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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2answers
162 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? ...
3
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1answer
89 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 ...
2
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2answers
146 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 ...
3
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1answer
604 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
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1answer
552 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).
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0answers
43 views

Charting order depth over time periods

I do a lot of analysis on order flow, tape reading, as it gives insight into what market participants want, or may be willing to do. In comparison, price charts show what happened, and technical ...
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0answers
95 views

is there a limit on how many times i can access fxcm xml feed

i'm writing an python application that uses fxcm's xml feed. here is the link http://rates.fxcm.com/RatesXML does anyone know if there are limits on how many times you can access this data? right now ...
2
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1answer
90 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 ...
2
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0answers
86 views

Finding relative price strength as defined in CANSLIM stock picking methodology

I am wondering if there is any website that provides relative price strength as is defined in CAN SLIM stock picking methodology. For the CAN SLIM difinition I am looking at this article: ...
5
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2answers
4k views

Market Data Sources Bloomberg Vs Reuter

In my project, we have two version of systems. One version is for derivative trades and other version is for bond trades.For derivatives we get the market data from Reuters and for Bonds we are ...
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2answers
85 views

How to adjust historical data highs/lows for splits and dividends?

When I download historical data from yahoo finance, only the closing price is adjusted for dividends/splits. Is there a way of figuring out the factor by which lets say the highs/lows have to be ...
3
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2answers
505 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 ...
1
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1answer
113 views

Are there industry standards form market data server and real time linux kernel?

I'm wondering if there is some standard in the industry about the version of the linux kernel of a computer to run a market data engine on it. (market data engine = connect to brokers, subscribe to ...
0
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1answer
56 views

biggest rally data collection

Where can I find data for biggest rally(price rally) in a day? If this sort of information is not readily available, how could I produce/transform such data?