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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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 ...
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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 ...
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What are reasonable bounds for historical Price to Earnings?
I am working with the US CRSP universe and have constructed a time series of monthly price-to-earnings back to the early 1960s. I have this for both individual securities as well as for portfolios ...
