Questions tagged [data]
Questions about handling, obtaining, generating, or analyzing all types of financial or economic data. Please use a more accurate tag if possible; for instance: tick-data, fundamentals, market-data, option-data, ticker-mapping, etc.
500 questions
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Estimating risk premium with cross sectional regression
I am trying to estimate a carbon risk premium according to the Fama & MacBeth methodology using a cross-sectional regression approach.
Therefore, I regress the excess return in period t+1 on the ...
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Normalize positive distributed time series data without window parameters
I have a piece of daily volume and a piece of daily trades data, now I divide them and I get volume/trades as a factor. This factor has positive value and I want it to be normalized to predict the ...
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1
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Hypothesis Test Contradiction?
I have a question regarding hypothesis testing. I used the t-test (2-tailed) for these hypotheses:
Whether the (monthly) mean return of company A's stock is different from 0
Whether the (monthly) ...
- 2,561
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Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution?
Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution ? I would be happy to buy them but everywhere prices starts from 1k $ (minimum value of order), 2016 alone would be ...
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Filtering options data
I am looking to conduct some analytics with regards to options implied volatility. My advisor mentioned about filtering options with time to maturity of less than 7 calendar days. Is there a ...
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Berkshire Hathaway ticker symbol B
I want to read the Berkshire Hathaway data using the getSymbols function in the quantmod package in R.
The ticker symbol is BRK-B.
getSymbols ( "BRK-B" )
...
- 1,046
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2
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842
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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 ...
- 5,258
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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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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 ...
CommunityBot
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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 ...
- 503
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Is there data on market participants at a particular moment?
I am looking for data on market participants at a particular moment (or some proxy/approximation). For example, how can I tell whether mostly big players and HFTs are dominating the market in ...
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Bloomberg access from publishing platforms such as Posit Connect
It is easy to download Bloomberg data in Python or R using their blpapi API. The only requirement is that one is logged on the local Bloomberg terminal.
We often find ourselves working on publishing ...
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Building Financial Data Time Series Database from scratch
My company is starting a new initiative aimed at building a financial database from scratch.
We would be using it in these ways:
Time series analysis of: a company's financial data (ex: IBM's total ...
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637
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Bloomberg BQNT vs Dektop API
I am currently looking at alternatives to the Bloomberg Desktop API as I frequently reach the daily or even monthly data limit. One alternative which was proposed to me was switching from a desktop ...
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Tracking Historical Firm Names
I am working on a project that requires me to track firms' name changes.
The firms I am dealing with are international (a decent number of US firms, but also a sizeable number of European, Asian, and ...
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"Forward" attribute for an option
I am downloading implied volatilities for some options. I noticed, however, that I am also able to choose "Forward" as an attribute for the option. What is this? Is it an option written on a ...
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Which data sources are available for cryptocurrencies?
I am primarily looking for price and market cap histories for cryptocurrencies like Bitcoin, Ethereum, zcash, ...
What are some good data sources and APIs where I can download history as well as get ...
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Free intra-day equity data source
Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick ...
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Innovative ways of visualizing financial data
Finance is drowning in a deluge of data. Humans are not very good at comprehending large amounts of data. One way out may be visualization.
Traditional ways of visualizing patterns, complexities and ...
CommunityBot
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5
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657
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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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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 ...
CommunityBot
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Px last in Bloomberg
This is my first post to this forum. I want to calculate security returns , so therefore, I have downloaded the PX last price from Bloomberg. My question is:
What is PX last in Bloomberg? Is this ...
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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 ...
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What is the best data structure/implementation for representing a time series?
I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series.
...
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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 ...
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How to aggregate qualitative data?
I am trying to look for methods to aggregate and find the average of qualitative data.
There are 20 qualitative measures, each divided unevenly into 4 cycles labeled 1-4. I am trying to find which ...
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Analyzing tick data
What are some of the commonly used techniques to analyze tick data?
I am looking at tick data to see how the quotes/ mid-price evolves due to certain events in the market. Since tick data is ...
CommunityBot
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2
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438
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Data feed that shows individual orders
Does anyone know how I can obtain time and sales data for a stock?
Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume.
I ...
- 2,705
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587
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Where to get historical price and fundamental data for global equities? [duplicate]
I'm looking for reliable research data on global equity fundamentals, but I'm not sure which vendor provides these (and preferably only these) features:
Programmatic access of data.
Coverage of ...
CommunityBot
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2
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680
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ML/AI in fixed income vs equity
From my perception of learning different ML/AI applications to finance I found there are lots of them in equity and not as many in fixed income. I wonder if the markets are different in some ways and ...
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ML/DS in fixed income asset management
I am new to the topic but I would like to read papers/books/anything interesting to learn more how ML and data science is used in buy side Fixed income Asset management firms. Factor investing/signals/...
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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 ...
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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:...
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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 ...
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1
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Which spread to use to analyse CDS data from Markit
So I am currently doing some analysis on CDS Data and I am using Markit to extract this data. However, I am a bit confused regarding the quotation standards here. I want to investigate the ...
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Training set of tick-by-tick data?
I'm looking to find a free source of tick by tick data (<1sec) for training purposes. It doesn't need to be longer than a day, and I don't care what instrument, or exchange, or time it is. I just ...
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Where can I get fundamental data on US public stocks in original form?
I'm looking for fundamental data on US public companies. If anyone could recommend paid or free sources of the fundamentals in original, non-standardized form that would be great. I tried scraping the ...
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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.
...
CommunityBot
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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 ...
CommunityBot
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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 ...
CommunityBot
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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 ...
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SONIA Reference Data Calculation / OIS Data
I am reading material reference rates calculation for SONIA by refinitiv. It says the data is calculated based on OIS Rates between 10:50AM and 11:00 AM.
https://www.refinitiv.com/content/dam/...
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Italy Zero Coupon Yields
I am looking for historical data for Treasury bills and bond yields for Italy on a monthly or daily basis. Where can I get this data?
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578
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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 ...
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Back testing fixed income for bond portfolio management
When doing back test trying to replicate a paper, how do you handle bonds that are maturing in an index?
Say I was trying to create a strategy, how do I account for bonds that mature in terms of ...
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1
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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 ...
CommunityBot
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2
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Retrieval of MSCI factor index performance data from the web
I hope this question is on-topic. What is a convenient way to get MSCI index performance data from the web? I would be interested in daily performance data of the factor indices momentum, minvol, ...
CommunityBot
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6
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9k
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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 ...
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How can I calculate the annual Standard Deviation for Sharpe Ratio of Daily Portfolio Returns?
I'm somewhat confused with regards to calculating the annual standard deviation and Sharpe ratio for my portfolio of daily returns.
I have daily data ranging from 1960-2020 and use Excel to make some ...
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Algorithm to detect the aggressor side of a trade
Most of the exchanges provide aggressor side property of trades (e.g. Tag=5797 AggressorSide on CME) in their raw data. But many data providers do not provide this information via their datafeed API's....
CommunityBot
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