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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6
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1answer
149 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?
2
votes
1answer
213 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
1answer
358 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
vote
1answer
25 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
votes
1answer
37 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.
0
votes
1answer
232 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 ...
2
votes
0answers
158 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 ...
1
vote
0answers
184 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
vote
0answers
126 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 ...
0
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0answers
22 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 ...
0
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0answers
49 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
0
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0answers
55 views

Data vendor providing end of day equity data for private use including US and main European countries

I'm looking for a data vendor with reliable data (and affordable price) that provides end of day data for at least US, german, french, italian and spanish equities. The data export should be automated ...
0
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0answers
133 views

EOD Options data provider - optiondata.net

Does anyone have any experience with optiondata.net as data provider for EOD options data? How would they be compared to historicaloptiondata.com?