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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5
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3answers
3k views

Quick way to check what 'tape' a stock belongs to?

For the SIP feeds, there is the CTA and the UTP plan and they cover Tapes A,B and Tape C respectively. Is there an easy way to check on google what tape a stock would belong to? Particularly when it ...
0
votes
1answer
127 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 ...
6
votes
4answers
326 views

Efficient Markets Paradox

Basically all Quant Finance theory is build on No-Arbitrage presumption and Efficient Markets Hypothesis. The known Grossman-Stiglitz Paradox says: if one can't make money from trading, one wouldn't ...
4
votes
3answers
622 views

Algorithm to detect the aggressor side of a trade

Most of the exchanges provide aggressor side property of trades (e.g. Tag=5797 AggressorSide on CME) in their raw data. But many data providers do not provide this information via their datafeed ...
-2
votes
1answer
2k views

Is there a piratebay for data(bases)? (here, talking about historical financial data) [closed]

I would like to, for example, access (and later, upload), for example, historical financial data for the S&P500. If a piratebay for databases existed, maybe we could freely share information that ...
1
vote
1answer
415 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 ...
0
votes
1answer
73 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, ...
1
vote
1answer
89 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
vote
1answer
130 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 ...
2
votes
1answer
152 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 ...
1
vote
2answers
121 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 ...
0
votes
1answer
341 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 ...
1
vote
1answer
99 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) ...
0
votes
0answers
28 views

Nominative financial datas

For a study I am looking for financial datas about trades in double auction markets. It would typically be transaction history containing the name of the participant (buyers and sellers) and the ...
5
votes
1answer
135 views

Attribution of unusual persistence in noncompetitive TAQ quotes levels?

I am looking at one day of AAPL quotes (3 Dec 2012) from TAQ to examine quote-based high frequency vol estimators. However, I found that a number of exchanges, when quoting noncompetitively, seem to ...
1
vote
1answer
36 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 ...
-1
votes
1answer
391 views

Were can I find Historical Interest Rate Data?

Where can I find American historical Savings Account interest (Bank) rates? If you can, please attach corresponding links.
0
votes
0answers
71 views

full tick and retail tick data feed difference

Full tick institutional data feed like elektron from reuters, how is it different from retail tick data feed & which charting softwares work with elektron data feed
5
votes
4answers
7k views

Data source for historical Share Outstanding totals for individual stocks?

Data is normally adjusted for splits/reverse splits, etc. The current shares outstanding is usually available. Is there a data repository that captures the shares outstanding for any point in the ...
1
vote
3answers
224 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 ...
0
votes
3answers
233 views

How can I determine U.S. market capitalization percent using WFE data?

It seems that I should be able to readily compute U.S. market capitalization percentage of global capitalization using data reported from this page at the World Federation of Exchanges. How can I ...
26
votes
6answers
41k views

Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?

I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in ...
9
votes
5answers
5k views

Earnings and valuation data sources online

Are there any free/cheap sources for historical data on company earnings and valuations? I can get historical price data from Google and Yahoo, and it looks like I can get about five years of ...
4
votes
2answers
1k views

Mass Market Data Source

My current project requires large amounts of historical and real-time market data (1m or 5m bars for various products, mostly US futures for as far back as available). This data will be analyzed by ...
13
votes
3answers
5k views

Free market data (delayed or snapshot)

I know there are similar questions but I don't think there are any identical ones. Basically, I'm looking for one of these two things. Delayed market data feed. A tick by tick feed, but delayed by ...
4
votes
1answer
591 views

FIX binary decoder

Not sure if this is the right question board for this - It sounds like CME is switching their MDP platform from FAST to Simple Binary Encoding and it will be going to production soon. Does anybody ...
0
votes
0answers
66 views

Need 24 hours a day real time/slightly delayed prices of futures contracts on US and non-US [duplicate]

I'm looking for a data provider to get real-time/slightly delayed data for futures contracts on US and non-US indexes 24 hours a day. Can you recommend anything for a person, who can't afford ...
0
votes
2answers
92 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 ...
8
votes
1answer
170 views

When did volatilities start to smile in capital markets?

Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?
0
votes
1answer
121 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 ...
11
votes
8answers
3k views

Has spectrum analysis ever been used successfully to analyse historical price data?

Spectrum analysis is often used to analyse waveforms. A common configuration, for example, is to create a graph where X is time, Y is frequency, and the brightness of each position represents ...
6
votes
1answer
515 views

When does the Epps effect start?

Wikipedia defines the Epps effect as follows: In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns ...
1
vote
3answers
3k 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 ...
0
votes
1answer
430 views

Where can I get real-time equity options quotes for a reasonable price (i am not a company) besides screen scrapping Yahoo! Finance? [duplicate]

Want to have electronic access to equity options quotes in real-time. Is there anyone offering this service to the individual investor for a reasonable price? Again it must be electronic, in other ...
3
votes
1answer
233 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 ...
0
votes
1answer
126 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 ...
5
votes
1answer
1k views

Can anyone give me a practical example of pricing and calculating IV on equity index options? (i.e. using real market data)

I have been trading (mostly equity and equity index) options for a while now and I want to apply a slightly more quantitative approach to my trading - specifically, by calculating IV and incorporating ...
3
votes
0answers
345 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 ...
0
votes
1answer
106 views

Analyst Forecasts for monthly unemployment rate

Are there any resources that tabulate past analyst forecasts for the monthly unemployment rate along with the dispersion of the forecasts
0
votes
1answer
485 views

S&P 500 P/E percentile

I am researching the past five year return for the securities in the top and bottom 10 percentile of the S&P 500 on date 5 years ago. I used Bloomberg to get this data. When I searched for the ...
1
vote
2answers
238 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 ...
1
vote
0answers
220 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 ...
3
votes
2answers
363 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 ...
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
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
1answer
707 views

Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property

What constitutes "stealing" when it comes to publicly posted financial data? I think there are three instances of this that we can individually vet: a.) you physically broke into a location or ...
3
votes
1answer
565 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 ...
6
votes
3answers
359 views

What is an acceptable error on implied volatility?

Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ? This obviously depends on the model used to ...
5
votes
1answer
355 views

With there being such a high demand for electronic trading or just trading in general why are market hours so limited?

I am curious why a lot of market hours are something like 9 to 3 or 9 to 4 pm when there is such demand and so many prop shops and more out there. I know certain markets are continuous trading but a ...
1
vote
0answers
144 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 ...