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

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1answer
79 views

What is the distribution of stock splits?

I want to know how rare are splits more extreme than, say, 7:1 (and reverse splits similarly). An answer here points to announcements on Yahoo Finance, but apparently only monthly views. What is a ...
1
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1answer
127 views

Company rank within an industry

I'm looking at the list of companies in the S&P 500 Pure Value Index. For each firm, I want to obtain the dividend yield industry percentile rank and the PEG ratio industry percentile rank. I've ...
2
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1answer
136 views

Where can I buy historic raw order by order data for Euronext market?

I cannot find any vendor that sell the full depth order by order data historically. I called Euronext and for some sick reason they "have the data" but "do not sell it". Do you guys know where I can ...
2
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3answers
210 views

Hedge fund database with daily data

I am looking for a hedge fund database that provides returns daily. Is there any data provider that gives daily data?
3
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4answers
835 views

Bloomberg alternatives for fixed income data

I am looking for a (hopefully significantly cheaper) alternative to bloomberg - primarily for fixed income data. Perhaps some survice that has a more modular fee structure (so that I only have to pay ...
0
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1answer
130 views

Forex Fundamental Data Sources [duplicate]

What are the best sources to find free Forex historical Fundamental Data in a .csv format?
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3answers
554 views

Databases for storing and querying high frequency tick-level data?

My firm is looking for an out-of-the-box database system to store and query high-frequency tick data. What are the best options? It seems that kdb+ is the market leader in this field.
0
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1answer
287 views

Source of Quandl Open Data

I am interested in Quandl Open Data, from Quandl.com These data are also denoted as Wiki Data since it relies on users to flag errors. In particular on their website, they say: This new data ...
0
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1answer
132 views

Where can I find historical data for volatility estimation?

I'm trying to estimate volatility following Shreve book, so I need observations of $f(t_j,t_j+\tau_k)$ and $f(t_j+\delta,t_j+\tau_k)$, where $t_J<t_{J-1}<\dots<0$ and $\tau_k$ are relative ...
0
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1answer
83 views

Need weighted global stock index data (components / weights)

To implement a portfolio generator, I require a set of suitable stocks. Ideally it would use the components of the MSCI World Index and use the index weights for the probability of picking a stock ...
1
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1answer
381 views

Empirical copula

I am trying to find the empirical copula linking two random variables $X$ and $Y$. I have some data available but it's limited with respect to the variable $Y$ and I am not convinced it's enough data ...
1
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1answer
35 views

FTSE AIM Components From 2000, 2001, … 2013

From where can I get a list of historical component lists for the FTSE AIM Index as well as other indices? I see that there is a page for data sources here, but that page does not contain what I am ...
1
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1answer
136 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 ...
0
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2answers
154 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
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0answers
131 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 ...
1
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2answers
371 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 ...
1
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2answers
2k 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
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1answer
68 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?
0
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1answer
111 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 ...
4
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3answers
683 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
466 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 ...
0
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0answers
66 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 ...
1
vote
2answers
594 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 ...
1
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1answer
440 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 ...
3
votes
2answers
315 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
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3answers
2k 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
259 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
325 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
628 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
186 views

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

DB has some sample Level 2 market data: ...
0
votes
0answers
248 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
183 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
683 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
280 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
483 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? ...
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2answers
3k 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
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3answers
820 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
370 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
3k 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
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2answers
352 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
214 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
994 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
387 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
3k 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
207 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
540 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
302 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 ...
5
votes
3answers
860 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
166 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
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2answers
901 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.