Questions tagged [data]

Questions about handling, obtaining, generating, or analyzing all types of financial or economic data.

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1answer
52 views
+100

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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0answers
53 views

How to identify active vs inactive ISINs?

Background I understand that through the work of ANNA and GLEIF, the relationships between ISINs and their respective LEI (Legal Entity Identifier) are now more accessible. GLEIF API Lookup To lookup ...
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31 views

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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31 views

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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25 views

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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1answer
30 views

Search for historical balance sheet data

I would like to run backtests on swedish companies. How I can retrieve historical balance sheet data?
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1answer
750 views

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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15 views

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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1answer
120 views

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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0answers
29 views

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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1answer
60 views

Sources for historical financial ratios?

I wanted to know if there are any sources for historical financial ratios for Indian equities? If yes please share. Thank you.
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0answers
107 views

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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46 views

Historical component changes of EURO STOXX or STOXX Europe 600 index

I would like to download the historical component changes of EURO STOXX or STOXX Europe 600 index to conduct an academic research. That is, I would like to know the historical changes to the ...
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1answer
78 views

How to get Adj.Open, High and Low prices?

I am trying to get adj.Open , adj.High and adj.Low prices. Most data sources like yahoo and google finance provide only adj.close price. Is it possible to derive other adj. prices using close and adj....
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1answer
69 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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35 views

Realized volatility calculations from real dataset

I am working with a dataset from: http://web.math.ku.dk/~rolf/Svend/ named data 1. I'm currently setting up a delta hedge for periods of 3 months. So currently we are starting at the start data of the ...
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1answer
76 views

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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34 views

How to retrieve all hidden units from Datastream?

From this website, I have the total asset of Apple is 338 billion USD in 2019, but when I download from Datastream, the result is just only 338 million USD. And Datastream even displays the currency ...
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0answers
22 views

Interest rate caps and floors - where to get data [duplicate]

Hey I need some prices of interest rate caps and floors for model calibration. Where can I get (or eventually buy) data?
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0answers
18 views

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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0answers
31 views

Commercially redistributable derivative market data source

Is there any derivatives market data source that gives permisson to use this data in a financial model and then sell a product with it? (derivatives valuation for example) I'm looking for a cheap ...
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2answers
608 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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0answers
83 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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1answer
49 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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0answers
23 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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2answers
709 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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0answers
24 views

Derivatives notional amount in BankFocus

I'm searching for the notional amount of derivatives in banks' balance sheets. I'm using "BankFocus" (ex Bankscope) to download data. In balance sheet i find just the fair value of ...
2
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2answers
413 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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0answers
23 views

looking for mortgage backed securities TBA notification and settlement dates

I was curious if anyone knows where to find TBA notification and settlement dates prior to June 1999. Of course the recent ones are available from SIFMA and this PDF here https://www.sifma.org/wp-...
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63 views

Python: Parametric Portfolio optimization with data from Kenneth French

I am fairly new to Python and struggling right now. I am trying to build the parametric portfolio policies by Brandt (2009) with the data of the Fama French Factors by Kenneth French, which is taken ...
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3answers
409 views

How to structure a stock market data database

I would like to download stock market data from the internet (for example by scraping…) and organize them in a database (I am using python and SQL) which updates daily or on request. (The idea is to ...
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3answers
97 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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1answer
133 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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2answers
202 views

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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2answers
130 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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1answer
37 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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2answers
186 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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1answer
148 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?
1
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1answer
189 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 ...
1
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1answer
81 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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0answers
72 views

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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3answers
209 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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0answers
62 views

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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0answers
25 views

how to generate time-varying copulas in r? [duplicate]

i want to generate data from a Time-varying copulas (dynamic coupula) in r, I tried to use D-vine copula
0
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1answer
54 views

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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3answers
107 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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0answers
37 views

Help getting 1-min historical data (suds object) from BarChart into Pandas Dataframe

I've been searching around and haven't found what seems like an easy task to get historical data from the BarChart API into a Pandas dataframe with the index set as the time stamp. Here's a few ...
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1answer
90 views

Free website to obtain corporate bond's data similar to cbonds?

Does anyone know of any website where I can obtain corporate bond's data in the same fashion as "cbonds" (they let you look up by issuer, maturity, etc.). Ideally free? I need to know bond ...
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0answers
76 views

IB API - get data on position that close

I am trying to implement a few new features for my trading system. My plan for now is to initially buy the stocks i wants (using Vwap) and when the order has closed (bought all the quantity) I want to ...
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0answers
146 views

Using AlphaVantage to get Fundamental data from Brazil Stock exchange (or other country than US)

I noticed that I can request Fundamental data from AlphaVantage API but I just managed to get US stocks Fundamental Data (like AAPL, MSFT, IBM and etc) but nothing from others countries, like from ...

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