Questions tagged [data]

Questions about handling, obtaining, generating, or analyzing all types of financial or economic data. Please use a more accurate tag if possible; for instance: tick-data, fundamentals, market-data, option-data, ticker-mapping, etc.

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API for Commodities Stock markets

I would like to have a clear picture about lithium investments all over the World. I like this website where I can see all companies related to lithium on the Australian Market. The website also ...
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0 votes
0 answers
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Weekly S&P500 options price data

I cannot find free data on S&P500 options price, call and put, at different strikes of weekly options, on a daily basis, with maximum and minimum prices. I would like to have this data to study it....
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1 answer
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Which spread to use to analyse CDS data from Markit

So I am currently doing some analysis on CDS Data and I am using Markit to extract this data. However, I am a bit confused regarding the quotation standards here. I want to investigate the ...
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-1 votes
1 answer
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Can NumPy calculate the % change the way it is shown in multiple instrument charts?

I have closing prices for multiple equities in NumPy arrays (or a pandas timeseries DataFrame). I like to calculate the % change numbers for the closing prices in the DataFrame the way it is shown in ...
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Collect central bank interest rate decision release programmatically

I am trying to create a strategy that relies on central bank interest rates decision. I know it possible to scrape such information from websites such as investing.com. However I find those sites can ...
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Should I always round the data before even trying defining and backtesting my trading strategy?

Newbie here, it happens that I have 8 months of OHLC price data set at 1 hour timeframe from a particular cryptocurrency (ticket) called ALICE, here's a little ...
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SONIA Reference Data Calculation / OIS Data

I am reading material reference rates calculation for SONIA by refinitiv. It says the data is calculated based on OIS Rates between 10:50AM and 11:00 AM. https://www.refinitiv.com/content/dam/...
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Italy Zero Coupon Yields

I am looking for historical data for Treasury bills and bond yields for Italy on a monthly or daily basis. Where can I get this data?
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2 votes
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Back testing fixed income for bond portfolio management

When doing back test trying to replicate a paper, how do you handle bonds that are maturing in an index? Say I was trying to create a strategy, how do I account for bonds that mature in terms of ...
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0 answers
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What is the fastest market data feed provider for US stocks?

I'm a high frequency trader who trades alone, please what is the fastest market data feed i can get for US Stock markets?
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1 answer
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How do you identify top shareholders in SEC filings?

Schedule 13D is filed when a shareholder crosses 5% ownership and 13F is filed by fund managers to list their portfolio holdings. These are the only filings that I am currently aware of related to ...
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0 votes
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How can I calculate the annual Standard Deviation for Sharpe Ratio of Daily Portfolio Returns?

I'm somewhat confused with regards to calculating the annual standard deviation and Sharpe ratio for my portfolio of daily returns. I have daily data ranging from 1960-2020 and use Excel to make some ...
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1 vote
2 answers
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Where do big data companies get data?

First time posting at Quantitative Finance, hope the question is well suited in this stack section. I was wondering, where does big companies like Bloomberg or Reuters get their data? Since now, in my ...
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I cannot find any complete data for sp500 stocks dating back 20 years [duplicate]

I am building my own framework backtesting sp500 pricing data dating back several years. Mainreason being that I want to get a representative result of my own trading strategy. The mainproblem of this ...
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Interpreting flows divided by AUM

For a panel regression of some public fund flows, I have standardized the net flows by dividing flows at month $t$ by $AUM_{t-1}$. This puts the flows into perspective, but I feel that this kind of ...
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0 votes
2 answers
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Where can I get fundamental data on US public stocks in original form?

I'm looking for fundamental data on US public companies. If anyone could recommend paid or free sources of the fundamentals in original, non-standardized form that would be great. I tried scraping the ...
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1 vote
2 answers
363 views

What kind of data cleansing/scrubbing are hedge funds doing?

It's a well-known fact that several hedge funds have a handful of PhDs just doing data cleansing. All day. Every day. What kind of data cleansing are they actually doing? Is it really that difficult? ...
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0 votes
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348 views

Python - DCF Model & reliable free Data?

on the following website i found a really nice DCF Model. https://codingandfun.com/discounted-cash-flow-with-python-valuing-a-company/ Well it didnt work like the code which was published so i had to ...
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3 votes
1 answer
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Help with pulling company fundamentals from EDGAR

I need help understanding why there are many different values for a specific metric reported by a company's 10-K or 10-Q in the EDGAR database. I've downloaded the entire US equity universe in JSON ...
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How to calculate price and volume samples of a multi-product series?

I am reading Marcos de Prado's Advances in Financial Machine Learning. In a section titled "the ETF Trick", he explains how to calculate periodic price and volume samples for a basket of ...
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Fama-French factors creation using Bloomberg data

The standard FF factors as published by K. French (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html) are created using CRSP data. If one downloads the (US) factors, the first ...
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Finding historical data

I need T-bill rates in order to use it as risk-free asset from Jan,2003 t0 today.(monthly data) I don't know how to find it. Can you please suggest your idea about how to find it?
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11 votes
1 answer
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What's the most efficient way to store options and time series data for backtesting?

I would like to know what database would you guys use for storing around 500GB-1TB of options and time series tick data. The idea is to use it for backtesting so it would have to be as efficient as ...
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Top 50 Nasdaq composite index by volume in 2020

Where can I find the data about the top 50 Nasdaq composite index by volume in 2020 and top top 50 NYSE Nyse by volume in 2020? I use Google but can't find any accurate data.
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1 vote
1 answer
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Bloomberg API / Excel Add In - Delisted Stocks

So I am using the Bloomberg Excel add in but can also use the API. My dilemma is I have a list of tickers containing SP500 historical constituents and I have retrieved 600 of them from an alternative ...
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Expected return and risk profile from a given scenario

I have this scenario: "Designing a model on python but firstly, needing an equation to work from. It's a project aimed at decentralizing drug discovery. So, we're planning on running some screens ...
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Historical ISM report on business?

Is there any place to download historical ISM ROB (report on business)? The website only shows current and previous month. ISM ROB
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1 vote
1 answer
169 views

Algorithm / source to calculate historical expiry dates of futures

I can find several source on this site where to find expiry dates of coming futures contracts. I am looking for a (e.g. Python) algorithm or a data source where I can find historical dates when a ...
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0 votes
1 answer
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How could I identify peers of companies (stocks) at scale?

Context: I'm making a small script to screen through thousands of companies at scale. A feature that I want to include would be relative metrics, e.g. is this company growing faster than its peers, ...
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1 vote
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Where to find a list of all the operable exploration / mining companies conducting operations in Canada [closed]

Looking to create a database firstly of all the exploration / mining companies conducting research in Canada. TSX and TSX-V have very nice spreadsheets with several filtering operations, which is very ...
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1 vote
2 answers
920 views

When looking for arbitrage among a LARGE amount of assets, is there an optimal way?

Looking for arbitrage opportunities when looking at 3 pairs of related currencies is easy. However if we assume that we have a large amount of currencies, is there an optimal way to swipe through them ...
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0 votes
0 answers
373 views

Is alpha vantage api for fundamental data reliable?

Can anyone speak to the reliability of the Alpha Vantage (AV) api for fundamental stock data? I have tried for a couple of stocks to get balance sheet data, and it seems close to accurate but I feel ...
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0 votes
1 answer
70 views

Non-fixed stationary "conversion"

Dear users of StackExchange, I was wondering why the log returns of a fixed period of time is such a common use in "transforming" a time series into a more stationary one? I thought that ...
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0 votes
0 answers
31 views

Historical Economic Release Calendar

Does anyone know if any providers have a historical economic release calendar? For example, releases of things like ADP private employment, or ISM surveys? I ask because I would like to backtest a ...
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5 votes
3 answers
3k views

Red Black Trees for Limit Order Book

Why do people suggest using red black trees/balanced binary trees for the levels in a limit order book? Why are they algorithmically ideal?
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2 votes
2 answers
522 views

What are the proper ways to do order book downsampling?

I have an access to the order book dataset, which was sampled with resolution that is too high for my sandbox experiments with it. Because of that, I was wondering, what would be the correct way to ...
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1 vote
3 answers
115 views

OHLC Data for US Govt. Treasury Yields?

Is there open-high-low-close data available at the daily timescale for yields? The data I can find from the Federal Reserve reports only one price, and moreover, I'm not sure when the data is reported....
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-2 votes
1 answer
152 views

What are good examples of using Big Data for a trading strategy?

As the title say, I am looking for trading strategies in the stock, bond, forex market, that rely on the usage of Big Data. The more out of the box strategy the better. Also if anyone knows any ...
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0 votes
2 answers
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Large data of Equity Price download from Eikon thomson reuters datastream

I like to download all Chinese ( more than 4000 stocks) stocks daily price data from 1990 to 2020 from Eikon Thomson Reuters datastream. However, I failed to select and download all stocks together. ...
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1 vote
2 answers
153 views

Alternative data providers

What data vendors/providers have you come across or used for alternative datasets? Not talking about market data here. Things like rainfall, coronavirus stats, new car production in China etc. I
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1 vote
1 answer
60 views

should I persist the daily/weekly bar data

Suppose a small quant group (4 guys) and the tick data is in hand, shall they persist the historical daily/weekly or even smaller scale like hourly/minutes bars data, or just do the on-demand ...
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0 votes
2 answers
322 views

Storing options EOD time series in Flat Files

I have purchased data for EOD settlements of options prices for USA futures for personal use. I will not need multiple user access or real time access. I am not an expert programmer but use C# and R ...
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0 votes
1 answer
173 views

Swap data- couldn't find any

I'm a student and i amm looking for a swaps rates historical data for long tenors in purpose to estimate yield curve (for example in GBP). My question is where could I find it?
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2 votes
1 answer
298 views

Historical intraday dataset with penny stocks with a gap-up of 10% or above

I am trying to find intraday datasets of pennystocks. My criteria for the dataset is that it needs to only contain pennystocks where the gap-up was 10% or above. I am looking for a free option but ...
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1 vote
1 answer
89 views

Best way to treat negative P/E and extremely high P/S in data?

I'm working on a data that deals with start-up/similar companies data. A lot of the companies have negative P/E and/or little to no sales. Is there good ways to create meaningful data (like averages, ...
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0 votes
0 answers
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How to download all tickers listed in the Tokyo stock exchange?

I'm trying to download all tickers listed in the Tokyo stock exchange (according to their website, there should be 3,756 tickers in total). What I have tried so far: I have tried the Yahoo-ticker-...
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  • 101
1 vote
3 answers
256 views

Top 500 Companies in the World – Data

At the basis of an algorithm, I need an Excel/CSV file containing the world's top 500 companies (with respect to market cap, preferably free-float if possible) by Name, Country, Market-Cap (in USD, or ...
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1 vote
0 answers
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Historical data on valuations for internet companies during dot-com bubble

I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
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0 votes
1 answer
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Cap/Floor on a SpreadOption grid

I have a spread option data from a broker. The rows are the following : STK ATM -0.5 -0.25 ... and the values are forward price ( the strikes used are absolute strike and the value of the raw STK is ...
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0 votes
3 answers
120 views

best snp500 trade data

where is the best place to get spx data, all the trades with exact millisecond timestamps a few weeks back? I don't mind paying for such a service
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