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

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2
votes
1answer
513 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
21 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
76 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 ...
27
votes
7answers
5k 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 ...
2
votes
4answers
2k 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 ...
0
votes
2answers
93 views

Sharpe Ratio and time spent in loss

Is it possible to express, given an annualized Sharpe Ratio value, what is an expected maximum/average time spent in a draw-down or something in this manner? E.g. with SR of 10, you'd expect to spend ...
1
vote
0answers
48 views

What is the algorithm for the Fama-Bliss instrument selection?

Fama-Bliss discount bonds are defined through a straight forward calculation (Famma, Bliss 1987). For the purposes of a project I need to derive forward rates, yields &c. for periods not included ...
5
votes
3answers
5k 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 ...
118
votes
23answers
54k 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?
0
votes
0answers
22 views

Where can i find financial data of CDO's starting from 1996

I'm searching for financial information on CDO's from 1996. These infos should include: Collateral,Type (RMBS, CMBS, CDO2, CLO, ABS,etc.) their course, Underlying, Rating, duration,year,and interest ...
1
vote
2answers
214 views

Bloomberg Alternative for Quant Fund

Is there an alternative to Bloomberg for someone who only needs historical data (stocks, futures, indices) as well as what Bloomberg calls 'reference data' - i.e. what is the multiplier of ESU4, what ...
0
votes
1answer
93 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!!
2
votes
3answers
416 views

Data sources for financials of global equities

I looked through the master list of data sources but could not find any data sources for financial data of global equities. An example would be the balance sheet of, say, ...
1
vote
1answer
177 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 ...
2
votes
1answer
47 views

Finding Credit Risk Population Data

Are there any free or relatively cheap sources of aggregate data on credit risk for specific geographic regions, ages, and so on?
2
votes
3answers
1k views

How to detect and adjust for stock splits? [duplicate]

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 ...
14
votes
6answers
15k views

Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?

I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in ...
18
votes
8answers
6k 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 ...
2
votes
1answer
147 views

Components of an index in a specific date

Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades). Method I have in mind: 1) Create an empty list k. 2) Get ...
12
votes
7answers
4k 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. ...
9
votes
5answers
2k views

Earnings and valuation data sources online

Are there any free/cheap sources for historical data on company earnings and valuations? I can get historical price data from Google and Yahoo, and it looks like I can get about five years of ...
0
votes
1answer
50 views

Where can I find monthly/weekly historical data for gold and silver [duplicate]

Preferably in monthly or weekly denomination, for at least 20 years. Preferably in Excel format, but csv, or other format is fine too. I try to google but couldn't find anything, maybe I just wasn't ...
2
votes
1answer
327 views

Open source equity/bond index data

I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
4
votes
2answers
940 views

Mass Market Data Source

My current project requires large amounts of historical and real-time market data (1m or 5m bars for various products, mostly US futures for as far back as available). This data will be analyzed by ...
13
votes
3answers
4k views

Free market data (delayed or snapshot)

I know there are similar questions but I don't think there are any identical ones. Basically, I'm looking for one of these two things. Delayed market data feed. A tick by tick feed, but delayed by ...
-3
votes
2answers
700 views

Market Data For Project

I'm looking to find a service that will allow me to download historical data on stocks, bonds, options, futures, indices, etc and also to pick up new files either on a daily or weekly basis. I've been ...
11
votes
3answers
2k 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 ...
44
votes
11answers
7k 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 ...
0
votes
0answers
49 views

Price variances on fixed income assets

New to the site. I am currently working on a project that involves analyzing two pricing sources (IDC and Markit) on fixed income assets (Corp, High Yield, Muni, and Structured). I am trying to ...
0
votes
0answers
64 views

Need 24 hours a day real time/slightly delayed prices of futures contracts on US and non-US [duplicate]

I'm looking for a data provider to get real-time/slightly delayed data for futures contracts on US and non-US indexes 24 hours a day. Can you recommend anything for a person, who can't afford ...
0
votes
0answers
97 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 ...
10
votes
8answers
5k 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 ...
0
votes
0answers
40 views

Mapping Futures Data Into Mantas

Can anyone please help me figure out how to map 'Futures Data' into Oracle Mantas. I believe 'Futures Data Feed' will have a different 'Format' from the one acceptable to 'Mantas' risk management.
16
votes
6answers
4k views

Training set of tick-by-tick data?

I'm looking to find a free source of tick by tick data (<1sec) for training purposes. It doesn't need to be longer than a day, and I don't care what instrument, or exchange, or time it is. I just ...
3
votes
2answers
147 views

FIX/FAST packet analyzer

I have a network dump of market data in the FIX/FAST format (transported over UDP). Are there standard pieces of software (similar to Wireshark) that will parse and allow for inspection of the ...
1
vote
3answers
337 views

Is there a Bloomberg field for a bonds (upcoming) coupon dates?

For a specific bond I need to calculate the time until each of the upcoming cash flow payments (for obvious reasons). So I wondered if there is a field (bulk data) that gives me all the dates of the ...
0
votes
1answer
156 views

adjusted close prices on SP500

When I look at the adjusted close prices of SP500, for example, I notice that the numbers are always significantly below the actual closing. In the explanation of what adjusted prices are, one gets ...
0
votes
0answers
30 views

How to visualize multi-dimensional data? [duplicate]

A few months back, I wrote a program that collects live statistics from various sources. My purpose was try to detect patterns in this data by looking at it several hours a day. After implementing and ...
0
votes
0answers
41 views

Find tick size and primary exchange for a given ticker [duplicate]

A rather elementary question here: I am looking at tick-by-tick data on mainly equities traded on American exchanges. But I don't have any data on the tick size and their primary exchange. Is ...
3
votes
1answer
166 views

Deutsche Börse sample Level 2 data, how to view in Windows?

DB has some sample Level 2 market data: ...
0
votes
1answer
123 views

Where does CME store Security IDs for FIX messages?

Where does CME store Security IDs for FIX messages? I cannot find them anywhere? So given Security ID XX I can go and work out what product this actually is?
0
votes
0answers
162 views

CME historical option data provider

Is there any other historical end-of-day CME option data provider rather then CME DataMine? I've searched all the internet and found only CBOE traded options.
3
votes
1answer
109 views

Measuring and proxies for leverage in the financial system

It can be argued that the leverage - reflected by how much collateral people or firms need to put down to borrow and might lose if they fail to pay the loan back - used in the financial system is one ...
0
votes
0answers
310 views

fetch from yahoo! finance database - varying number of ticks

To test a model with real-life data, I used the fetch-function in matlab to connect to the database of yahoo! finance. My code to try and get 7 different assets' returns is the following: ...
0
votes
0answers
199 views

Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
0
votes
0answers
87 views

Calculating order arrival times using log-likelihood, Raphson and Jacobian matrices?

I am reading the following paper: http://www.ntuzov.com/Nik_Site/Niks_files/Research/papers/stat_arb/Ahmed_2009.pdf and in particular page 13: Now I never did a degree in maths (I did ...
1
vote
2answers
205 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
282 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? ...
5
votes
2answers
1k views

Difference between google finance and yahoo finance?

I am wondering about the huge differences of the data provider google finance and yahoo finance. I am interested in the monthly data from adidas listed on xetra. In google: ETR:ADS and in yahoo ...
0
votes
0answers
189 views

Where do “Forex economic calendars” get their data?

Where do all these "Forex economic calendars" get their data from? http://www.fxstreet.com/fundamental/economic-calendar/ http://www.forexfactory.com/calendar.php http://www.dailyfx.com/calendar ...