Questions tagged [data]

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

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5
votes
3answers
170 views

Where to get historical intraday stock data?

I hate to ask questions that have been asked before. But I am afraid that this is one of them. I have searched the web for days now, read so many forum posts. But I can't find an answer. Most answers ...
0
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0answers
25 views

Yearly Performance of US Mutual Funds

Does anyone if there is a dataset, possibly free, that has data on the historical performance of US mutual funds? It would be fantastic if it also includes their fee structure also. Thanks!
3
votes
1answer
52 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: ...
0
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0answers
32 views

polygon.io - accessing historical index data [closed]

I can access historical time-resolved trades for stocks through the RESTful API using /v2/ticks/stocks/trades/{ticker}/{date} Is there an endpoint pulling index ...
2
votes
1answer
28 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 ...
1
vote
1answer
140 views

How can I most efficiently deduce Renaissance Technologies' changes?

The Motley Fool, Nasdaq and Yahoo Finance all were able to deduce RenTech's purchases of cannabis stocks. I can see RenTech's quarterly reports on EDGAR, but they don't list changes. How can I ...
1
vote
1answer
35 views

IPO data source (NYSE / NASDAQ)

I am trying to get data for results of IPOs that took place on NYSE and NASDAQ in 2015-2020. My minimal need is: Date of IPO completion Company name or ticker (better yet, both) Total US$ amount ...
0
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0answers
37 views

Reputable source for historical US-listed EOD options data for backtesting

I've gone through the data thread and found a few viable options. ivolatility.com in particular has what I'm looking for (EOD US-listed NBBO options price data, volume, OI, history back to 2000) but ...
1
vote
0answers
220 views

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 ...
17
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5answers
9k views

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 ...
0
votes
1answer
37 views

How can I get NAICS (or SICS) data for the 6000+ stocks on the NYSE?

I have had no problem getting a CSV file with the 6000 or so NYSE stocks, but it just has the stock symbol and the market capitalization. How can I get the NAICS (or SICS) code for the companies ...
1
vote
1answer
55 views

How can I approximate Dollar Bars from Minute Data instead of Tick Data?

Having been influenced by de Prado's Advances in Machine learning book, I've set out to build the dollar bars (in which each bar represents a set dollar amount of transactions in the security) that he ...
2
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0answers
53 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 dedicated to ...
275
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30answers
204k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
0
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0answers
35 views

algorithm for identifying bad NBBO timestamps

Hi: Suppose I had one minute NBBO data for about 4,000 equities and 3 years worth of days. So, each stock has about 700 or so days of data and each day has the minute by minute bid price and ask price ...
1
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3answers
5k views

VIX intraday data

Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...
0
votes
1answer
58 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 ...
2
votes
5answers
1k views

10 years intraday for a single stock

For a personal experiment I need to acquire 10 years worth of data (with time resolution hourly at least) for a single stock. It doesn't really matter which stock, and the data doesn't need to be very ...
0
votes
4answers
1k 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 ...
0
votes
1answer
61 views

How to get know when CUSIP is changed

CUSIP code is not a constant, it could be changed. Does anybody know how to detect a CUSIP change? Is there any report with this info? Where can i find it? Thank you.
14
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8answers
25k views

Data source for historical Share Outstanding totals for individual stocks?

Data is normally adjusted for splits/reverse splits, etc. The current shares outstanding is usually available. Is there a data repository that captures the shares outstanding for any point in the ...
1
vote
1answer
89 views

Proper Data Partitioning For Building a Forecasting Model

Goal: A team and I are looking to build a model that performs a predictive action for the state of the market on day T + n, using the data at hand on day ...
4
votes
2answers
463 views

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, ...
1
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0answers
41 views

Old codes for Companies (CUSIP/ISIN/SEDOL)

I found that for example ISIN have following rules: Merger and acquisition: Old ISINs for stock become inactive and are replaced by securities with a new ISIN. Bonds only need new ISINs if old ones ...
0
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2answers
85 views

Where to get historical price and fundamental data for global equities?

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 ...
5
votes
5answers
5k views

List of TSX stocks with their sector and industry

Is there a website that offers free download or API where I can get an up-to-date list of all securities listed on the TSX along with their sector/industry? I could scrape individual screens for each ...
0
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0answers
40 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.
30
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10answers
14k views

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 ...
1
vote
3answers
1k views

Ledoit-Wolf Shrinkage estimator not giving positive definite covariance matrix

I used ten year daily data for 407 stocks and computed the daily and monthly covariance matrices. Since I have more variables than observations for the monthly matrix, I wasn't surprised to find the ...
1
vote
1answer
47 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 ...
0
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2answers
493 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 ...
0
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0answers
6 views

Value Effect Analysis: Omit negative BE/ME companies or how to classify them?

I hope this question is allowed here, otherwise please delete it. Currently I'm working on a historic analysis of the value investment strategy. The foundation of this work is to classify the ...
0
votes
0answers
60 views

Excel formula for Laplace distribution

I am trying to create a forecast model, projecting the number of passengers through an airport over a period of time (daily, weekly, and monthly). I've already used Excel's FORECAST and POISSON ...
2
votes
0answers
22 views

Data sources for historical ICE settlement option prices, volume & open interest

I am looking for long history for historical settlement option prices, volume & open interest at ICE Europe (specifically fixed income). This seems to be more challenge than I could imagine. ICE ...
2
votes
2answers
441 views

CBOE Index Minute Data

I am doing a small research and looking for a place to purchase historical minute CBOE Index data. I am interested in: VIX - CBOE Volatility Index VVIX - CBOE VIX VOLATILITY INDEX VXV - CBOE VIX ...
3
votes
1answer
56 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 ...
7
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6answers
2k views

Bloomberg alternatives for fixed income data

I am looking for a (hopefully significantly cheaper) alternative to bloomberg - primarily for fixed income data. Perhaps some survice that has a more modular fee structure (so that I only have to pay ...
22
votes
20answers
20k views

Is “eoddata” a good data source?

Not sure if this is a relevant question for site, but I am looking to move to www.eoddata.com as my data source. If anyone has used it, can you tell me how the data quality is ? I am currently ...
0
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0answers
127 views

Historical data for total market capitalization

I'm working on a data analytics certificate and need historical data on the total market capitalization for the US for a course project. Can anyone suggest a source? Thanks!
1
vote
4answers
904 views

Alternative to Bloomberg Excel Add-In for EOD Stock Prices

Is there a more cost-effective alternative to Bloomberg Excel Add-In? 90% of the time I only use Bloomberg to download security (hundreds of U.S. and international stocks) historical price data. The ...
2
votes
4answers
1k views

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 ...
1
vote
1answer
48 views

S&P 500 dividend data [closed]

I could not find S&P 500 dividend data on S&P 500 official site. Does anybody know where to find it?
3
votes
0answers
55 views

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 ...
1
vote
1answer
70 views

EONIA capitalisé jour tr eur: can't find index data! Do you know what kind of index is?

To get EONIA capitalisé jour tr eur index returns (monthly returns from 01/2007 until the most recent) is challenging. First i googled the index name searching for the ISIN or the index provider ...
2
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2answers
77 views

How does duplicate data affect backtesting?

Before developing a trading strategy, one should clean and preprocess his data set. It is very common that a data set contains huge number of duplicates. Question: How does duplicate data affect ...
87
votes
13answers
18k views

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 ...
2
votes
3answers
418 views

How to synchronize put and call option-data?

I recently retrieved a large amount of European option data, for call and put prices, from OptionMetrics. Doing so for the same time period I get a file consisting of 62558 rows of call prices & ...
1
vote
1answer
82 views

Availability of GC Repo Rates for Different Maturities

I am trying to replicate a Covered Interest Rate Parity arbitrage trade using General Collateral Repo rates for my Bachelor Thesis. My problem is that I do not have the necessary knowledge of what ...
3
votes
3answers
5k 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 ...
1
vote
1answer
35 views

Why files in this SEC filing is not downloadable?

Quarterly report for MC Donalds has list of documents but there's no way to download it. It has only one text file available for the download. How the other documents could be downloaded, like the "...

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