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.

learn more… | top users | synonyms

4
votes
1answer
616 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 ...
3
votes
4answers
688 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 ...
3
votes
2answers
69 views

What is the name of all 1-day movements, 2-day movements etc

When looking at historical data (index or stock), one can find all 1-day differences/movements, all 2-day, all 3-day etc and graph the extremes of each of these. This gives two line graphs forming a ...
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
585 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 ...
3
votes
3answers
897 views

How to record tick data from Google/Yahoo Finance data streams?

Is there any way to record or piggyback with an app, code or excel Google finances' or Yahoo finance's data stream? Ideally, I need tick by tick data, as in every price change of the day. All the ...
3
votes
1answer
83 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 ...
3
votes
1answer
255 views

Measuring and proxies for leverage in the financial system

It can be argued that the leverage - reflected by how much collateral people or firms need to put down to borrow and might lose if they fail to pay the loan back - used in the financial system is one ...
3
votes
1answer
79 views

Information on Weather Derivatives

I am looking for relevant information on the organization of the Weather Derivatives market. How is it organized? How information is shared? Where can we find historical database? I am aware of the ...
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 ...
3
votes
1answer
130 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
2answers
374 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 ...
3
votes
1answer
782 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).
3
votes
2answers
77 views

Finding Credit Risk Population Data

Are there any free or relatively cheap sources of aggregate data on credit risk for specific geographic regions, ages, and so on?
3
votes
0answers
43 views

How does a Broker-Dealer lend shares to other Broker-Dealers?

Is it possible to find out how a OTC Broker-Dealer in thinly-traded equities lends shares for short-sales to other Broker-Dealers. Which platform or process is involved?
3
votes
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 ...
3
votes
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 ...
3
votes
3answers
376 views

Sources of index data (MSCI, FTSE, S&P etc.)?

Who are the major suppliers of index data that cover multiple index providers, e.g. MSCI, FTSE, S&P etc? There are a huge number of people sourcing e.g. equity data, but index data is much harder ...
3
votes
2answers
685 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 ...
3
votes
1answer
45 views

Where to find Investment home bias data & Historical country weight in World MSCI

I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters. Investment home bias, e.g in 2012 US ...
2
votes
4answers
3k views

Are PX_BID and PX_ASK on Bloomberg closing bid/ask? or are they daily averaged?

Bloomberg provides PX_BID and PX_ASK on a daily basis, but it's not clear exactly where these numbers come from. Are they closing bid and ask prices, or are they averaged over the entire day? For ...
2
votes
2answers
5k views

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
2
votes
1answer
178 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 ...
2
votes
2answers
156 views

Free high resolution financial data

As thebonnotgang(1) stopped updating their database, I was wondering if there are some other free sources of high-frequency data available. I found a proper tick data api (ca. 25 day history) hosted ...
2
votes
1answer
55 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) ...
2
votes
2answers
250 views

Intraday Data - Stylized Facts?

Can someone give an overview or literature on Intraday Data Stylized Facts? In particular for equity market returns or exchange rates.
2
votes
1answer
484 views

Is Reuters Instrument Code (RIC) case-sensitive?

Someone in my organization claims that RIC codes are case-sensitive. So for example: SPXi201420000.U does not refer to the same instrument as ...
2
votes
1answer
161 views

Where can I buy historic raw order by order data for Euronext market?

I cannot find any vendor that sell the full depth order by order data historically. I called Euronext and for some sick reason they "have the data" but "do not sell it". Do you guys know where I can ...
2
votes
3answers
529 views

Transaction Data with Participant ID

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 ...
2
votes
2answers
257 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 ...
2
votes
2answers
1k 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.
2
votes
3answers
159 views

Candlesticks: timestamp on open versus close

It seems there is not a universal rule on how should the timestamps of candlestick data be set. I have the impression that using a timestamp on open is more common (i.e.: a 1-Minute candle with a ...
2
votes
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 ...
2
votes
1answer
77 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 ...
2
votes
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
votes
2answers
592 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 ...
2
votes
1answer
48 views

What is the cheapest way to connect to Nasdaq for market data and trading *electronically*?

I would like to connect to Nasdaq to execute some simple automated strategies. I am NOT a big bank or hedge fund, so paying a high monthly fee is impractical. Is there a way for a small startup or ...
2
votes
2answers
165 views

Source for real-time tick data (stock price, etc.) updated every second?

For educational purposes, I'm looking for a source for now's real-time tick data for stock prices, or FOREX, etc., with a 1 second precision. Is there such free data feed? If not, could such data be ...
2
votes
1answer
56 views

Historical index components (FIGIs) from bloomberg?

In order to run strategy simulations, I am trying to build a database of historical equity data using Bloomberg. I can pull the ticker symbols corresponding to the components of an index at any point ...
2
votes
1answer
89 views

Fed FOMC Target Rate annnouncement machine readable data point

Does anyone know if there is a near-realtime machine-readable feed that reflects the FOMC target rate announcement? The announcement came in today at 2 pm, but I can't find a way to download the ...
2
votes
1answer
140 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. ...
2
votes
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 ...
2
votes
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 ...
2
votes
2answers
253 views

Executions deep in the Limit Order Book?

I have some Level III (message level) data for equities and I have found several cases in which I register the execution of a Limit Order at a price "worse" than the best bid or ask. For example, ...
2
votes
2answers
434 views

Free access to official real-time and intraday data for exchanges [duplicate]

Where can I obtain all official real-time and intraday data for exchanges — NASDAQ, NYSE, AMEX, OTC, CME, etc? I feel like the raw data is out there to be consumed and parsed at no cost (except the ...
2
votes
1answer
784 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 ...
2
votes
0answers
61 views

Data source for a corporate bond yield curve?

Yield curves are a valuable tool for economic analysis. It is particularly interesting to analyse the difference between Government Debt yields and Corporate Debt yields (credit spreads). This gives ...
2
votes
0answers
162 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 ...
2
votes
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: ...
2
votes
0answers
46 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 ...