Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.
8
votes
1answer
295 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 ...
-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 ...
2
votes
0answers
159 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 ...
12
votes
1answer
364 views
What time are Bloomberg Open Symbology Files updated daily?
Does anyone know what time the Bloomberg Open Symbology precanned files are updated every day? I am planning on upating my view of them at 9 AM EST every morning. Furthermore, will the files for ...
8
votes
2answers
685 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 ...
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 ...
2
votes
0answers
181 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 ...
6
votes
3answers
818 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 ...
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 ...
1
vote
0answers
605 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 ...
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 ...
6
votes
2answers
210 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 ...
-2
votes
1answer
346 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 ...
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 ...
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 ...
6
votes
4answers
214 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 ...
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 ...
8
votes
3answers
845 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 ...
-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 ...
13
votes
3answers
3k 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 ...
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?
3
votes
1answer
759 views
How do I backtest a convertible bond arbitrage strategy in R/Matlab?
Since no one was able to answer my previous question, I am going to try to backtest a modern convertible bond arbitrage strategy myself (perhaps I'll report the results back here, if you're lucky :)). ...
5
votes
1answer
316 views
Historical Hedge Fund Index Data
Can anyone point me to some Hedge Fund index data - daily levels of the HFRX or something similar, that is available for free and has history back to 2007? The data available through my broker seems ...
9
votes
1answer
232 views
Is there a standard / methodology to determine and grade the quality of OHLC data?
Inputs are most important to any decision making.
For strategy backtesting, the OHLC data is one of the most inputs.
So to ensure the correctness and integrity of OHLC data, we have checks on the ...
5
votes
2answers
515 views
Free/cheap source of structured historical quarterly filings?
What is a good place to acquire cheap/free historical quarterly filings data for US Companies? Specifically, I'm interested in the consolidated financial statements. The data should be well-structured ...
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 ...
1
vote
0answers
539 views
Hobbyist Quants [closed]
I'm interested in investing some money in the stock market, and I have the math background that will make following the math used in quantitative finance possible (with some work). What are the ...
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 ...
14
votes
5answers
3k 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 ...
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 ...
5
votes
1answer
153 views
Reliable Economic Data on China
Trying to develop a new strategy, but I need to find reliable economic data on China. It's well known that the official figures there don't tell you everything (to put it nicely), so I was wondering ...
5
votes
2answers
548 views
FX Tick Data question
Anyone can tell me what the first column and the last column in this FX tick dataset mean? The first seems like some kind of ID, and what D in the last column mean?
368412956 AUD/CAD 12/30/2007 ...
5
votes
1answer
132 views
Availability of machine-readable OCC Infomemos?
Does anyone know of a source of machine-readable (XML,etc) OCC Infomemos? The PDF files available below contain all the information I want, but are a pain to parse.
...
8
votes
4answers
342 views
Seeking Historical Non-Finance Datapoints for Backtesting
I'm working on some financial analysis code which I'd like to test against a historical dataseries to analyze the correlations to my algorithm to some non-finance related data. Ideally, I'd like to ...
7
votes
2answers
957 views
Is there a technique for using xts or zoo objects with options data (i.e., many entries per date) in R?
I am starting to work with options data from optionmetrics. I use data frames, but it seems like xts or zoo objects are the way to go for features and speed. I can't figure out the best work-around to ...
5
votes
4answers
484 views
Free data on swap options
I am trying to analyze valuation methods for swaptions. Does anyone know of free example data for these OTC-traded securities?
15
votes
8answers
2k views
What kind of basic framework or application do you use to run your trading algorithms?
I heard about MetaTrader from http://www.metaquotes.net. Is there any other framework or program available? Do you use different software for backtracking and running your trading algorithms?
Thank ...
