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

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1
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3answers
937 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
201 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
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1answer
253 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?
2
votes
1answer
580 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, ...
3
votes
1answer
179 views

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

DB has some sample Level 2 market data: ...
0
votes
0answers
207 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
156 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
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0answers
570 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
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0answers
256 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). ...
3
votes
3answers
412 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? ...
6
votes
2answers
2k 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 ...
1
vote
3answers
581 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, ...
3
votes
1answer
282 views

What is lagged interest rate?

I am trying to reproduce a plot in "Statistics and Data engineering for Financial Engineering" by D. Ruppert. The author uses the risk free returns data available in the Ecdat package in R. ...
7
votes
5answers
2k 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.). ...
1
vote
2answers
272 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
189 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 & ...
3
votes
1answer
743 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 ...
3
votes
1answer
296 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 ...
3
votes
3answers
2k 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 ...
1
vote
0answers
188 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 ...
5
votes
0answers
440 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 ...
4
votes
1answer
272 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 ...
4
votes
3answers
695 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
2answers
152 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
652 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.
6
votes
4answers
3k 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 ...
-1
votes
1answer
567 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
93 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 ...
4
votes
3answers
341 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 ...
3
votes
1answer
332 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 ...
2
votes
1answer
148 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 ...
2
votes
4answers
4k 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
129 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?
3
votes
1answer
313 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 ...
4
votes
1answer
2k 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 ...
1
vote
1answer
243 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. ...
3
votes
2answers
821 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 ...
8
votes
3answers
867 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
844 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 ...
13
votes
12answers
6k 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 ...
6
votes
1answer
378 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 ...
7
votes
2answers
1k 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 ...
8
votes
1answer
540 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 ...
12
votes
3answers
5k 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 / ...
2
votes
0answers
173 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
256 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 ...
4
votes
0answers
109 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 ...
8
votes
2answers
858 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 ...
3
votes
0answers
377 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 ...
1
vote
0answers
883 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 ...