Questions tagged [data]

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

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465 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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42 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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23 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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21 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
283 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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21 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 ...
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2answers
359 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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16 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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37 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
184 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
92 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
122 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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1answer
62 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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117 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
28 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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136 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
109 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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1answer
120 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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1answer
77 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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66 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
154 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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1answer
66 views

How do you read a 10k report to find out a companies yearly revenue?

As you know, there is a document that companies submit to the Securities and Exchange Commission (SEC) about the financial status of their company. It is generally available publicly, and I have ...
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61 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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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
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1answer
42 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
104 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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33 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
63 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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52 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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99 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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109 views

Machine Learning model forecasting on real time data in python

I’m building a Forex trading system based on machine learning with Python and brokers API. I get price time series data + fundamental data and then i train the model on that. Model means SVM, RF, ...
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34 views

Comparing curve fits

I am experimenting with building a forward curve. I have a piece of code which constructs my prototype curve. I've got a curve sample which was constructed manually and I use it as the baseline - the &...
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2answers
62 views

List of public US (NYSE, Nasdaq) companies that filed for bankruptcy in the last 10 years

I am working on a Data Science project on bankruptcy prediction. I am looking for a list of listed US companies that filed for bankruptcy in the last 10 years but I am really struggling to find any ...
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0answers
25 views

How to use pivot points for a sell/buy order?

I have implemented some trading strategies like macd and sma. When the lines are crossing they give a sell or buy signal. Now I have calculated pivot points of one day ...
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36 views

Generate synthetic intraday equities data in Python

How can I generate intraday 1-minute data for equities to show certain features such as bullish trend? I would also like to generate artificial moving average crossover events purely for visualization ...
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33 views

Is there no fix to improving portfolio risk estimation under small sample size?

When asked if copula are needed to calculate portfolio Value-at-Risk, it is said that "You can use historical method if you have sufficiently enough data". But actually copula are also ...
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48 views

transforming variables

I am would like to create a regression model with different variables however before using these variables in my regression model I would like to transform the variable in order to make it more ...
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1answer
107 views

Are there any public LIBOR Data sources?

I am looking for 1 and 3 month LIBOR rates available through an API. I am familiar with the rates available on FRED, but they are only available with a 1 week lag. Unfortunately, I'm looking for no ...
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1answer
44 views

Any database with all of companies previous CEO's?

I'm doing some research on CEO's and company chairmen and I'm looking for a database that contains this data for all the public US companies. The data needs dates associated with the names as well. I'...
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33 views

“Smoothed” growth rate used to calculate implied equity risk premium

On Aswath Damodaran's website, he publishes an annual dataset that calculates the current equity risk premium implied by current market prices. The dataset can be found here: http://www.stern.nyu.edu/~...
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25 views

How to rank and normalize multivariate returns uniformly in Python?

If I have a $T\times 3$ asset returns matrix containing 3 stocks' return series in the columns as a numpy array or pandas ...
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0answers
29 views

Obtain order level data for German stocks

in the context of my dissertation I am working on high frequency trading and would like to investigate its effects on the German stock market. For this purpose I will need the order activities of a ...
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43 views

Survivorship Bias Portfolio Simulator

I am currently struggling to consider survivorship bias in my simulator. Currently, I'm taking the current stocks traded in the NASDAQ (from ftp://ftp.nasdaqtrader.com/symboldirectory/). Is there any (...
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1answer
46 views

Why no stock's amount data on us stock market?

In chinese stock market , every stock's traded volume and amount (price * volume) data was disclosed. Why in us stock market no amount data disclosed? There must be such 7 fields as ...
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1answer
47 views

How to deal with missing stock returns?

If I want to calculate the Covariance between two stocks but there are missing days in both, how can I deal with missing data? I want to use Pairwise deletion and only use the days of which both ...
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42 views

Using a rolling mean or median to fill missing values

I have some 1-minute bar data. The first datapoint has time t0 and the last one t1. 99.5% of the data between the first timestamp and the last timestamp is there and 0.5% is missing (NaN values). I ...
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1answer
40 views

Is there a noticeable difference in making scatter plots and regression models with tick-data or with candle data?

I am asking this question because I want to research some variables. An example is the RSI where the current RSI is updated every tick. This means that the value of the RSI is fluctuating a lot inside ...
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37 views

Commodities API data source [duplicate]

I'm trying to get commodity historical information via API. I found this https://www.alphavantage.co/documentation/ which does somewhat provide some data for stocks and others but not commodities and ...
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3answers
118 views

Affordable NASDAQ/NYSE Tick-By-Tick

I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a ...
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1answer
353 views

How to download all stocks from NYSE, AMEX and Nasdaq from CRSP without entering individual company codes?

I was wondering if there is an efficient way to extract data on all the stocks from the CRSP dataset? In the Query Form I only have the option to enter company codes individually or to upload a .txt ...

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