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.
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what is the best academic dataset for returns of European stocks?
what is the best academic dataset for returns of European stocks? what are their identifiers? I know Factset. is there other datasets?
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How many orders does a big exchange receive in a trading day?
How many orders does a big exchange receive in one trading day in their most traded asset?
E.g. how many orders does Nasdaq receive for AAPL in one day?
I am interested in a rough estimation and can't ...
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Sampling dollar bars for ML model of multiple tickers
I have a Neural Network model that provides predictions for the future returns of a portfolio comprising stocks and cryptocurrencies. The original model operates on standard time bars and generates ...
CommunityBot
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Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook - replacement
One of the main aggregate datasets for historical returns on different assets classes (the Stocks, Bonds, Bills, and Inflation® (SBBI®) Yearbook) is being discontinued. Source: https://www.kroll.com/...
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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?
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using a normalized formula from a book but not getting the correct values
I'm attempting a normalization formula (seen in the picture) but I'm not getting the result of 0 and 1. Instead I'm getting values greater than 1 and less than 0 (seen in the other picture).
I wrote ...
CommunityBot
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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 ...
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Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series
Question: Estimating Parameters for a Jump Ornstein-Uhlenbeck Process from Positive and Negative Order Flow Time Series
I’m working with a model of buy and sell order flows that are described as ...
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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 ...
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Automated 10-K XBRL data grab using the SEC file structure
I would like to write a program that takes as input a list of CIK/year/quarter entries. The program should iterate through the list and, for each entry, grab XBRL financial data from the SEC website ...
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How to download all 10-K reports for all companies listed on S&P 500?
I am doing a regression analysis of all companies listed on s&p 500. It requires their 10-k reports. Where can I download all of them once?
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Red Black Trees for Limit Order Book
Why do people suggest using red black trees/balanced binary trees for the levels in a limit order book?
Why are they algorithmically ideal?
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Matching of Symbols from Bloomberg and refinitiv , for OTC derivatives trade clearing
I have been researching on this Scenario , since few days : -
Actually I have scenario , where we are dealing with OTC derivatives and BUY/SELL order can be punched in on different systems like Buy ...
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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 $...
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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 ...
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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 ...
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Multiplicative Metric Variance
I come from a math/statistics background and as learned some stuff as a data analyst
I learned a certain technique to calculate period to period variances between some metrics.
I was wondering if ...
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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 ...
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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....
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Is there an equivalent to SEC EDGAR for non-US companies, especially Europe?
For US public companies we can go on sec.gov to find their 10-K filings etc.
Are there similar services in other countries? I'd be especially interested for in Europe, France, Germany, Italy, ...
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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 ...
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Historical data components of S&P 1500
I am doing some research about market microstructure and for this reason I need the historical data of stock symbols included in the S&P 1500 Composite Index. Namely, I need to know which stock ...
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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 ...
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evaluate the predictive power of a signal to predict stock price - interview question
I am a young Statistics graduate.
A few days ago as an interview question, I have been asked to evaluate the predictive power of a Signal time series (supposedly output by an Artificial Intelligence ...
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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 ...
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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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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 ...
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Looking for good data source for back testing and Monte Carlo [duplicate]
Does anyone know of a freely available data source that will have American and foreign stocks, mutual fund, and ETF info including stock's histories of paying dividends, PTB and PTE ratios, as well as ...
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In how many ways can time endogeneity be defined?
In the literature many papers such as Wenhao Cui take into consideration the problem of time endogeneity.
Is it correct to define time endogeneity uniquely as having nonzero correlation between ...
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Replicate Shiller's CAPE index
So Robert Shiller used to update his CAPE index file monthly. It seems that he stopped doing so in September 2023. Here's the link: http://www.econ.yale.edu/~shiller/data.htm
To compute this index he ...
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Are there any free algorithmic economic news feeds available?
I'm looking to build a news-based trading algo and I need a live news feed for economic data.
Are there are free sources available? I cannot find a single one.
It doesn't have to be perfect, and I'm ...
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Reliable Economic Data on China
Trying to develop a new strategy, but I need to find reliable economic data on China. It's well known that the official figures there don't tell you everything (to put it nicely), so I was wondering ...
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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 ...
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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 ...
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Accuracy/Quality of financial data: revised financials or historical financials?
I am currently working on calculating financial metrics, particularly Free Cash Flow to Equity (FCFE) etc., for investment analysis.
In the context of financial analysis, I'm wondering which set of ...
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Where can I get historical ticker change database?
There's 30 days worth of data at http://www.otcmarkets.com/marketActivity/symbol-changes - but I'm really looking for the past 10 years, or 5 years if only that is possible. Any dice?
The closest I'...
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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 ...
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Where to get crypto data without survivorship-bias (delisted coins accounted for)? [duplicate]
What are folks using for their crypto data needs.
I am looking for a provider of Crypto data - free of survivorship bias and should at least have the top 20 coins historically.
As this research paper ...
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Data separation for Time Series Models? (both Statistical and ML)
I had a big question about data slicing for Time-Series model fitting. In university, since I wasn't a stats major, so I didn't do much model fitting for data, other than my ML class, and have ZERO ...
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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 ...
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Explanation for a Data from Treasury Direct
I am dealing with a treasury data from TreasuryDirect. Due to the lack of documentation, I am having a hard time understand the meaning of the variables. It would be great help if anyone can share any ...
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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 ...
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Cleaning data before fitting the Heston SVM
This is more of a generic question regarding data cleaning. I have implemented the Heston SVM, and I am attempting to fit it to some historical option data. With simple cleaning of the implied ...
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Large data of Equity Price download from Eikon thomson reuters datastream
I like to download all Chinese ( more than 4000 stocks) stocks daily price data from 1990 to 2020 from Eikon Thomson Reuters datastream. However, I failed to select and download all stocks together. ...
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Best data feed products for fundamentals data [duplicate]
I'm curious if there is any consensus 'leader' in terms of vendors selling (via data feed) fundamental data on global, publicly traded equities. Am curious for any thoughts on Worldscope Fundamentals (...
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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 ...
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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 ...
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Does Quandl offer raw futures data?
I am interested in downloading price data for individual futures contracts. For example, the price of the CBOT (CME) Wheat future ZWU3, which is the September 2023 contract for wheat, which will stop ...
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Bloomberg Alternative for Quant Fund
Is there an alternative to Bloomberg for someone who only needs historical data (stocks, futures, indices) as well as what Bloomberg calls 'reference data' - i.e. what is the multiplier of ESU4, what ...
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Is market data api subject to regulatory controls?
I have noticed that many (also paid) market data Apis provide incomplete or sometimes even completely wrong market data. Now I have noticed that almost all providers write in the terms and conditions ...
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