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

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6
votes
1answer
374 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
2k 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
620 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. ...
21
votes
5answers
5k 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
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 / ...
8
votes
1answer
501 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
172 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
248 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
457 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
839 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
108 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
343 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
359 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
814 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
326 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
309 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 ...
-1
votes
1answer
536 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
1k 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 ...
19
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
231 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
1k 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 :)). ...
5
votes
1answer
482 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
265 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 ...
6
votes
2answers
927 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 ...
1
vote
0answers
597 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 ...
6
votes
1answer
978 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 ...
5
votes
1answer
172 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
624 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
136 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
385 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
1k 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
621 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?
16
votes
8answers
3k 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 ...