All Questions
Tagged with data programming
58 questions
0
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35
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Stock screener for US stocks - yahoo API
I am trying to create simple stock screener in python for all US stocks (yahoo API). Due to the large amount of data even ThreadPoolExecutor does not work. What do you propose I could use?
- 1
0
votes
0
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55
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Seeking Best Methods to Identify and Analyze Sharp Trends in Stocks and Currencies Using Python
I have basic proficiency in Python development and I'm interested in analyzing the relationship between certain parameters and sharp changes in stock and currency trends. What are the best methods for ...
- 1
0
votes
0
answers
25
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How To Get Morningstar Unique Stock IDs
I have been trying to extract every piece of information I can from Morningstar's Investor platform and save it offline for free to integrate for a different use case;
I have figured out how to ...
- 1
-1
votes
2
answers
535
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Get bonds data in python [duplicate]
Anyone knows a way of getting trustworthy bonds data in python? I know that for stock there is yfinance package but it doesnt include bonds.
Thx
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1
vote
2
answers
473
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How to test an orderbook using real data
I'm pretty new to all this but haven't found anything online on my issue (the answer may be very obvious since I'm a beginner) - I'm currently coding up a very generic orderbook in C++ for fun, just ...
- 13
4
votes
1
answer
2k
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Efficient way to store orderbook in Python
I am using the Coinbase WebSocket API to extract real-time data about the orderbook for BTC-USD.
I am using the following code to store the snapshots of bids and asks and the changes to the orderbook ...
- 213
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
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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 ...
- 119
2
votes
2
answers
2k
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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 ...
- 121
0
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0
answers
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
answers
534
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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 ...
1
vote
0
answers
300
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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, ...
0
votes
1
answer
2k
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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 ...
- 3
1
vote
1
answer
864
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Downloading Historical Data from Finam.ru
I am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be translated.
The link to download the data is here.
...
- 11
1
vote
2
answers
7k
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Global Maximum Drawdown and Maximum Drawdown Duration Implementation in Python
Following along with E.P. Chan's book, I'm attempting to calculate the maximum drawdown and the longest drawdown duration from cumulative portfolio returns. He codes it in MATLAB, but I wanted to try ...
- 13
2
votes
2
answers
5k
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Converting time bars to tick bars or volume bars in python
Recently I've started reading Advances in Financial Machine Learning by Marcos Lopez de Prado. In the second chapter the author defines some essential financial data structures, like tick bars, volume ...
- 133
5
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2
answers
7k
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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 ...
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-1
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1
answer
1k
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Compound the monthly returns to make them quarterly [closed]
How can someone make the Kenneth French library data returns quarterly from monthly? Since they are not loq returns, then you need to compound returns rather than summing them up. I want to make the ...
- 193
3
votes
0
answers
189
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Identifying the same company behind stocks traded in different exchanges (e.g. CUSIP and WKN in 1990ies)
I would like to merge two data sources with companies headquartered in Germany between 1980-2000, but listed in Germany and the US. One source identifies "German companies" by their CUSIP, the other ...
- 31
0
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0
answers
52
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Why do these Monthly vs. daily plots differ?
I got my data from Thomson Reuters Datastream. As an Input for my plot i calculated daily Returns based on the Return-Index provided by datastream. Then i plotted the Monthly and the daily Returns.(...
- 87
1
vote
0
answers
75
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API returning company tickers found in provided news article
I'm looking for a REST API (paid or free) that accepts a string containing a news article (example below) as payload and returns an array of company tickers (eg TSLA for Tesla) mentioned in the ...
- 382
2
votes
1
answer
152
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Efficient computing of stock returns taking dividends into account
I have two DataFrames as follows:
Dividends:
...
- 21
0
votes
4
answers
578
views
Imputation of missing returns
I'm trying to calculate a historical VaR for a portfolio of futures, however there are certain days for which some assets are missing prices. Since the portfolio consists of many spread positions, the ...
- 83
0
votes
1
answer
506
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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
6
votes
2
answers
7k
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Automatically get iShares ETF holdings
I heard that ETF's must publicly report their holdings all the time. I have seen that for example on the iShares website I can download the list of holdings as a csv file:
https://www.ishares.com/us/...
- 205
1
vote
0
answers
47
views
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
2
votes
1
answer
2k
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Problems retrieving historical data through IbPy
I am having problems retrieving 14 days historical data from IB.
I recently made the switch from MATLAB to Python so I have a lot of catching up to do.
Where do I go wrong? All help is appreciated.
...
- 23
4
votes
6
answers
9k
views
Place to get free live Forex quotes via API?
Are any free Forex data APIs available? There are a ton of historical data repositories that are freely available but what about a live, streaming data API? 1 minute updates or tick data would be ...
- 45
3
votes
3
answers
6k
views
Does Yahoo/Google no longer support web-scraping of FOREX data?
I use Python 3.6 to develop quantitative FOREX trading strategies. I used to use Yahoo or Google in conjunction with pandas.datareader in order to collect forex ...
- 153
2
votes
1
answer
522
views
Yahoo: Downloading Stock data from symbols with a period (.)
Hi: I'm using R to start learning about quantitative finance. I'm good at R, just learning finance.
Some stocks on the TSX have periods in their names, usually indicating that it's a class B share, ...
- 123
0
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0
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89
views
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
2
votes
0
answers
164
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How to reset indicators in quantstrat / quantmod?
I am currently trying to back test a strategy on a file which contains minutely data for the whole month. I would like to reset my indicators at 3:30 PM . Is there a way I can reset the indicators ...
0
votes
4
answers
2k
views
Where to find sample intraday data? One to two days or more
I'm looking for some intraday stock data. Doesn't really matter what kind of security... I'm just looking for price, volume, bid, and ask. I'm looking to test a model based on the dynamics and ...
- 153
1
vote
1
answer
187
views
Historic and future (next) round of machine readable dividend info
Is there a source of historic dividend dates, ex-dividend dates and dividend values? Also, the next dividend date / ex-dividend date.
Ideally in a machine readable form? The publically available APIs ...
- 111
1
vote
0
answers
292
views
Is there a public SQL database for all US stocks?
I would like to search through all US stocks (via SQL or another technology), and filter them by certain parameters (similar to a stock screener, but through an API rather than a user interface). Is ...
- 153
4
votes
1
answer
863
views
OTC Market Data
I am currently doing research on the OTC Markets (OTCQB, OTCQX). As far as I know, the only data available is end of day. The research will require tick level data. This leads me to two questions:
...
- 244
2
votes
3
answers
5k
views
accuracy of Yahoo Finance stock data (Python module)
I am using the yahoo finance python module: https://pypi.python.org/pypi/yahoo-finance
I am using it for a project and would like to see if anybody else uses data from this source and can vouch for ...
- 398
6
votes
3
answers
3k
views
Real-time Tick Data API for the Italian Stock Market
I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should provide data through ...
- 161
0
votes
1
answer
5k
views
Transforming daily simple returns into weekly
I am trying to transform daily simple returns into weekly returns. I am using the following R code:
...
- 491
1
vote
0
answers
137
views
BLS v2 API took 20+ minutes to publish data where is immediate data available?
First, I should state that I built a Java program that uses HTTP Components to keep in sync with server time for my broker.
Once 7:29:59 comes around the program ...
- 500
4
votes
1
answer
8k
views
Calculate and plot historical volatility with Python
I have downloaded historical data for FTSE from 1984 to now. What I would like to do is to graph volatility as a function of time. What I have written is:
...
- 143
2
votes
2
answers
800
views
Original Fundamental Accounting Data (Not Ratios)
Where do I get original fundamental accounting data from income statement, balance sheet and cash flow statement, like Sales/Revenue, Gross Income, EBIT, Operating Income, Cash & Short Term ...
- 29
7
votes
3
answers
9k
views
Python code to download historical firm data
I am looking for a Python code that scraps a website to download historical firm data such as market capitalization, dividend-yield, and so on. I have a code that downloads the current firm data from ...
- 493
3
votes
1
answer
1k
views
Does Nelson-Siegel require adjustments to yield curve input data?
I am attempting to gain a better understanding of the limitations of the Nelson-Siegel model as described in Estimating the Yield Curve Using the Nelson-Siegel Model.
As I have been playing around ...
- 450
2
votes
5
answers
2k
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API-based equity screeners?
I know there are APIs from different brokers that allows you to trade and also obtain information about specific companies, but I wonder if there are equity/asset screeners that are API-based and can ...
- 121
2
votes
0
answers
1k
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fetch from yahoo! finance database - varying number of ticks
To test a model with real-life data, I used the fetch-function in matlab to connect to the database of yahoo! finance. My code to try and get 7 different assets' returns is the following:
...
- 519
-4
votes
1
answer
208
views
API to perform queries on stocks and financial derivatives [closed]
Is there a native and free API and DB to request information such as:
All the companies which their P/E ratio is greater than 50
The closing prices of stock <...
- 93
5
votes
4
answers
1k
views
Loading HF stock data into excel
Are there any free, open source VBA addins or R packages that can be linked using the yahoo finance/Google finance/other data sources api to continuously download intraday data into excel or R?
https:...
- 2,138
7
votes
3
answers
2k
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Generate tick data from candlestick
Is there software (or Python / R / ... scripts) to generate (pseudo) tick data from candlestick data.
I have candlestick data (CSV format) from monthly timeframe (MN) to minute timeframe (M1) but ...
- 363
-1
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1
answer
1k
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Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
What constitutes "stealing" when it comes to publicly posted financial data?
I think there are three instances of this that we can individually vet:
a.) you physically broke into a location or ...
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