Can someone give an overview or literature on Intraday Data Stylized Facts? In particular for equity market returns or exchange rates.
Where can I download intraday tick data for DAX and S&P500 index prices? I found only daily closing prices.
Multicast feeds have several lines some of which are dedicated for sending current order-add/modify/delete. Its is a implicit restriction that for a single security order-add/delete/modify will be ...
For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders ...
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 ...
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 ...
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 ...