Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.
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?
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 ...
17
votes
7answers
6k views
How should I store tick data?
How should I store tick data? For example, if I have an IB trading account, how should I download and store the tick data directly to my computer? Which software should I use?
8
votes
3answers
844 views
How to generate synthetic FX data for backtesting?
I want to generate synthetic forex data for the purpose of backtesting my trading algorithms. I have some rough ideas in mind on how to do this:
Start with a curve representing a trend, then randomly ...
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 ...
6
votes
4answers
6k 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 ...
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 ...
8
votes
3answers
1k 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 ...
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 ...
11
votes
2answers
901 views
How to update an exponential moving average with missing values?
Say you have an Exponential Moving Average being continuously updated over a time series using 1-second-long time periods. What should happen if there is no value for the next second, e.g. there were ...
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 ...
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 ...
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.
...
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:
$$\frac {mean(HIGH-LOW)}{mean(|CLOSE-OPEN|)}$$
...
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 ...
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 ...
5
votes
1answer
662 views
A generic limit order book: What are the most important queries it should be able to answer?
Assume a class LimitOrderBook which represents a limit order book in a trading system.
To be able to represent the limit order book a data handler reads a feed ...
4
votes
2answers
659 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 ...
1
vote
2answers
249 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 ...
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 ...
5
votes
4answers
867 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
2answers
579 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 ...
