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.

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1answer
53 views

List of US Indices [duplicate]

I need to do symbology translations between two financial systems. One part of this is to identify a symbol that is an index in one system so that I can prepend a character to it when I send it to the ...
1
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0answers
122 views

Application of time series analysis to Bitcoin prices

Various exchanges allow for the trading of Bitcoins. The price of Bitcoin was very volatile since the inception of the system, today it is 391.76 USD: I wonder whether time series analysis tools ...
3
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3answers
132 views

Why is the value of the VXX ETN always above short-term VIX futures prices?

If the VXX is simply a constant maturity weighted average of the 1st and 2nd month VIX futures prices, then why is its market price always larger than the maximum of the two? (the larger of the two is ...
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2answers
51 views

Importing daily data: '-1' in volume column

I am working on importing some daily data from a public data source as csv format. The csv convention of the file seems to be that if data is not available for a field, a single white space is used ...
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0answers
19 views

Sample data of quarterly (annualized) real GDP growth

I am looking for a database that provides me the quarterly (annualized) real GDP growth (quarter t and t-1) of US, Germany and England. For the US data i went here: ...
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0answers
66 views

Interest rate models

I'm studying by myself how to model interest rates. Is there any database in which I can find accurate data for indices like Libor, Euribor, Eonia etc?
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2answers
49 views

Definitive way of figuring out companies with multiple classes of stocks

Is there a definitive way of mapping tickers to companies for companies with multiple listed tickers? For example, GOOG and GOOGL are both Google (or now Alphabet), or BRK.A and BRK.B are both ...
4
votes
1answer
492 views

API for after and pre market data

Is there an API or APIs similar to the Yahoo! or Quandl APIs, that give the same access to pre and after market data? I know I can scrape the Nasdaq or Yahoo! Finance sites to get a pre/after market ...
3
votes
1answer
84 views

Estimate market risk premium?

There are uncountably many factor models to estimate stock returns, such as CAPM, Fama-French, Carhart-Momentum, APT etc. Which models can estimate the market (index) return? I found only three ...
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2answers
44 views

Finding a stock traded at two venues

For a project of mine I need to find a stock that is traded on two venues, e.g. NYSE and NASDAQ, but could be others. So I ...
3
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0answers
72 views

What are some options to execute ML algos against with live data using C#, F# or Python for a retail trader?

I'm a retail algorithmic trader. I've written some algorithms that parse intraday movements and make decisions. I still execute trades manually but eventually I need the ability to execute trades on ...
2
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2answers
4k views

Where can I download intraday series for DAX and S&P500 Index?

Where can I download intraday tick data for DAX and S&P500 index prices? I found only daily closing prices.
2
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1answer
56 views

Where can I get alerts for future delisting?

Suppose I have a large universe of US stocks and ETFs (3000). Is there any site where I can get free information for tickers that are delisting ? E.g. recently: (1) on 9/18/2015, Broadcom (BRCM) ...
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0answers
21 views

how to get the current price of a stock in quandl [duplicate]

Is there any way to find the current price of a stock as it fluctuates during the trading day. If so where can I find out how to get real time data of a stock or commodity. Thank you for your help!
1
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1answer
73 views

how are gaps usually handled in market data received with multicast?

Most commonly due to latency reasons, market data is published using multicast protocol. However since multicast is built on top of UDP, it is possible that there could be packet drops. How can the ...
2
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0answers
164 views

How can I use Thomson Reuters Eikon to get a list of large historical companies?

I am trying to use Thomson Reuters Eikon to get a list of historically large companies, for example, what were the 1000 largest companies by market capitalization in 1990? I would like to get lists of ...
1
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0answers
26 views

Historical UK Gilt 2-year and 5-year data

Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
1
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0answers
23 views

NZX market depth data

Can someone point into the right direction for NZX market depth data specifically for individuals? I have tried many vendors but seem to be coming up with "institution-only" responses.
2
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1answer
49 views

List of Economic Data for Index Forecast

What econometric symbol list (or tickers) could be used to forecast return of global stock market indexes (S&P500, TSX, CAC40, ...) and their subsectors? I'm aware of the answer to question: ...
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14answers
10k 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 ...
2
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1answer
141 views

Test .mql4 (meta trader 4 editor) when the fx market offline

I am coding some simple .mql4 program, you know, the fx market is offline on weekend, and the market will be not shown in Meta trader 4 platform. I wanna test my program in meta trader 4 on weekend. ...
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2answers
154 views

Clean EOD global Equities data provider for backtesting investment strategies

I'm trying to find a good source for global equities for EOD data (historical and forward basis), currently using Bloomberg's back office data, but it is very hard to normalize it for corporate ...
2
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3answers
204 views

Latency and Delays across Exchanges

I have recently come across this paper by Battalio et al. "Can Brokers Have it all? On the Relation between Make Take Fees & Limit Order Execution Quality" and realized how little I know about the ...
5
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1answer
309 views

Getting ETF data from google finance

I hope this is on-topic. I want to set-up a set of investment rules and back-test it on a mix of asset-classes. Thus I thought that using ETFs for the back-test would be a good idea (time series could ...
3
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2answers
692 views

How to filter and normalize market data obtained from distinct sources (FIX 4.4, bloomberg, etc) in an algorithmic trading system?

I'm wondering if some of you known how to resolve this requirement: I have to define the architecture of an algorithmic trading system (but I'm not an architect, so I'm trying to do my best). I have ...
2
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2answers
193 views

asian option – exotic option – real data, authentic examples?

I would be pleased if any of You can give me the real example of an asian option (or other exotic option) that is being traded or that is offered by some institution. I have been searching the whole ...
4
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1answer
113 views

Availability of TotalView-ITCH data

I am looking for a cheap (< $500) NASDAQ TotalView-ITCH real-time streaming data feed. Are there any cheap and (relatively) good market vendors out there that offer this? It seems as if the ...
4
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2answers
506 views

Seasonal patterns in financial markets (weekday effects)

What seasonal patterns are there in financial markets? Is my feeling "true" that Mondays are more volatile than e.g. Tuesdays (as information gathered during the weekend can only be turned into an ...
6
votes
6answers
947 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 ...
4
votes
1answer
104 views

What are “Autoquotes”?

I'm reading a 2008 JoFMarkets paper by Shkilko et al. with title "Locked and crossed markets on NASDAQ and the NYSE" in which the authors investigate the determinants of locked and crossed markets. ...
2
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1answer
103 views

Determination of Quote / Trade Ratio

What is the common criteria used to count a quote or trade in reference to the quote/trade ratio? Criteria: If it beats the best bid or offer. If it adds size to the best bid or offer. What if the ...
4
votes
1answer
63 views

Do Regional Central Banks have API's?

Do Regional Central Banks such as the Federal Reserve and ECB have API's to access their Statistics? I've been searching all day and haven't been able to find them. They seem to provide most of their ...
3
votes
1answer
87 views

List competitors for a given stock?

Where can I find a reasonably-priced or free API, database or CSV which contains a list of competitors for a given stock symbol? For example, I want to find competitors for various symbols, like ...
0
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1answer
43 views

Calculating or finding info about the value of a market? for example Cloud Storage [closed]

I am assembling a pitch which will aim towards investors by the end of this year/beginning of next year, and I need to gather information such as how much the Cloud Storage market is worth and how ...
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0answers
664 views

How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
0
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1answer
170 views

list of ADR's by volume or market cap

I'm looking for a list of ADR's (for a simulation) that I can screen by either market cap or volume? If anyone knows of a free way to get such a list it would be much appreciated.
4
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3answers
840 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 ...
1
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1answer
288 views

Market data for options

Looking for recommendations on places to get market data for options. I'm looking at NYSE and NASDAQ only. My current solution is my broker, Tradeking. I can request realtime data for 700 option ...
2
votes
1answer
78 views

Relationshiop between central bank official currency rates and spot forex

Central banks publish official figures for domestic interest rates, as well as spot currency rates for a few select countries (largest trading partners). To prevent arbitrage, I "expect" that in the ...
4
votes
1answer
170 views

Opensource marketdata reference data for retail market

I'm not sure if this is the correct place to post this - but here goes: I have been working on a project for the last few years, during which I have come up with a set of components with the ...
1
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3answers
222 views

Get market cap by ticker on 1.7.2013?

I have a list of all S&P500 tickers, e.g. AAPL, GOOG, JPM. I would like to get their market cap on 1.7.2013 (I don't have Bloomberg, only free internet). Is there an excel addin or other ...
4
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5answers
467 views

CAC40 components historical data

I'm looking for historical data of the CAC40 components. I looked at these previously asked questions: What data sources are available online? Finding historical data for indices as well as Yahoo ...
1
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0answers
66 views

Calculating Asset Returns

The question pertains to a simple phenomenon. There is gold futures listed on Exchange A and Exchange B. Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ...
1
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2answers
170 views

How do I find the entity identifier using BSYM?

I am new to BSYM and would like to do an entity-level search (as described here (towards bottom of document). For instance, a search for "APPLE INC" brings up 266 pages. Which one is for the entity? ...
2
votes
1answer
793 views

Do you know any data source for historical VWAP data?

I am looking for historical VWAP pricing data for north american equities. I haven't been able to find a free/cheap data source. Do you guys know of one ? Also, is there a way to proxy for an equities ...
0
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2answers
550 views

Are there providers of delayed market depth data (DOM, Level II, Order-by-Order, etc)?

I have market depth data visualization software, and I want to create a free version for introduction. As far as I know, exchanges allow to distribute their data for free for the end-users, but only ...
0
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0answers
31 views

Source for Normalized File of ETF Holdings [duplicate]

Does anyone know of a source for a data feed containing ETF Holdings for most ETF firms such as Ishares, Proshares, State Street? I know Bloomberg has this info, but I'm looking for a vendor that can ...
3
votes
1answer
134 views

Free source of historical ETF units outstanding data?

I am looking for a free source of historical daily data of the number of outstanding units of ETFs and ETNs. On a Bloomberg, this would be "VXX.SO Index HP" or something like that. Does anyone know ...
3
votes
1answer
1k views

Difference between the two Bloomberg codes

Bloomberg always have two codes for the same instruments. For example, for Apple, Bloomberg has AAPL US and AAPL UW. I am wondering what is the difference between these two codes? As far as I can ...
3
votes
1answer
790 views

What is the difference between a benchmark yield curve, funding curve and a basis spread curve?

I am trying to understand why these curves are important, and what they are used for in the industry today (if not at all).