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

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0
votes
2answers
174 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!!
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 ...
2
votes
1answer
362 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 ...
1
vote
1answer
25 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 ...
0
votes
1answer
101 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 ...
0
votes
1answer
238 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 ...
5
votes
0answers
377 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
60 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
vote
0answers
185 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 ...
0
votes
0answers
27 views

The list of all UCITs IV funds tickers

I am looking for the list of tickers for all the UCITs IV complaint funds. Could there be such a list? Thanks,
0
votes
0answers
27 views

Where can i find financial data of CDO's starting from 1996

I'm searching for financial information on CDO's from 1996. These infos should include: Collateral,Type (RMBS, CMBS, CDO2, CLO, ABS,etc.) their course, Underlying, Rating, duration,year,and interest ...
0
votes
0answers
50 views

Price variances on fixed income assets

New to the site. I am currently working on a project that involves analyzing two pricing sources (IDC and Markit) on fixed income assets (Corp, High Yield, Muni, and Structured). I am trying to ...
0
votes
0answers
43 views

Mapping Futures Data Into Mantas

Can anyone please help me figure out how to map 'Futures Data' into Oracle Mantas. I believe 'Futures Data Feed' will have a different 'Format' from the one acceptable to 'Mantas' risk management.
0
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0answers
182 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.
0
votes
0answers
427 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
votes
0answers
239 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). ...