Questions tagged [data]
Questions about handling, obtaining, generating, or analyzing all types of financial or economic data. Please use a more accurate tag if possible; for instance: tick-data, fundamentals, market-data, option-data, ticker-mapping, etc.
488
questions
4
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1
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214
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Help with pulling company fundamentals from EDGAR
I need help understanding why there are many different values for a specific metric reported by a company's 10-K or 10-Q in the EDGAR database.
I've downloaded the entire US equity universe in JSON ...
- 41
0
votes
0
answers
819
views
Fama-French factors creation using Bloomberg data
The standard FF factors as published by K. French (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) are created using CRSP data. If one downloads the (US) factors, the first ...
- 273
12
votes
1
answer
2k
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What's the most efficient way to store options and time series data for backtesting?
I would like to know what database would you guys use for storing around 500GB-1TB of options and time series tick data.
The idea is to use it for backtesting so it would have to be as efficient as ...
- 223
2
votes
1
answer
2k
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Bloomberg API / Excel Add In - Delisted Stocks
So I am using the Bloomberg Excel add in but can also use the API. My dilemma is I have a list of tickers containing SP500 historical constituents and I have retrieved 600 of them from an alternative ...
- 23
0
votes
0
answers
260
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Historical ISM report on business?
Is there any place to download historical ISM ROB (report on business)? The website only shows current and previous month. ISM ROB
- 63
6
votes
2
answers
680
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Algorithm / source to calculate historical expiry dates of futures
I can find several source on this site where to find expiry dates of coming futures contracts.
I am looking for a (e.g. Python) algorithm or a data source where I can find historical dates when a ...
- 61
0
votes
1
answer
125
views
How could I identify peers of companies (stocks) at scale?
Context:
I'm making a small script to screen through thousands of companies at scale. A feature that I want to include would be relative metrics, e.g. is this company growing faster than its peers, ...
- 101
1
vote
0
answers
25
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Where to find a list of all the operable exploration / mining companies conducting operations in Canada [closed]
Looking to create a database firstly of all the exploration / mining companies conducting research in Canada. TSX and TSX-V have very nice spreadsheets with several filtering operations, which is very ...
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1
vote
2
answers
2k
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When looking for arbitrage among a LARGE amount of assets, is there an optimal way?
Looking for arbitrage opportunities when looking at 3 pairs of related currencies is easy. However if we assume that we have a large amount of currencies, is there an optimal way to swipe through them ...
- 135
2
votes
2
answers
2k
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Is alpha vantage api for fundamental data reliable?
Can anyone speak to the reliability of the Alpha Vantage (AV) api for fundamental stock data? I have tried for a couple of stocks to get balance sheet data, and it seems close to accurate but I feel ...
- 121
0
votes
1
answer
135
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Non-fixed stationary "conversion"
Dear users of StackExchange,
I was wondering why the log returns of a fixed period of time is such a common use in "transforming" a time series into a more stationary one?
I thought that ...
- 25
1
vote
1
answer
70
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Historical Economic Release Calendar
Does anyone know if any providers have a historical economic release calendar? For example, releases of things like ADP private employment, or ISM surveys? I ask because I would like to backtest a ...
- 469
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votes
3
answers
7k
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Red Black Trees for Limit Order Book
Why do people suggest using red black trees/balanced binary trees for the levels in a limit order book?
Why are they algorithmically ideal?
- 2,492
2
votes
2
answers
1k
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What are the proper ways to do order book downsampling?
I have an access to the order book dataset, which was sampled with resolution that is too high for my sandbox experiments with it. Because of that, I was wondering, what would be the correct way to ...
1
vote
3
answers
202
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OHLC Data for US Govt. Treasury Yields?
Is there open-high-low-close data available at the daily timescale for yields? The data I can find from the Federal Reserve reports only one price, and moreover, I'm not sure when the data is reported....
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-2
votes
1
answer
189
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What are good examples of using Big Data for a trading strategy?
As the title say, I am looking for trading strategies in the stock, bond, forex market, that rely on the usage of Big Data. The more out of the box strategy the better. Also if anyone knows any ...
- 8,306
0
votes
2
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1k
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Large data of Equity Price download from Eikon thomson reuters datastream
I like to download all Chinese ( more than 4000 stocks) stocks daily price data from 1990 to 2020 from Eikon Thomson Reuters datastream. However, I failed to select and download all stocks together. ...
1
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2
answers
219
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Alternative data providers
What data vendors/providers have you come across or used for alternative datasets? Not talking about market data here. Things like rainfall, coronavirus stats, new car production in China etc. I
1
vote
1
answer
71
views
should I persist the daily/weekly bar data
Suppose a small quant group (4 guys) and the tick data is in hand, shall they persist the historical daily/weekly or even smaller scale like hourly/minutes bars data, or just do the on-demand ...
- 11
1
vote
2
answers
542
views
Storing options EOD time series in Flat Files
I have purchased data for EOD settlements of options prices for USA futures for personal use. I will not need multiple user access or real time access. I am not an expert programmer but use C# and R ...
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0
votes
1
answer
208
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Swap data- couldn't find any
I'm a student and i amm looking for a swaps rates historical data for long tenors in purpose to estimate yield curve (for example in GBP). My question is where could I find it?
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2
votes
1
answer
550
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Historical intraday dataset with penny stocks with a gap-up of 10% or above
I am trying to find intraday datasets of pennystocks. My criteria for the dataset is that it needs to only contain pennystocks where the gap-up was 10% or above.
I am looking for a free option but ...
- 133
1
vote
1
answer
205
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Best way to treat negative P/E and extremely high P/S in data?
I'm working on a data that deals with start-up/similar companies data. A lot of the companies have negative P/E and/or little to no sales. Is there good ways to create meaningful data (like averages, ...
- 13
0
votes
0
answers
211
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How to download all tickers listed in the Tokyo stock exchange?
I'm trying to download all tickers listed in the Tokyo stock exchange (according to their website, there should be 3,756 tickers in total).
What I have tried so far:
I have tried the Yahoo-ticker-...
- 101
2
votes
5
answers
583
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Top 500 Companies in the World – Data
At the basis of an algorithm, I need an Excel/CSV file containing the world's top 500 companies (with respect to market cap, preferably free-float if possible) by Name, Country, Market-Cap (in USD, or ...
- 31
1
vote
0
answers
72
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Historical data on valuations for internet companies during dot-com bubble
I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
- 27.4k
0
votes
1
answer
193
views
Cap/Floor on a SpreadOption grid
I have a spread option data from a broker. The rows are the following :
STK
ATM
-0.5
-0.25
... and the values are forward price ( the strikes used are absolute strike and the value of the raw STK is ...
- 11
0
votes
3
answers
133
views
best snp500 trade data
where is the best place to get spx data, all the trades with exact millisecond timestamps a few weeks back? I don't mind paying for such a service
- 101
0
votes
1
answer
339
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Free website to obtain corporate bond's data similar to cbonds?
Does anyone know of any website where I can obtain corporate bond's data in the same fashion as "cbonds" (they let you look up by issuer, maturity, etc.). Ideally free?
I need to know bond ...
- 316
0
votes
0
answers
476
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IB API - get data on position that close
I am trying to implement a few new features for my trading system. My plan for now is to initially buy the stocks i wants (using Vwap) and when the order has closed (bought all the quantity) I want to ...
1
vote
0
answers
284
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Machine Learning model forecasting on real time data in python
I’m building a Forex trading system based on machine learning with Python and brokers API. I get price time series data + fundamental data and then i train the model on that. Model means SVM, RF, ...
2
votes
2
answers
116
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List of public US (NYSE, Nasdaq) companies that filed for bankruptcy in the last 10 years
I am working on a Data Science project on bankruptcy prediction. I am looking for a list of listed US companies that filed for bankruptcy in the last 10 years but I am really struggling to find any ...
- 21
1
vote
0
answers
47
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How to use pivot points for a sell/buy order?
I have implemented some trading strategies like macd and sma. When the lines are crossing they give a sell or buy signal.
Now I have calculated pivot points of one day
...
- 111
0
votes
0
answers
55
views
transforming variables
I am would like to create a regression model with different variables however before using these variables in my regression model I would like to transform the variable in order to make it more ...
- 329
0
votes
1
answer
363
views
Are there any public LIBOR Data sources?
I am looking for 1 and 3 month LIBOR rates available through an API. I am familiar with the rates available on FRED, but they are only available with a 1 week lag. Unfortunately, I'm looking for no ...
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1
vote
1
answer
207
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Any database with all of companies previous CEO's?
I'm doing some research on CEO's and company chairmen and I'm looking for a database that contains this data for all the public US companies. The data needs dates associated with the names as well. I'...
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-3
votes
1
answer
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Why no stock's amount data on us stock market?
In chinese stock market , every stock's traded volume and amount (price * volume) data was disclosed.
Why in us stock market no amount data disclosed?
There must be such 7 fields as ...
- 95
0
votes
1
answer
160
views
How to deal with missing stock returns?
If I want to calculate the Covariance between two stocks but there are missing days in both, how can I deal with missing data? I want to use Pairwise deletion and only use the days of which both ...
0
votes
0
answers
113
views
Using a rolling mean or median to fill missing values
I have some 1-minute bar data. The first datapoint has time t0 and the last one t1. 99.5% of the data between the first timestamp and the last timestamp is there and 0.5% is missing (NaN values). I ...
- 442
1
vote
1
answer
61
views
Is there a noticeable difference in making scatter plots and regression models with tick-data or with candle data?
I am asking this question because I want to research some variables. An example is the RSI where the current RSI is updated every tick. This means that the value of the RSI is fluctuating a lot inside ...
- 25
0
votes
3
answers
164
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Affordable NASDAQ/NYSE Tick-By-Tick
I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a ...
0
votes
1
answer
1k
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How to download all stocks from NYSE, AMEX and Nasdaq from CRSP without entering individual company codes?
I was wondering if there is an efficient way to extract data on all the stocks from the CRSP dataset?
In the Query Form I only have the option to enter company codes individually or to upload a .txt ...
- 3
1
vote
1
answer
761
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Downloading Historical Data from Finam.ru
I am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be translated.
The link to download the data is here.
...
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3
votes
3
answers
3k
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List of ticker-symbols of European countries
To download the European countries' equity (stocks) data from CRSP database, I need individual stocks ticker symbols. Can anyone help me regarding how can I get the list of ticker-symbols of European ...
2
votes
0
answers
1k
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Did AlphaVantage drop the swedish stock exchange?
I have used AlphaVantage in the past to get data for the Stockholm Stock Exchange: I don't remember exactly the symbol I used, but it was something along the line of OMX:ABB or STO:ABB (for, say, ABB)....
- 21
0
votes
1
answer
121
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aggregate and convert tick-by-tick using fx data
I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
- 370
1
vote
2
answers
6k
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Global Maximum Drawdown and Maximum Drawdown Duration Implementation in Python
Following along with E.P. Chan's book, I'm attempting to calculate the maximum drawdown and the longest drawdown duration from cumulative portfolio returns. He codes it in MATLAB, but I wanted to try ...
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0
votes
1
answer
307
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Credit Migration Risk
I have a problem in which I have been given data for two periods over a set of customers.
Each set consists of the fields: ID, rating, PD, LGD, Exposure (on- and off-balance sheet exposures), EAD, RWA,...
- 31
0
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0
answers
30
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Why would this price data have lots of spikes above the trend line?
I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ...
1
vote
2
answers
722
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Can I download today's open/close/high/low data for all stocks (in bulk)? [duplicate]
EDIT: Regarding the [duplicate] designation: I carefully checked all the sites listed in the Equities and Equity Indices section of What data sources are available online?. I was not able to find ...
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