What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
This post is Quant Stack Exchange's master list of data sources.
Please append your links to other data sources to the list below.
See What are the most useful sources of economics data? on Cross Validated.
- OECD.StatExtracts includes data and metadata for OECD countries and selected non-member economies.
- http://www.assetmacro.com/ includes data for 20,000+ Macroeconomic and Financial Indicators of 150 countries
- Federal Reserve Economic Data - FRED (includes URL-based API)
- 1Forge Realtime FX Quotes
- OANDA Historical Exchange Rates
- Dukascopy - Historical FX prices; XML and CSV. There is a non-affiliated downloader called tickstory.
- ForexForums Historical Data - Historical FX downloads via Amazon S3
- FXCM provides an open repository of tick data starting from January 4th 2015, with a download script on github.
- GAIN Capital - Historical FX rates (in ZIP format)
- TrueFX - Historical FX rates (in ZIP/CSV format). A download helper script is available on GitHub. TrueFX.com asks for free registration. Same files are linked from Pepperstone, no registration needed.
- RTFXD - Real Time FX Data: Delivered via ssh. Very low pricing.
- Olsen Data / Olsen Financial Technologies: Historical FX data can be ordered online in custom format. Download link sent in 2 business days. Real time data service. Expensive but very high quality.
Equity and Equity Indices
- Kenneth French Data Library
- Fundamental data for US stocks
- Olsen Data / Olsen Financial Technologies
Options and Implied Volatility
- Olsen Data / Olsen Financial Technologies
- Olsen Data / Olsen Financial Technologies
Multiple Asset Classes and Miscellaneous
- Robert Shiller Online Data
- S#.Data is a free application for downloading and storing market data from various sources
I'm only aware about 3 free data sources of which 1 is still working in June 2018: - GAIN Capital. It contains infomation about FX rates only
Below ones are not available anymore:
I don't know how interested you are in the CME data, but I have been learning about options and volatility modeling. I have been working with delayed CME data.
I have been able to extract the JSON queries and now have been able to run them in my .NET application to get data for every asset type.
Exmaple of ES options data:
Run the query below in Chrome and you will see the JSON response. In other browsers you will be prompted to download the JSON file.
The link below asks CME server to return back options data for given strikes:
I have been able to get other data as well by just changing the contract Code.
To parse it you just use the .NET
Serialization class (add reference to
using System.Web.Script.Serialization; on .NET framework 4.0)
Academic access to Thomson Reuters Tick History:
The Thomson Reuters Tick History database provides millisecond-timestamped tick data going back to January 1996, covering 45 million OTC and exchange-traded instruments worldwide. The database currently updates at a rate of 1 million messages per second and is around 3 Petabytes uncompressed. It is a comprehensive, accurate and precise historical record of market behaviour. Includes API and MATLAB API access. Contact Sirca for more information.
-- (historical) stock prices --
What do you mean by that? Nominal, real, corrected due to monetary-base-change, corrections with Y-other-things? What is your goal?
I have been able to download (historical) stock prices via yahoo and google.
Alas looking historical data from Google/Yahoo's screeners can be highly misleading and making conclusion based on it very dangerous. Please, note that you cannot always trust the data, sometimes they are nominal or real, and sometimes you won't know the type of data. Google/Yahoo are only third-parties to provide you the historical data.
- CSI Data: it claims to be the provider to Google, Yahoo, Microsoft and other resellers
- Yahoo's providers here and notice the small writings at the bottom here
Educational and Research Data
- Shiller Data about stock market data
- the huge data collection by Ibbotson, book, inflation, interest rates and such things which you must take into account to do any serious research
- Yale databases (massive work done) here
- Intelligent Asset Allocator -book, by William Bernstein, in the very end has a summary of very good data sources
Somewhat more economic data can be found at e.g.:
European Union / EFTA / EMU data:
Data from these sources is all freely available. You can also play with data from many of these sources using the Google Public Data Explorer.
MBT Quote API was designed for third-party software developers and provides access to the following data feeds:
* NASDAQ Market * New York Stock Exchange - NYSE * American Stock Exchange - AMEX * Toronto Stock Exchange - TSX * INET and ARCA ECN books * CBOE Options quotes * CME Futures Quotes * CBOT Futures quotes * Foreign Currencies
The master list already has dukascopy listed for forex historical tick data. Dukas also now has selected CFDs of indices, metal/energy, and individual stocks. The forex data for the majors go back to 1997 or so. It's free, so you get what you pay for. The data that is more recent (last 5 years) has almost 0 gaps on the majors and crosses.
What was also not mentioned was that you need to either use their jForex platform to download the data or you'd have to download the data manually from their website. This could become quite cumbersome. There are two tools that will automate most of this for you:
With those free tools, you can also export the data into csv format, which can then be used in most charting applications. In the case of metatrader 4, you need to convert the csv into their binary format (.FXT). Birt's free csv2fxt script can help with that. I also used Birt's TDS to get variable spreads with the backtests done in mt4.
Here's a Python script to parse the meeting dates from the federalreserve.gov page that you linked: pastie.org/2566958. It pulls the dates from the url of the "Minutes" link for each meeting
Our startup SimFin, provides both historical and actual data for free, since we couldn't afford the pricey premium solutions back when we were students and wanted to overcome the hegemony of the data market.
To this date, we have 70+ financial ratios, Financial statements (directly sourced from the SEC's XBRL data and up to 10y back; quarterly, H1 and 9M) and stock prices for over 1000+ US equities, including big indices like the S&P 500. All the fundamental financial data is freely available and you can instantly download it as excel.
Also, as far as the financial statements go, we display both the original as well as the standardized statements and make it transparent how we transition from one to the other.
Feel free to check it out under simfin.com and hopefully find what you are looking for.
As for the user experience and the quality of data, you shall assure yourselves of how good you estimate it and gladly provide us with valuable feedback so we can further improve our service with the power of the community.
Does anyone have any experience with or knowledge of livevol? They are the only source I've found for historical intraday options data, especially including implied volatility and Greeks calculation, and pricing seems not bad. Even the real-time service seems decent, although it is unclear how it could potentially be tied in to an API.
Thinknum.com is a new financial data provider. We have financial time-series data and data for building cashflow models. Thinknum's plotter is similar to tools like GS plottool and JPM data-query in that it allows users to manipulate time-series data using mathematical expressions.
There is also a related question on the economics stack: https://economics.stackexchange.com/questions/4679/what-are-some-good-repositories-for-economic-data
Answers from there: The American Economic Association has a list of resources for Economists, including a page for data. There you find links to many institutions that offer all kinds of data, as well as further journals with data archives for the studies they publish.
In the ReplicationWiki (that I work on) we have information on more than 2000 empirical studies and you can search for which one what kind of data, software, and methods were used, if the material is available, and if replications are known. Many studies can be browsed by JEL codes or keywords. The categorization of data sources and geographical origin of data remains very incomplete but it is a wiki, so everyone can contribute and make suggestions.
CQG Inc. https://www.cqgdatafactory.com/ - historical bar and time sales data (ticks) https://develop.cqg.com/qd/?page=ContinuumDocumentation - api for getting realtime, historical data and trade routing.
Here's a snippet of a detailed list of data sources and tools which available on my blog at http://the-world-is.com/blog/resources/general-investor-resources/.
Fundamental Financial Data
- CompuStat (S&P Capital IQ) – Compustat offers what I believe to be the highest value instutional-level fundamental financial data. The data standardization methodology is unique and robust (on the order of 1000 pages of business rules). Compustat’s long term competitive edge is cemented by the fact that universities, like UPenn’s Wharton Research Data Services (WRDS), are heavily invested in utilizing the data for research. This, of course, means that finance students (i.e., future financial professionals) are heavily steeped in the pedigree and reliability of this data. Portfolio123 offers cost advantaged access to S&P Capital IQ (CompuStat) data albeit with some limitations.
- Bloomberg (aka, “The Terminal”) – When I was at the Board of Trade, a limited number of Bloomberg Terminals were provided for members to utilize during the day. These machines are incredibly powerful, but also very pricey.
- FactSet – FactSet has, over the years, subsumed many other premium financial data sets, such as Revere Data, which offered very granular corporate revenue data. Investor’s Edge currently receives their core data from FactSet.
- Reuters Fundamentals – Reuters offers a number of applications and APIs to access its company financial. Historically, Portfolio123 used Reuters data before it switched to CompuStat (now S&P Capital IQ). I believe that TradeStation and Interactive Brokers’ IBIS platform still offer API access to Reuters’ fundamentals.
- Quandl – Quandl has long offered stock market and fundamental equities data. Quandl’s move to premium (curated) data sets responds to concerns about data over-proliferation and quality control. In addition, Quandl has begun to offer premium commodities data, including robust and verbose methodologies for querying continuous futures data.
- Damodoran Online – Aswath Damodoran hosts valuable tools, data, and research publications on his site. He teaches at the Stern School of Business at New York University from whence he is regarded as a leading authority on valuation.
- Zacks Data – Now offered on the Quandl API.
- Robur Investment Research – Robur’s premise is that a family investment office curates fundamental financial data, and offers it through a research platform. The distinguishing feature, in my mind, is that the core offering for (rare) global fundamental data effectively replicates powerful capabilities offered by the Big 3 (i.e., Capital IQ, Bloomberg, and Factset) at a fraction of the cost. A caveat: I’m not saying anything specific about any provider, but you usually get what you pay for.
- American Assocation of Individuals Investors (AAII) – Great bargains on fundamental data and a powerful stock screener.
- Quandl - Quandl seeks to democratize (i.e., commoditize?) data. The web platform is pretty basic, but there's a hidden amount of versatility which is unlocked through the web API -- API scripts for querying are available for most quantitative languages. On the downside, Quandl has almost too much data. Founder, Tammer Kamel, has responded by introducing premium data sets. In addition, Quandl offers an API for Economic Data. approved
- Multpl.com - Multpl is a fantastic tool for assessing the market's (i.e., S&P 500's) relative valuation through the cycles. S&P 500 data-sets include: Shiller PE Ratio; price to sales ratio; price to book value; earnings yield; S&P 500 Earnings; and more. approved
- YCharts - YCharts is one of the original financial data aggregators. As it is, vast amounts of data are available from its very simple GUI. Somewhat recently, YCharts incorporated custom variables into toolsets, allowing users to create their financial ratio and time series.
- Trading Economics - Popular site for economic indicators. Offers API access.
- Estimize Economic Indicators - Estimize recently extended its crowd-sourcing platform for economics indicators.
- ShadowStats - "There are lies, damned lies, and then there are statistics". John Williams has operated this site on "shadow government statistics" for several years. The premise is intriguing. Williams alleges that the US federal government, traditional economists, and the media choose to highlight "mean-reverting" economic statistics. I.e., metrics that media and government promotes are "self-normalizing" and based on "moving goal posts". While cherry-picking the data might not be out-and-out fraud, Williams alleges that canonical economic meausure paint a rosier narrative than what the raw data actually suggests. Williams provides alternative economic data points in order to offset the shortcomings of and provide information which is differentiated from conventional (BLS) data points.
- Yardeni Research - Host to a broad range of market market indicators, research, and indicators.
- Leuthold Research: Fund Flows Trends - In addition to margin debt, funds flows have been shown to be very prescient in anticipating market tops and bottoms.
- Robert Shiller Data Repository - Includes links to: Yale School of Management's Stock Market Confidence Indexes; Shiller Cyclically Adjusted Price-to-Earnings (CAPE-10) data; US housing price indices from 1890; long term inflationary and consumption data; and more.
- St. Louis Fed - Essential resource for macro-economic data.
- Federal Reserve Data - Essential data sets on numerous facets of interest.
- Federal Reserve DDP - The same data sets as above with enhanced ability to perform bulk queries.
- U.S. Bureau of Labor Statistics Data - Primary source for the often cited and misunderstood US unemployment and inflation indices. Also sources numerous other statistics.
- OECD Stats Library
- OPEC Statistical Data
- World Bank Statistical Data
Again, there are more information sources available at http://the-world-is.com/blog/resources/general-investor-resources/.
There is some overlap with what has already been mentioned here, but there is also quite a bit of unique content.
For free financial fundamental data, you can use https://invisement.com
It is a collection of csv file.
You can view them online, download, fetch with google sheets or excel or programming languages (R, Python, JS, ...) or embed in your web-page.
It offers SEC data and standardized data.
- https://data.invisement.com?q/AAPL.csv an example to view data
- https://data.investment.com/q/AAPL.csv an example to download.
This is their web-page that explains what data they have:
protected by chrisaycock Oct 31 '13 at 13:08
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