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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2
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2answers
105 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
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1answer
66 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?
2
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1answer
447 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
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0answers
243 views

comparing total returns from various data vendors

I need to use various data sources to cover all of my data, and I am concerned by the discrepancies in total returns. Data vendors were helpful, but their simple documentation did not help resolve why ...
2
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1answer
430 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 ...
1
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2answers
1k 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 ...
1
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3answers
1k views

Is there a Bloomberg field for a bonds (upcoming) coupon dates?

For a specific bond I need to calculate the time until each of the upcoming cash flow payments (for obvious reasons). So I wondered if there is a field (bulk data) that gives me all the dates of the ...
1
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1answer
175 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
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1answer
41 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 ...
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3answers
126 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 ...
1
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2answers
803 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
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1answer
232 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 ...
1
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2answers
115 views

Is the purchase of a stock publicly accessible?

If an investor bought a stock, could another private party access that information anywhere? Does the SEC/exchange itself create a real time/ historical record of who holds what stocks, and is that ...
1
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2answers
1k 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.
1
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1answer
69 views

What is the distribution of stock splits?

I want to know how rare are splits more extreme than, say, 7:1 (and reverse splits similarly). An answer here points to announcements on Yahoo Finance, but apparently only monthly views. What is a ...
1
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1answer
75 views

Where can I buy historic raw recording of an exchange

Say I want to buy historically recorded raw feed from an European exchange (say LSE). Is there a vendor that would sell me this data ? EDIT: By raw feed I mean the order by order feed (or equivalent) ...
1
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1answer
74 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 ...
1
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2answers
165 views

Real-time market data from the exchanges: what should we be aware of?

We receive daily end-of-day data from a data vendor (i.e. not direct from an exchange) and are comfortable with this. We are now wanting to receive live data, and after a few enquiries we are feeling ...
1
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1answer
126 views

Normalization of Market Data in Time Series Correlation

Suppose we have 2 time series of market data, one for each security and we want to correlate between these 2 securities. My question is How do we handle gaps of missing data in the time series? ...
1
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1answer
125 views

Company rank within an industry

I'm looking at the list of companies in the S&P 500 Pure Value Index. For each firm, I want to obtain the dividend yield industry percentile rank and the PEG ratio industry percentile rank. I've ...
1
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0answers
24 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 ...
1
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1answer
40 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 ...
1
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0answers
27 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: ...
1
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1answer
156 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, ...
1
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0answers
39 views

Convertible bonds market data

My question is twofold. First, what are the key informations used to describe a convertible bond market ? I'm thinking about market size, conversion rate, appropriate index, ... Second, where to ...
1
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1answer
145 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 ...
1
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0answers
58 views

Get: Historic S&P500 Market Cap

I need the market cap of the S&P500 components on 2.6.2013. It should be easily downloadable via Bloomberg, but I dont have this databank. E.g. you could use ...
1
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3answers
210 views

Industry convention to track trading performance against market indices?

I come from a programming background and not am no quant by career so this is probably a newbie question for you guys. I have written some code to pull daily closing values for market indices ...
1
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0answers
201 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
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0answers
137 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 ...
1
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0answers
973 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 ...
1
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1answer
31 views

FTSE AIM Components From 2000, 2001, … 2013

From where can I get a list of historical component lists for the FTSE AIM Index as well as other indices? I see that there is a page for data sources here, but that page does not contain what I am ...
0
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3answers
138 views

Where can I find a correlation matrix between the revenues of different industries?

I don't need something super complicated, I would just like a quick and dirty way of estimating the correlation coefficients between the revenues of different companies. Information on companies in ...
0
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1answer
118 views

Calculating company-level market capitalisations from share quantities and values

I want to calculate company-level market cap values for stock exchanges listed by Bloomberg. I gather this can be calculated as the product of share price and the total of shares in circulation. But ...
0
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1answer
172 views

Level II market data (equities)

I have been playing around with some equities historical market data and I understand that different exchanges have different definitions of what Level II (Limit Order Book) data means. What I'm ...
0
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2answers
734 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 ...
0
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1answer
103 views

How to convert trasaction log to bid-ask ticks

I have data from exchange in transaction log format that indicating: price volume timestamp That element indicating that timestamp transaction was made on price of size volume. My question is how ...
0
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2answers
190 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 ...
0
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2answers
104 views

float64 to store price data: is precision sufficient?

I am looking to store equity price data in a hdf5 table. The use will be purely as a historical archive, not as day-to-day data source. Options One option would be to store base10 significand and ...
0
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1answer
90 views

Finding historical data for indices [duplicate]

Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on ...
0
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1answer
63 views

How do I find the mappings between sedol and isin codes?

I am looking at data for Unit Trusts and OEICs in the UK. They are identified by SEDOL or ISIN codes. Given an SEDOL, how can I find the ISIN associated with the same product? And given an ISIN, ...
0
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2answers
80 views

Calculate price of index from underlyings (weightings included)?

I have a day's worth of LSE data (FTSE100 companies) and I also have their weightings for the FTSE100. Ignoring the net present value of money, how do I calculate the current value of the FTSE? I ...
0
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2answers
36 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 ...
0
votes
1answer
52 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?
0
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1answer
44 views

Where to obtain Eurex level 2 historical order book data from?

What are some possible sources to obtain Eurex level 2 historical order book data from? Unfortunately I have only been able to find 1 source - namely Eurex itself, which charges 2000 Euro/month for ...
0
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1answer
32 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 ...
0
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2answers
67 views

Historical data resources for Indian market

What is the best source for historical EOD data for Indian stock market? The data from Yahoo finance for some companies is not up-to-date and Google finance doesn't provide adjusted close prices. What ...
0
votes
1answer
85 views

Where can I find a guide to implement the FAST protocol from scratch having already a FIX implementation ready?

I need to implement a FAST engine from scratch without using any open source or commercial FAST implementations. The FAST spec does not help much so I am not sure from where to start. Have anyone done ...
0
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2answers
288 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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1answer
258 views

Source of Quandl Open Data

I am interested in Quandl Open Data, from Quandl.com These data are also denoted as Wiki Data since it relies on users to flag errors. In particular on their website, they say: This new data ...