Market-data includes all questions relative to data acquisition for the different financial products. It can also include questions about how market data are computed.
-3
votes
0answers
61 views
Good source for S&P multiplier [closed]
Where can I find a good source for current and historical S&P multiplier.
Is there a good source to view the aggregated company's profit as a percentage of the GDP?
0
votes
0answers
65 views
How can I cope missing data values with excel? or any other software? [closed]
I have to compute Amihud (2002) illiquidity measure for US stock market and I have some missing values in the time-series.
Many papers suggest to use linear interpolation for fitting missing values; ...
0
votes
2answers
108 views
Credit risk data
I am trying to get historical data for credit risk and do some analysis on it as a school project. I thought CDX index might be a good proxy for typical credit risk data, but I am not sure. Typically ...
5
votes
4answers
518 views
Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
Is there any known solution (preferably open source) to map between ticker symbols, Reuters and Bloomberg symbols. For example:
Ticker: AAPL
Reuters: RSF.ANY.AAPL.OQ
Bloomberg: AAPL US Equity
...
1
vote
0answers
145 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 ...
1
vote
3answers
118 views
Quick way to check what 'tape' a stock belongs to?
For the SIP feeds, there is the CTA and the UTP plan and they cover Tapes A,B and Tape C respectively. Is there an easy way to check on google what tape a stock would belong to? Particularly when it ...
3
votes
2answers
150 views
NYSE binary data, convert to ASCII
The data product "TAQ NYSE Order Imbalances" from the New York Stock Exchange is in a format that is described pretty well in sections 4.8, 4.9, 4.10, and 5 of the document "NYSE Order Imbalances ...
0
votes
0answers
52 views
What are reasonable bounds for historical Price to Earnings?
I am working with the US CRSP universe and have constructed a time series of monthly price-to-earnings back to the early 1960s. I have this for both individual securities as well as for portfolios ...
4
votes
4answers
345 views
What sources would you recommend for Real Time Market Data other than Bloomberg/Reuters?
I am dealing with a strategy that is not high-frequency based.
The strategy consumes normalized data from Bloomberg and Reuters.
For US equity market, can someone recommend some real-time data ...
0
votes
1answer
194 views
Where can I put some Bloomberg API C# tools online? [closed]
I have some tools I wrote in C# for handling Bloomberg API requests and responses and I think they would be useful to other programmers. Where is a good place to put useful code online?
Google ...
-3
votes
1answer
334 views
Is there a piratebay for data(bases)? (here, talking about historical financial data) [closed]
I would like to, for example, access (and later, upload), for example, historical financial data for the S&P500.
If a piratebay for databases existed, maybe we could freely share information that ...
0
votes
0answers
134 views
End of Day Market Data (One Minute Interval) for Commercial Purpose [closed]
I am developing a website and looking to use end-of-day data to calculate technical indicators and display them on it.
Please provide any financial data vendor that provides above mentioned data for ...
1
vote
1answer
154 views
Looking for analysis of NASDAQ suit?
I may have every particular detail of this wrong, including the exchange, but years ago, maybe as long as 20, there was a successful suit against NASDAQ based on research by academics showing their ...
1
vote
2answers
179 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.
-1
votes
1answer
322 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 ...
2
votes
1answer
215 views
What are the advantages of knowing the bid and ask over the best bid and ask?
I am importing historical intraday tick data from Bloomberg and I noticed the Bloomberg API allows users to import best bid, best ask, bid, and ask prices
If I am backtesting a trading strategy, what ...
0
votes
1answer
364 views
S&P 500 P/E percentile
I am researching the past five year return for the securities in the top and bottom 10 percentile of the S&P 500 on date 5 years ago. I used Bloomberg to get this data. When I searched for the ...
1
vote
1answer
488 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 ...
6
votes
3answers
281 views
What is an acceptable error on implied volatility?
Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ?
This obviously depends on the model used to ...
5
votes
1answer
275 views
With there being such a high demand for electronic trading or just trading in general why are market hours so limited?
I am curious why a lot of market hours are something like 9 to 3 or 9 to 4 pm when there is such demand and so many prop shops and more out there. I know certain markets are continuous trading but a ...
1
vote
0answers
101 views
Is there a general format for various sources of futures market-data?
I am developing a market-data engine that receives market-data from different futures exchanges. So I need a general format to deal with sources from different exchanges. Protocols like FIX only ...
8
votes
3answers
596 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 ...
1
vote
2answers
260 views
definition for “the viscosity” in financial market data series
I am willing to calculate and monitor the evolution of extreme-viscosity in the financial markets data series.
Wikipedia says "Put simply, the less viscous the fluid is, the greater its ease of ...
8
votes
7answers
2k 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 ...
4
votes
4answers
1k views
Historical Level 2 Data (Market Depth)
I'm currently looking to hone a system using market depth however I am looking for a good source of historical level 2 data.
As of right now the best source of historical I have found is automated ...
8
votes
1answer
294 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 ...
8
votes
7answers
732 views
Has spectrum analysis ever been used successfully to analyse historical price data?
Spectrum analysis is often used to analyse waveforms. A common configuration, for example, is to create a graph where X is time, Y is frequency, and the brightness of each position represents ...
6
votes
3answers
346 views
How to account for jumps in intraday data when calculating beta?
I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling
\begin{equation}
Y = \beta * X + c
\end{equation}
where $Y$ is the return of XLF ...
5
votes
1answer
292 views
What are some quantitative method behind etf vs cash arbitrage?
Has there been any studies done on the correlation between etf vs cash (i.e. GLD vs GD) for example and how they should theoretically move together, and what fundamental reasons could cause them to ...
3
votes
4answers
489 views
Do markets typically fall fast, and rise slowly
I'm wondering if there is some measurement or name to this notion, i.e.:
Markets typically fall fast, but rise slowly.
It seems like this is the case -- get some bad news out of Europe on the debt ...
6
votes
2answers
1k views
Which algorithm should I look into to kick off my research in algorithmic trading? [closed]
I have recently undertaken a research into automated algorithmic trading algorithms.
The aim of the research is to focus on studying algorithmic trading and trying to improve a basic implementation ...
6
votes
2answers
252 views
What close price to assume for thinly traded stocks?
If a thinly traded stock has not traded for the last few days (volume=0), is it better to use the last known trade price (i.e. roll over last non-missing trade price) or use last known ...
1
vote
0answers
598 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 ...
5
votes
2answers
218 views
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated?
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated? What measures of order flow are available specifically for options, preferably for ...
6
votes
2answers
207 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 ...
7
votes
3answers
298 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 ...
-2
votes
1answer
344 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 ...
4
votes
1answer
378 views
Can anyone give me a practical example of pricing and calculating IV on equity index options? (i.e. using real market data)
I have been trading (mostly equity and equity index) options for a while now and I want to apply a slightly more quantitative approach to my trading - specifically, by calculating IV and incorporating ...
9
votes
3answers
399 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. ...
6
votes
4answers
6k views
Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?
I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in ...
5
votes
1answer
314 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 ...
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 ...
8
votes
3answers
999 views
Earnings and valuation data sources online
Are there any free/cheap sources for historical data on company earnings and valuations? I can get historical price data from Google and Yahoo, and it looks like I can get about five years of ...
4
votes
2answers
657 views
Mass Market Data Source
My current project requires large amounts of historical and real-time market data (1m or 5m bars for various products, mostly US futures for as far back as available). This data will be analyzed by ...
4
votes
1answer
390 views
Where can I find European and Scandinavian convertible bond prices?
I'd like to expand on the Data Sources Online question. I found this site for a German convertible bond, all free and not requiring a sign-up.
Börse Stuttgart
German Google
I am looking for ...
13
votes
3answers
3k views
Free market data (delayed or snapshot)
I know there are similar questions but I don't think there are any identical ones.
Basically, I'm looking for one of these two things.
Delayed market data feed. A tick by tick feed, but delayed by ...
12
votes
6answers
2k views
What is the best data structure/implementation for representing a time series?
I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series.
...
