Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.
4
votes
2answers
3k views
Are public historical time series available for ratings of sovereign debt?
The nice list of free online data sources Data sources online does not mention any data from ratings agencies.
Are historical time series available for sovereign credit ratings (other than as ...
6
votes
4answers
341 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.). ...
13
votes
4answers
4k views
Usage of NoSQL storage in Finance
I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data.
I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ...
0
votes
1answer
46 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 ...
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 ...
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 & ...
93
votes
19answers
24k 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?
1
vote
2answers
248 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 ...
2
votes
1answer
116 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 ...
25
votes
6answers
4k 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 ...
3
votes
1answer
140 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 ...
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 ...
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 ...
9
votes
2answers
203 views
Effective Euro-USD (EURUSD) Exchange Rate Prior to Euro's Existence
Motivation: I am running a quantitative analysis that requires long-term, exchange rate data.
Problem: Does anyone have methods for dealing with the EURUSD exchange rate prior to the Euro's ...
11
votes
4answers
2k views
data on historical stock price of bankrupt companies
does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers?
it appears that bankrupt companies no longer appear in the ...
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
196 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
182 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.
-4
votes
2answers
468 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 ...
5
votes
4answers
862 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 ...
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
votes
1answer
325 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
1answer
183 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 ...
3
votes
1answer
218 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 ...
11
votes
3answers
1k 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 ...
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 ...
1
vote
1answer
496 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?
14
votes
7answers
4k 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
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.
...
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.
...
4
votes
1answer
729 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 ...
36
votes
7answers
5k views
Innovative ways of visualizing financial data
Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization.
Traditional ways of visualizing patterns, complexities and ...
3
votes
2answers
557 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 ...
10
votes
2answers
551 views
Why is the ratio of Hi-Low range to Open-Close range close to 2?
I tried it in several symbols and timeframes with the same result:
$$\frac {mean(HIGH-LOW)}{mean(|CLOSE-OPEN|)}$$
...
8
votes
3answers
600 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
386 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 ...
3
votes
3answers
1k views
Monthly data for popular indices (constituents).
Trying to be concise:
I am interested in the most popular indices (SP500, FTSE100, DAX30, CAC40, SMI30, etc).
For each index I want to know its constituents in a monthly basis.
For each constituent ...
12
votes
6answers
2k views
What is the best data structure/implementation for representing a time series?
I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series.
...
6
votes
2answers
817 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 ...
6
votes
1answer
270 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 ...
16
votes
2answers
2k views
Do you have historical tick data you want to donate?
Do you have historical market/pricing ticket data that you would like to donate to the Open Source Trader project (OST)??
Please: upload your files! Once we gather some data, we'll do our best to ...
9
votes
3answers
400 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. ...
18
votes
5answers
3k views
What is a good broker for HFT?
Currently I trade trough IB. I run my HFT strategies (100 roundtrips per hour) but I think that latency is killing me and my profits are shrinking. I need the fastest possible brokers out there which ...
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 / ...
