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

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7
votes
2answers
2k 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 ...
3
votes
1answer
345 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. ...
16
votes
4answers
9k 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 ...
2
votes
2answers
209 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
953 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
355 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 ...
5
votes
0answers
518 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 ...
1
vote
0answers
201 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 ...
9
votes
2answers
455 views

Effective Euro-USD (EURUSD) Exchange Rate Prior to Euro's Existence

Motivation: I am running a quantitative analysis that requires long-term, exchange rate data. Problem: Does anyone have methods for dealing with the EURUSD exchange rate prior to the Euro's ...
13
votes
4answers
5k views

data on historical stock price of bankrupt companies

does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers? it appears that bankrupt companies no longer appear in the ...
4
votes
1answer
287 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
799 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 ...
1
vote
2answers
833 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.
7
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 ...
2
votes
1answer
157 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
1answer
623 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
94 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 ...
3
votes
1answer
357 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 ...
3
votes
1answer
318 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
3answers
367 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 ...
1
vote
1answer
134 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?
1
vote
1answer
247 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. ...
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 ...
3
votes
2answers
894 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 ...
10
votes
2answers
707 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: $$\frac {mean(HIGH-LOW)}{mean(|CLOSE-OPEN|)}$$ ...
8
votes
3answers
931 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
1k 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 ...
3
votes
3answers
3k views

Monthly data for popular indices (constituents).

Trying to be concise: I am interested in the most popular indices (SP500, FTSE100, DAX30, CAC40, SMI30, etc). For each index I want to know its constituents in a monthly basis. For each constituent ...
6
votes
1answer
388 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 ...
16
votes
2answers
3k 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 ...
10
votes
3answers
804 views

Literature on generating synthetic time series for testing

I have some market data (daily time series) for bond prices and CDS indices and I would like to generate synthetic versions of these which are statistically "similar" for testing trading strategies. ...
22
votes
5answers
6k 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
3answers
6k 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 / ...
8
votes
1answer
627 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 ...
2
votes
0answers
175 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
277 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
495 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
883 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
111 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 ...
3
votes
0answers
471 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 ...
10
votes
2answers
376 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
988 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
341 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
344 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 ...
0
votes
1answer
602 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 ...
12
votes
2answers
2k 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 ...
22
votes
2answers
2k 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
235 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 ...
8
votes
3answers
2k 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 ...
3
votes
1answer
1k 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 :)). ...