All Questions
Tagged with data market-data
29 questions with no upvoted or accepted answers
5
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Anyone know if this daily report discontinue to publish? Goldman Sachs - "Global Index Volatility and Correlation Monitor"
I used to receive this daily report in my workplace from Goldman Sachs mailing list but the mailing list discontinued in May 2019 without any notice.
The report is an pdf attachment which send from "...
- 51
2
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0
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89
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How can you explain the substantially lower trading volume shown in IBKR?
I am using IBKR API to download historical data. The trading volumes are always substantially lower than from Yahoo Finance and Nasdaq.com, often lower by 50%. It is impossible to be explained by ...
- 131
2
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1k
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Did AlphaVantage drop the swedish stock exchange?
I have used AlphaVantage in the past to get data for the Stockholm Stock Exchange: I don't remember exactly the symbol I used, but it was something along the line of OMX:ABB or STO:ABB (for, say, ABB)....
- 21
2
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114
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FTSE 350 sector index historical data
Does anyone know where I can find (at least 10 years worth of) end of day historical (op, hi, lo, cl) data for the FTSE 350 Sector Indices?.
I need the data for ...
- 1,398
2
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87
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Is there any research available on profile of the market participants in different markets?
I know markets are by large anonymous, is there any current research or data sources publicly available across different exchanges and/or investment instruments on the profiles of their investors?
I ...
- 207
2
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46
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Feedback on Video Metadata Extraction
I've developed/patented a metadata extraction methodology, which we've used to build a variety of alternative datasets for funds.
One of the more difficult issues in this field, is getting useful ...
- 21
2
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0
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364
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Data source for a corporate bond yield curve?
Yield curves are a valuable tool for economic analysis. It is particularly interesting to analyse the difference between Government Debt yields and Corporate Debt yields (credit spreads). This gives ...
- 237
2
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1
answer
160
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Where to find Investment home bias data & Historical country weight in World MSCI
I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters.
Investment home bias, e.g in 2012 US ...
- 257
1
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0
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74
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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 ...
- 27.7k
1
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0
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47
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Transform 24hr cumulative volume to sampled periods
I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price.
The time is the time at which the data was received from the exchange, price is the last price ...
- 398
1
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0
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391
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List of US Industry sector ETFs that map to ICB classification
I am in the prcess of carrying out intra-and intra sector analysis of US stocks, and am proxing sectors with sector ETFs. I therefore, need to catalog the list of US sector ETFs - but have been unable ...
- 1,398
1
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31
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Sample data of quarterly (annualized) real GDP growth
I am looking for a database that provides me the quarterly (annualized) real GDP growth (quarter t and t-1) of US, Germany and England.
For the US data i went here:
https://www.philadelphiafed.org/...
- 247
1
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0
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57
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Historical UK Gilt 2-year and 5-year data
Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
- 330
1
vote
1
answer
124
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FTSE AIM Components From 2000, 2001, ... 2013
From where can I get a list of historical component lists for the FTSE AIM Index as well as other indices?
I see that there is a page for data sources here, but that page does not contain what I am ...
- 368
0
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0
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20
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Real-time data for option on Taifex
Some time ago I used the link and was able to use the bid- and ask-price data in real time. In particular, the ref provided information on the TХO contract on the Taiwan Exchange.
Question: is there ...
- 253
0
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1
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90
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Nelson-Siegel-Svensson: question regarding data format for fitting the model
If I want to fit the Nelson-Siegel-Svensson (NSS) model to a set of spot, forward, or discount rates, my intuition says that the data should of course be in percentage form.
For example, I should use $...
- 117
0
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68
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Index reliability/source for yahoo finance
I had a small question regarding the reliability of the data on Yahoo Finance, I know that this source is full of flaws but it has the enormous advantage of being free.
I had a question regarding the ...
- 1
0
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0
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32
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How to download the record of firms included in the SP100 index?
I need to download a dataset that describes the constituents of the SP100 index over time. I have an account on WRDS and hence I can get the constituents of the SP500 fairly easily, but it seems that ...
0
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0
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262
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FREE historical limit order book tick data with decent depth
This is for academic purposes. I am trying to find tick data with depth and type of order execution, i.e. MO, LO, cancellation etc. for equities and or indices like SPY that is FREE.
It does not have ...
- 39
0
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0
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70
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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 ...
- 23
0
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305
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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-...
- 101
0
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0
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141
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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 ...
- 472
0
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31
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Why would this price data have lots of spikes above the trend line?
I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ...
0
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940
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Download historical MSCI/GICS Sector Index data
Similar to Where do I get historic performance data of the MSCI World Growth/Value index, I'm looking for historical data for the MSCI Sector Indexes (Energy, Material, Industrials, Financials and so ...
- 101
0
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0
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184
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Is Morningstar data reliable?
Wondering if Morningstar financial statement data reliable?
For example it doesn't have the Balance Sheet statement for BHP, while Marketwatch has it.
Same for Renault SA the Balance Sheet is ...
- 251
0
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42
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I need to get data about tulip price between 1936-1937
I need to daily data for Tulip Price between 1936-1937. How can I find? Please help.
0
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89
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API to query ME, BE/ME, P/E etc. accounting data per stock symbol
We don't have access to:
Bloomberg
Thomson Reuters
CRSP
COMPUSTAT
And we are trying to replicate FF-1992, so we can have stocks returns via yahoo finance, like: http://investexcel.net/multiple-...
- 257
0
votes
1
answer
426
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(Self studying) Finding data on Bloomberg
I apologize for asking this very simple question, but I was reading through this chart for the first time, and I would like to know where on Bloomberg can I find data like these, since I have to price ...
- 151
-1
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1
answer
784
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Where to get historical IV rank & IV percentile data?
I thought my broker (Interactive Brokers) was offering this but looks like what they actually supply is IV / with historical realized volatility.
I also checked Quandl but as this is not data for ...
- 207