New answers tagged data
No, do nothing. It is important to have "as-of" data for backtesting. Answer below is when I misread the question and thought you were trying to smooth out jumps in the rolling on-the-run series. I thought I'd keep it for reference purpose: It depends on what you're doing. If this is purely to show where the rolling on-the-run bond yields have been ...
You need to have a process to fix the auction-day prices. Often the coupon is changed and you will have a previous price for the old coupon, which causes the jump. It happens fairly frequently; at my place we finally automated it.
From what I know OTC http://www.otcmarkets.com/ has their data provided to them by EDGAR, which provides solutions such as API's which can be used to acces things like historical market data. the following website should deliberate on this further http://www.edgar-online.com/DataContentSolutions.aspx The following gives more specific API information for ...
You can try finance.yahoo for example http://finance.yahoo.com/q/hp?s=GOOG+Historical+Prices it is free, for the other ones you mentioned you have to pay, usually a lot.
Look at matplotlib.finance It downloads data from yahoo finance as well but it is much quicker than the package that you are mentioning. Regarding the reliability, I think that the data source is quite reliable.
The answer is 'no', no single database for all exchange traded instruments in the world. You can try to use Interactive Brokers symbol search service. For example, just now I've tried to search Brazil instruments. There are another services like this, for example IQ Feed symbol lookup. I can't insert a link to it because of low reputation, but just google ...
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