Hot answers tagged market-data
11
NASDAQ makes this information available via FTP and they update it every night. Log into ftp.nasdaqtrader.com anonymously. Look in the directory SymbolDirectory. You'll notice two files: nasdaqlisted.txt and otherlisted.txt. These two files will give you the entire list of tradeable symbols, where they are listed, their name/description, and an indicator as ...
11
Representing time series (esp. tick data) using elaborate data structures may be not the best idea.
You may want to try to use two arrays of the same length to store your time series. The first array stores values (e.g. price) and the seconds stores time. Note that the second series is monotonically increasing (or at least non-decreasing), i.e. it's sorted. ...
9
Equity returns have persistent negative skewness and excess kurtosis[1] over longer periods. So yes you're right: a majority of the daily returns is positive and small and a minority of the returns is negative and larger. This can be quite extreme, for example Black Monday.
I don't have the data right now but you can get returns on major indices freely.
...
8
Don't use them. I have used them for years because I couldn't find another source that would provide all stocks in all US exchanges -- till now. But first, about eoddata:
their data is very often missing elements, e.g., on any given day the SP500 index data my not be in their data set, even for a normal trading day
their ftp files are often out of date, ...
7
OpenTick used to have this... alas they are no more.
But here's a link to some decent alternatives.
http://blog.fosstrading.com/2009/11/opentick-alternatives.html
Some have free data options, but I don't believe that any include tick level data for free.
If you are in school and have access to WRDS you can get the TAQ (NASDAQ trade and quotes) which is ...
6
Bloomberg Open Symbology has this list. Look in the Common Stock precanned file. This will have a bit more data than you probably need as it has a separate entry and unique id for each place an equity is traded. However it is probably the highest quality list available for free anywhere.
As for filtering ETFs are broken out in a separate file (Equity_ETP) ...
6
the Commodity Traders report is the most useful for this, it lets you deduce large and small players on the stock index futures. This is only released weekly by the CFTC
Otherwise you can use volume:price divergence and average volume moving average to further deduce whats happening. Finally you can use level 2's to get a feel for the speed of orders and ...
6
I really wouldn't implement time series on my own unless I had a good reason to. AQR uses pandas, almost everyone in R using zoo or xts.
I never like multiple parallel arrays, if it breaks everything is broken, plus it gets uglier as you increment data. If you are doing something in C++, why not have an array of structs for each object where you have ...
6
I assume you're using returns to compute beta, not the prices. And yes, remove the "jumps", though this should happen automatically since you're looking only at intraday returns. One final piece of advice: you'll get more meaningful results if you smooth the returns via a moving average.
6
Are you after the famous paper from Christie and Schultz?
Christie,W., Schultz,P., 1994. Why do NASDAQ market makers avoid odd-eighth quotes? Journal of Finance 49,1813–18 40.
From the abstract:
On May 26 and 27, 1994 several national newspapers reported the findings of Christie and Schultz (1994) who cannot reject the hypothesis that market makers ...
5
Your question will be very difficult to answer, at least for equities. The best you can probably do in terms of accurate information are research reports from organizations like Tabb. You can look at positioning of players from 13F reports, meaning you can see which players have large positions in a certain equity. You may not be able to discern why, ...
5
I don't trust either.
That a stock didn't trade carries information about its liquidity and about the magnitude of innovations in its fundamental value. If it is feasible within your model, try to incorporate the framework of Rosett (1959, “A Statistical Model of Friction in Economics”, Econometrica). For a recent application of the friction model to ...
5
It's usually more efficient to have timeseries objects located sequentially in contiguous memory.
A hashtable doesn't provide this. As good as it is, from a complexity standpoint, it's not faster than a fixed array when accessing items in a [i+1] or [i-lag] kind of operation that is typical in timeseries code.
(For the most part you can estimate the ...
5
Yes, there is in fact a whole literature on this subject coming from the field of non-linear dynamics-- it is known as the method of surrogates. The idea is essentially to come up with a "scrambled" version of your original data set that preserves many of the basic statistical properties, though perhaps not the serial dependence structure which might be ...
5
You can download EDHEC's indexes for free. You just need to create an account on their site (which is worth doing to get their research).
Some of their data is also bundled in the PerformanceAnalytics package in R.
5
The stockSymbols function in the R package TTR pulls the data from nasdaq.com that @bellamyj mentioned. It also attempts to convert the symbols to a format acceptable to Yahoo Finance.
That said, I'm not certain how to filter this list for only common stocks. There are 1275 securities with "n/a" Sector or Industry, leaving ~5000. Perhaps the remaining ...
5
A quick Google search gives a few hints:
http://etf.about.com/od/etfinvestingstrategies/a/ETF_Arbitrage.htm
http://ftalphaville.ft.com/blog/2011/05/18/572086/how-profitable-is-etf-arbitrage/
http://www.iijournals.com/doi/abs/10.3905/jii.2010.1.1.107
http://seekingalpha.com/article/68064-arbitrage-opportunities-with-oil-etfs
Another quick search on ...
5
Don't use them. Their data is very spotty. They offer "minute by minute" data on commodities markets and forex which should be technically 24hrs yet it usually starts from 9 or 11 o clock and the "minutes" end around 3 or 4. I emailed their support alias asking why this was the case. I also copied and pasted the opening and closing times of the exchanges and ...
5
I think there is a straightforward answer to this:
The associated costs of changing trading hours need to be justified by the benefits.
Exchanges, regulators, and large market participants such as banks, hedge funds, buy side long-only funds very closely communicate and weigh pros and cons when considering changes to trading hours. Obviously motivations ...
5
No - clearly you've not seen the licensing agreements the exchanges force you to sign (one way or the other). Generally such firms and individuals have greater utility from the money they'll make working with the data than risking going to jail.
Market data is a 5bn / yr business. You're pushing the proverbial up-hill.
Anyway, you can get financial index ...
5
You can pull a list of all stocks easily. See this question. You can get nasdaqlisted.txt and otherlisted.txt from here. nasdaqlisted.txt is clearly Tape C. otherlisted.txt contains an Exchange column which can be used to determine Tape A or B. If it is N it's listed at NYSE and therefore Tape A, otherwise it's Tape B.
Also, NYSE publishes a symbol list ...
4
You can download all stocks on the three exchanges listed in your question from the NASDAQ website: http://www.nasdaq.com/screening/company-list.aspx.
It looks like removing those entries with an industry of "N/A" will eliminate ETFs and other funds from the list.
4
If you are serious about performance and flexibility, you have to take a look at data.table package in R. Here is the crantastic review. It is lighting fast! I think this is the best package addressing performance and memory issues.
4
While noble, unfortunately, this type of effort is not very practical. Mostly because market data is a major source of revenue for the market centers and is never simply given away, at least not in intraday form. A few things to consider:
Becoming a market data distributor is both costly and entails entering into agreements with each market center. If we ...
4
I have used eoddata for an analysis of open interest with a history of 10 years daily data. Since it was the only source, i can't comment on the data quality. What I comment on is that the interesting data could be extracted efficiently from the source files (which will give you a csv per day for the data of an exchange).
4
From my experience, EODData is pretty much that you get what you pay for. Its not a very sophisticated product. They email you the files you subscribe to, and thats that. I have had an issue before of where the emails didn't go through anymore and I never heard anything from them.
On Quality,
I can't make a claim on its accuracy. It seems good. I find issue ...
4
On the paper you are right: the market data are close to a public good and could be free because of that. Nevertheless in a fragmented landscape, each trading venue is contributing specifically to the price formation process. Each of them invest that for, and it is thus not unfair to get revenue that for.
If you look at Europe (I am not speaking here about ...
4
I think Lehalle answer is very good but I would like to answer in a slightly different manner, maybe from an economical point of view.
I think the real question is What are market data fees charged for?.
Assume the whole data was available to anybody for free, then nobody would be willing to pay for it. There are essentially two main reasons why the data ...
4
As explained in the comments best bid and best offer (best ask) are the best prices at which you can respectively sell and buy at least one unit of the asset your are considering.
When backtesting a strategy, most people usually either use best bid and best offer or even worse last price.
The problem is that these prices are only available for a limited ...
3
NASDAQ's website has a list of symbol changes.
http://www.nasdaq.com/markets/stocks/symbol-change-history.aspx
Looking through a few of the listings, there are some Pink Sheet companies included, but I can't say if it's comprehensive.
Unfortunately, it doesn't seem like that have the data in an easily downloaded format. You're probably stuck parsing ...
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