New answers tagged market-data
I've collected minute data for forex scarped by yahoo finance for last year Columns: Timestamp,close,high,low,open,volume https://www.dropbox.com/sh/1j4gitwy81oo0k7/AACoPasZR4dVHkMNXxUnZwr6a?dl=0
If you do MEMB you will see a button near the upper right labeled "4) FIELDS". If you press this button you can add columns to the display. For example you can select Descriptive / Identification / Identifiers / Bloomberg / Financial Instrument Global Identifier. When I do it the column unfortunately shows ERROR(5) whatever that means. However I can select ...
I found a good lis of indices from QUANDL . They have a nice list of indices which you can pull from by ticker/symbol. I am not aware they provide by CUSIP
I'll write it up as a separate answer, though it may be what AlexC actually meant in his comment. VXX is an ETN, not an ETF, so when you buy a share of VXX, you are not buying a share in its holdings, like it is the case for ETFs (from VXX prospectus: "Owning the ETNs is not the same as owning interests in the index components included in the Index or a ...
The price of VXX ETF should not be the price of the mentioned basket of VIX futures. It is the change in price of VXX (the return) what should be equivalent to the change of price of the futures basket with 1 month average maturity. That is because the VXX ETF works as an open end fund, so its price is just the price of a share of that fund, which has an ...
Volume should never be negative. Period. Volume can be zero (0) on rare occasions. Usually related to an ECN. The most likely cause is during processing, the cumulative volume exceeded the int size of a variable (32-bit) and rolled over. Some programming languages will use -1 (0xFFFFFFFF) to designate an integer overflow.
The reason is known as "Contango" See this article for a more detailed explanation VXX: Contango and Cash
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