes
1answer
27 views

Importing daily data: '-1' in volume column

I am working on importing some daily data from a public data source as csv format. The csv convention of the file seems to be that if data is not available for a field, a single white space is used ...
0
votes
3answers
129 views

Where can I find a correlation matrix between the revenues of different industries?

I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in ...
0
votes
1answer
187 views

News on ETF sector performance

I am interested to find historical news (if any) associated with intraday volatility burst in a particular ETFs like ishares IYF (Financials). So say that between 12:00 - 12:10pm, the ETF IYF's stock ...
0
votes
1answer
218 views

Empirical copula

I am trying to find the empirical copula linking two random variables $X$ and $Y$. I have some data available but it's limited with respect to the variable $Y$ and I am not convinced it's enough data ...
1
vote
2answers
262 views

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
0
votes
3answers
209 views

API-based equity screeners?

I know there are APIs from different brokers that allows you to trade and also obtain information about specific companies, but I wonder if there are equity/asset screeners that are API-based and can ...
0
votes
2answers
74 views

float64 to store price data: is precision sufficient?

I am looking to store equity price data in a hdf5 table. The use will be purely as a historical archive, not as day-to-day data source. Options One option would be to store base10 significand and ...
0
votes
0answers
29 views

Standardizing SEC XBRL Reports into common format

I'd like to grab SEC XBRL 10-Q's from various companies and standardize/summarize their content to be able to run common analysis. But it looks like different companies use different elements, making ...
1
vote
1answer
57 views

Best sources for worldwide balance sheet data?

I’m interested in databases with quarterly balance sheet data of the financial sector. I’m aware of the following datasets: -Compustat -Compustat Global -Bankscope Can someone point out other ...
27
votes
8answers
6k views

What broker/feed/APIsetup allows for recording the most accurate data (cheaply)?

I'm currently using IB's Java API and getting feeds through them. However the real-time feed is updated only every 250ms and the historical feed only every second. I'm primarily looking for ES data ...
0
votes
0answers
20 views

Historical list of Primary Dealers in Europe

I would be interested in a list of all the banks and financial institutions that have been Primary Dealers in the European Union from the 1980s until today. For a current list you can check this pdf ...
2
votes
1answer
46 views

Does Nelson-Siegle require adjustments to yield curve input data?

I am attempting to gain a better understanding of the limitations of the Nelson-Siegel model as described in Estimating the Yield Curve Using the Nelson-Siegel Model. As I have been playing around ...
18
votes
9answers
7k views

Any known bugs with Yahoo Finance adjusted close data ?

Yahoo Finance allows you to download tables of their daily historical stock price data. The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a ...
7
votes
5answers
2k 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
44 views

Data on banks’ leverage

Does someone know free resources to estimate the leverage of the banking and financial sector at an aggregate level? In particular I would be interested in something like Federal Reserve’s Flow of ...
1
vote
1answer
61 views

Data on margin volumes?

I came across a Financial Times article today that said "Peaks in margin trading have been a precursor to bear runs in the past, notably in March 2000 and July 2007." I'm curious if anyone here would ...
2
votes
2answers
158 views

Intraday Data - Stylized Facts?

Can someone give an overview or literature on Intraday Data Stylized Facts? In particular for equity market returns or exchange rates.
0
votes
1answer
77 views

Difference in weekly and monthly data

I am confused about the following: I checked daily and weekly prices for Exxon (and also GE). But the values for Open, Low, High, Close, Vol., Adj. Close for both data streams seem to differ from each ...
0
votes
0answers
51 views

Double auctions in online games

I am currently doing a PhD in mathematics and we study the phenomenon of segregation in double auctions. As it is very difficult to gether datas from financial institutions I wanted to start by ...
0
votes
1answer
63 views

Finding historical data for indices [duplicate]

Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on ...
4
votes
3answers
283 views

Algorithm to detect the aggressor side of a trade

Most of the exchanges provide aggressor side property of trades (e.g. Tag=5797 AggressorSide on CME) in their raw data. But many data providers do not provide this information via their datafeed ...
1
vote
2answers
305 views

VIX intraday data

Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...
2
votes
0answers
33 views

what kind of test for volatility and where find the data

I am working on a model for stochastic volatility. In short, the model try to capture that the volatility goes up suddenly after a shock (war, policy, financial events, etc) and then goes down slowly, ...
1
vote
2answers
500 views

where can i get data for foreign exchange order flow

I need data for my thesis research on liquidity of foriegn exchange for order flow (aggregated daily) per currency traded for a period over the last 10-15 years. help!!
3
votes
0answers
111 views

What is the most convenient data structure for backtesting a model of futures options prices?

I have an empirical model for the dynamics of futures prices in a particular market that I have implemented using a long series of the front five contracts. (I account for the roll in my model.) I ...
3
votes
3answers
414 views

Loading HF stock data into excel

Are there any free, open source VBA addins or R packages that can be linked using the yahoo finance/Google finance/other data sources api to continuously download intraday data into excel or R? ...
1
vote
1answer
57 views

What is the distribution of stock splits?

I want to know how rare are splits more extreme than, say, 7:1 (and reverse splits similarly). An answer here points to announcements on Yahoo Finance, but apparently only monthly views. What is a ...
1
vote
1answer
120 views

Company rank within an industry

I'm looking at the list of companies in the S&P 500 Pure Value Index. For each firm, I want to obtain the dividend yield industry percentile rank and the PEG ratio industry percentile rank. I've ...
2
votes
2answers
152 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 ...
133
votes
24answers
72k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
2
votes
1answer
104 views

Where can I buy historic raw order by order data for Euronext market?

I cannot find any vendor that sell the full depth order by order data historically. I called Euronext and for some sick reason they "have the data" but "do not sell it". Do you guys know where I can ...
7
votes
4answers
2k 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. ...
11
votes
3answers
3k views

Free intra-day equity data source

Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick ...
0
votes
0answers
32 views

The list of all UCITs IV funds tickers

I am looking for the list of tickers for all the UCITs IV complaint funds. Could there be such a list? Thanks,
3
votes
4answers
498 views

Bloomberg alternatives for fixed income data

I am looking for a (hopefully significantly cheaper) alternative to bloomberg - primarily for fixed income data. Perhaps some survice that has a more modular fee structure (so that I only have to pay ...
1
vote
3answers
180 views

Hedge fund database with daily data

I am looking for a hedge fund database that provides returns daily. Is there any data provider that gives daily data?
0
votes
1answer
87 views

Forex Fundamental Data Sources [duplicate]

What are the best sources to find free Forex historical Fundamental Data in a .csv format?
0
votes
1answer
224 views

Source of Quandl Open Data

I am interested in Quandl Open Data, from Quandl.com These data are also denoted as Wiki Data since it relies on users to flag errors. In particular on their website, they say: This new data ...
0
votes
3answers
351 views

Databases for storing and querying high frequency tick-level data?

My firm is looking for an out-of-the-box database system to store and query high-frequency tick data. What are the best options? It seems that kdb+ is the market leader in this field.
6
votes
4answers
993 views

Which data service to buy for redistributable data?

This is a follow-up to my previous question regarding anyone whom wanted to 'donate' data. So far no one has stepped up (learning more about buying and selling data, I realize that I'm going to have ...
0
votes
1answer
115 views

Where can I find historical data for volatility estimation?

I'm trying to estimate volatility following Shreve book, so I need observations of $f(t_j,t_j+\tau_k)$ and $f(t_j+\delta,t_j+\tau_k)$, where $t_J<t_{J-1}<\dots<0$ and $\tau_k$ are relative ...
0
votes
1answer
70 views

Need weighted global stock index data (components / weights)

To implement a portfolio generator, I require a set of suitable stocks. Ideally it would use the components of the MSCI World Index and use the index weights for the probability of picking a stock ...
1
vote
1answer
27 views

FTSE AIM Components From 2000, 2001, … 2013

From where can I get a list of historical component lists for the FTSE AIM Index as well as other indices? I see that there is a page for data sources here, but that page does not contain what I am ...
2
votes
1answer
580 views

Ordering of CME Level 2 FIX Market data?

The following link contains a file containing CME Level 2 FIX Market/Orderbook data for Corn futures: ftp://ftp.cmegroup.com/datamine_sample_data/md/mdff_cbt_20130714-20130715_7813_0.zip However, ...
0
votes
0answers
27 views

Developing an Android App. Need free volatility data [duplicate]

I'm currently developing an android app that requires volatility data. Any idea where can I get it for free? I tried Yahoo Finance API and they don't seem to have volatility data. Thanks
1
vote
1answer
109 views

Direct exchange data via a Vendor

I am considering the option between using direct exchange connections vs using a vendor like Bloomberg for market data. I am interested in daily data and potentially tick by tickdata. Initially I am ...