All Questions
Tagged with data market-data
141 questions
0
votes
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
votes
1
answer
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
votes
0
answers
21
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JKP data and French library data [duplicate]
I am currently using the JKP factor dataset (https://jkpfactors.com/) to test a large number of factors.
Their data has information on 153 factors, but no CAPM beta.
This dataset only supports returns....
- 1
2
votes
0
answers
88
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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
0
votes
0
answers
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
answers
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
votes
0
answers
261
views
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
4
votes
2
answers
920
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Highest resolution of stock data?
Out of curiosity, I'm wondering what the highest resolution of stock data there is out there. Is there stock trading data for every nanosecond, picosecond, or even lower? And how is this limit ...
- 171
0
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0
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48
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Where can I get free FX options chain data [duplicate]
Basically title. Can either be through an API or easily downloadable as a CSV file. Every source I find either have options chain data but not for FX, has historical FX data but not an actual chain ...
- 39
1
vote
1
answer
170
views
Backtesting on one exchange, while trading on another?
I've been trading crypto futures on Phemex as it is one of the only few exchanges where I can do that from a U.S. IP address. I have always kept an up-to-date local database with OHLC/kline data from ...
- 13
0
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0
answers
19
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Free data source for options IV and volatility data (US, UK, EUR Equities preferable)? [duplicate]
Where can I get free options implied volatility and realized volatility data?
I used to use Quandl, but they were acquired by NASDAQ and now offer this data under a premium paywall.
For reference, I ...
- 11
3
votes
1
answer
602
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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 ...
-1
votes
1
answer
85
views
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 ...
- 119
0
votes
0
answers
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
1
vote
1
answer
379
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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 ...
- 131
12
votes
1
answer
3k
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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 ...
- 223
0
votes
1
answer
137
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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, ...
- 101
2
votes
2
answers
1k
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 ...
0
votes
1
answer
226
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
0
votes
0
answers
305
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-...
- 101
2
votes
5
answers
657
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 ...
- 31
1
vote
0
answers
74
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 ...
- 27.7k
2
votes
2
answers
143
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 ...
- 21
0
votes
0
answers
141
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 ...
- 472
2
votes
0
answers
1k
views
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
0
votes
1
answer
130
views
aggregate and convert tick-by-tick using fx data
I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
- 370
0
votes
0
answers
31
views
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 ...
1
vote
2
answers
788
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Can I download today's open/close/high/low data for all stocks (in bulk)? [duplicate]
EDIT: Regarding the [duplicate] designation: I carefully checked all the sites listed in the Equities and Equity Indices section of What data sources are available online?. I was not able to find ...
- 111
5
votes
2
answers
1k
views
How to make a trading universe of liquid futures contracts
I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
- 153
5
votes
2
answers
7k
views
How to get a Daily Market Cap using Python
I'm looking for a way of getting free historical daily market caps ? I can get todays Market cap from yahoo but need old market caps also.. thanks for the help.
ps: I don't have Bloomberg and school ...
- 676
0
votes
0
answers
940
views
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
votes
0
answers
183
views
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
votes
4
answers
380
views
Where to get the stock universe?
Is there any way to reliably get a full list of symbols (in whatever format), for multiple exchanges (e.g. NYSE, NASDAQ, LSE, JPX, HKEX and so on). Additional info (like sector, or symbols of listed ...
2
votes
1
answer
235
views
Discrepancy in stock volume values for different intervals for the same day on Yahoo Finance
everyone.
Probably, someone else before me noticed that peculiar behaviour but I have not found any thread with a relevant title.
Anyway, here is the case. I have attached a screenshot which displays ...
- 23
3
votes
1
answer
451
views
Cleaning of high-frequency data
In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf.
https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x
in the section ...
- 126
0
votes
1
answer
506
views
Where can I find data about Options for Europe (entire dataset)?
I need to get data about the entire dataset (i.e. all) of options for European countries. Where can I do that?
For example, if I had to do it for US options, I would just use WRDS (to which I have ...
- 213
3
votes
1
answer
181
views
TeaFile discrete logic - how to write [closed]
I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file.
Let's take this example:
...
- 31
0
votes
0
answers
42
views
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.
2
votes
1
answer
574
views
Is there an API that can return the current market cap of a publicly-traded company?
I am trying to find an API which will return the current market cap of US stocks for a financial data visualization project, and I haven't had much luck finding anything. Preferably, I'd like to have ...
- 21
3
votes
1
answer
157
views
Aggregating quotes data for different time frames
I need to aggregate data for a higher time frame. I have data for 1 min time frame as follows
...
- 133
5
votes
0
answers
103
views
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
1
vote
1
answer
1k
views
Pull IDX stocks with alphavantage?
How do I pull data for stocks on the indonesian stock exchange (https://www.idx.co.id/en-us/market-data/stocks-data/list-of-stocks/) with alphavantage? What is the symbol I should pass? I've tried for ...
- 61
3
votes
3
answers
7k
views
Using AlphaVantage For Japan/Shanghai/Hong Kong/Shenzhen stock exchange data?
Can I use AlphaVantage to pull data from Asian stock markets? I've been able to do it for others such as the London stock exchange, India stock exchange, Australian stock exchange etc. but haven't got ...
- 61
0
votes
1
answer
100
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Estimating monthly GDP growth based on quarterly data
Apologies for this newbie question. Given the following quarterly GDP growth:
...
- 50
1
vote
2
answers
113
views
Datasource of all scheduled news events for S&P 500 stocks
I am looking for a datasource which contains all news events specific to equities of the S&P 500, whose release date was scheduled in advance. That is, I am not looking for surprise news. For ...
- 175
0
votes
1
answer
506
views
Bloomberg's Open Market Data Initiative
I am reading about OMDI:
https://www.bloomberg.com/company/announcements/bloomberg-opens-its-data-distribution-technology/
After reading that, I am still not sure:
Is it free?
If so, what kind of ...
- 103
0
votes
1
answer
55
views
Kenneth Frenches Data library return data to price data?
I have downloaded the industry portfolios from Kenneth Frenches data library, I am wondering if anyone knows where I can find the price data?
Can I convert it even if I don't have a starting value?
...
- 57
2
votes
1
answer
4k
views
How to deal with missing value in a time series stock market data?
I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia).
After collection, I have arranged data in a single sheet with ...
- 63
0
votes
1
answer
114
views
Subset selection to identify independent variables that impact the market?
Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...
- 649
3
votes
1
answer
7k
views
Real-time limit order book data of desired depth
Is it possible to get real-time NASDAQ limit order book data feed somewhere?
I would need a stream of the limit order book data, preferably something similar to:
Along with the respective events ...
- 185