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Questions tagged [database]

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7
votes
3answers
776 views

Creating Options Database

I am trying to create a database which will hold information for various stock options and will need to be updated daily. The idea is to use this database to keep track of changes in the open interest ...
1
vote
1answer
96 views

suggestions for improving monitoring of trading bots?

I'm simply looking for tips and ideas to make my system a little more professional. The structure: The botting script is hosted on a VPS. There's a database hosted on yet another VPS. There's a ...
38
votes
15answers
38k views

Is there any thing out there as a substitute for KDB?

thanks a lot for your discussions on the original post. following your suggestions, let me re-phrase a bit : kdb is known for its efficiency, and such efficiency comes at a terrible price. However, ...
0
votes
3answers
837 views

Where can I find CMS swap trading prices?

I am writing a paper about CMS swap. To do so, I'd like to compare different theoretical pricing methods of these instruments to the "real prices" i.e. prices used in the marketplace. But I don't ...
-2
votes
3answers
2k views

Where to get access to an inexpensive or free hedge fund/CTA DB?

Basically, the question is in the title. For some similar data: EDHEC provides some data and one can also get the Mutual Funds data from the Yahoo Finance:is there anything else out there? Thanks,
25
votes
4answers
15k views

Performance of Open Source Time Series Database for Financial Market Data

We would like to store financial tick data in a database (potentially billions of rows) and then create aggregated (open-high-low-close) bar data from it (e.g. 1min or 5min bars). It was mentioned ...
1
vote
0answers
30 views

Analyst Calls Conference Transcript Database/API

Do you know any conference call transcript database/api ? I already found one from Morningstar. Thank you.
53
votes
5answers
25k views

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 ...
3
votes
1answer
500 views

how to treat NA values in Compustat and CRSP

In some years, some accounting values of some companies are missing in Compustat and CRSP. How do I treat those missing values ? Should I replace those with zeros or just simply delete years in which ...
1
vote
0answers
60 views

How to handle database updates for splits/dividends?

I'm finding it an difficult task to maintain a database of stock prices. My main problem is how to efficiently handle splits and dividends. Is it better to handle this in a database with adjusted ...
1
vote
0answers
140 views

Any databases with CEO letters and shareholder letters?

I am researching disclosures on CEO letters and Shareholder letters present in annual reports of listed companies in the London Stock Exchange. Can someone recommend a database where the annual ...
0
votes
2answers
2k views

Close or Adjusted Prices when Backtesting

I've been doing this for some years now, but recently, since I started fiddling around with an old pairs trading strat of mine again, when updating the databases before running the tests, I was ...
-1
votes
1answer
730 views

Where to find historical fundamental data of S&P constituents in Thomson Reuters database?

I need data such as Net Income, ROA, ROE, etc. for companies in S&P 500 Index. I would like to see the values also for other years, e.g., since 2010. However, when I log-in to Thomson Reuters ...
-4
votes
1answer
180 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 <...
0
votes
2answers
136 views

What's the most acceptable name for the “put or call” attribute of an option contract?

Very mundane question. My team is setting up a security master db that includes listed option contracts. I'd like to store the "put or call" attribute in a well-named field, one that won't be ...
1
vote
1answer
434 views

Which data to use with the Fama French 5 factors model & q factor model

I'm working on my thesis in asset pricing, particularly on 'Fama French 5 factors model & q factor model'. May I know why I have to work with the FBRIT and DEADUK securities list for the UK market ...
0
votes
2answers
7k views

S&P's Sovereign Ratings: Clarification on Definitions and Symbols

Similar to an earlier question, I am now looking at S&P's sovereign ratings. Here, as in the case of Moody's, a few things are unclear to me in terms of the definitions used by Standard & Poor'...
1
vote
1answer
320 views

How to cite quandl data

I downloaded some stock quotes from Quandl databases 'Wiki EOD Stock Prices' and ' YFinance'. Now I want to report the result of calculations on this data in the publication. What is the correct way ...
2
votes
3answers
379 views

Options Data Sources

I am using Option Metrics to study a couple of things related to options. However, Option Metrics is quite limited in terms of scope (mainly it's US equities). I was wondering two things: 1) Are ...
13
votes
2answers
6k views

Why use a column database for tick/bar data?

I often hear that column-oriented databases are the best choice method for storing time series data in finance applications. Especially by people selling expensive column-oriented databases. Yet, at ...
5
votes
0answers
175 views

What are some standard software stacks for financial data collection, storage and visualization?

I'm looking for the fastest way to get up-and-running collecting time-series data (mainly through scraping and through 3rd party APIs), storing it and visualizing it on a dashboard with graphs. I'd ...
75
votes
9answers
32k views

Efficiently storing real-time intraday data in an application agnostic way

What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
1
vote
3answers
2k views

float64 to store price data: is precision sufficient?

I am looking to store equity price data in a hdf5 table. The use will be purely as a historical archive, not as day-to-day data source. Options One option would be to store base10 significand and ...
0
votes
1answer
1k views

Where to source security ID data (ISIN, CUSIP)?

I am lookign for a list of ISINs or CUSIP for all equity securities traded on the NASDAQ and NYSE. while not quantitative, this question is directly related to the data collection process of many ...
7
votes
4answers
6k views

Which database to choose for storing and aggregating finance data?

I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this: Every tick (or second) data will be grouped by period (1,5,10 minutes; ...
34
votes
7answers
20k views

Usage of NoSQL storage in Finance

I am wondering if anyone has used NoSQL (mongodb, cassandra, etc.) to store and analyze data. I tried searching the web but was not able to see if the financial firms had gotten in to using nosql ...
3
votes
2answers
2k views

Free high resolution financial data

As thebonnotgang(1) stopped updating their database, I was wondering if there are some other free sources of high-frequency data available. I found a proper tick data api (ca. 25 day history) hosted ...
15
votes
5answers
7k views

Best way to store hourly/daily options data for research purposes

There are quite a few discussions here about storage, but I can't find quite what I'm looking for. I'm in need to design a database to store (mostly) option data (strikes, premiums bid / ask, etc.). ...
2
votes
1answer
118 views

Where to find Investment home bias data & Historical country weight in World MSCI

I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters. Investment home bias, e.g in 2012 US ...
6
votes
2answers
4k views

Which Database (MySql or NoSQL) for a Stock market App

I'm re-creating an app for Stockmarket Screening & Realtime charting Display. The database wireframe which i propose to design is as follows: 1. Company master - Where all the information of ...
3
votes
2answers
527 views

Places to make quant code/tools publicly avaliable

Over the years I have developed several tools - including pricing, optimization and calibration tools - most in VBA, C# and C++ I would like to make them publicly avaliable. Aside from putting up my ...
11
votes
2answers
7k views

What time series database can be used with Python and Pandas?

I'm looking for a time series database that can be easily used with Python and Pandas objects such as DataFrame, Panel... But these objects will always contains time series. Ideally I'm looking for ...
3
votes
1answer
508 views

Kenneth R. French data base on momentum and size: construction and how to use it concretely with momentum only

So, you can find all the data bases on this site. More explicitly, I would like to take the "Developed Market Factors and Returns" part. Even more explicitly, let us take the "25 Portfolios Formed on ...
1
vote
1answer
1k views

Where can I find US public company bankruptcy data

I am doing a thesis about firm survival in time of crisis (2008-2009) and I would like to know where can I find publicly available database about company bankruptcy. Since I have thousands of ...
5
votes
1answer
818 views

SEC 13F Security List has incorrect CUSIP numbers?

I'm building database of 13F sec.gov forms with 13F security lists (http://www.sec.gov/divisions/investment/13flists.htm). Along with integrity checks. I implemented CUSIP digit check algorithm to ...
2
votes
1answer
250 views

Create 10-K Filing Database

I am finance grad student, and working to create a financial statement database. My objective is to download an income statement, balance sheet, and statement of cash flows for every publicly traded ...
4
votes
3answers
659 views

Measuring historical earnings surprises, their frequency and severity

This is my first post to Quantitative Finance, so I hope my question is formatted the right way. I am starting to research the effects of earnings surprises on certain equity indices. Is there a ...
0
votes
3answers
2k views

Databases for storing and querying high frequency tick-level data?

My firm is looking for an out-of-the-box database system to store and query high-frequency tick data. What are the best options? It seems that kdb+ is the market leader in this field.
1
vote
2answers
2k views

Free database for storing intraday tick data and querying bar (candle) data on budget hardware

I'm using a cloud machine with 512 RAM to store tick data in mysql, but I'm having trouble querying candle data. My current solution is to select all data within a time interval and do the tick -> ...
2
votes
1answer
1k views

Moody's Sovereign Ratings: Clarification on Definitions and Symbols

I'm working with sovereign ratings at present. With regard to Moody's there are a few things unclear to me in their definitions. Both questions refer to the sovereign rating history in Bloomberg CSDR (...
1
vote
1answer
1k views

Components of an index in a specific date

Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades). Method I have in mind: 1) Create an empty list k. 2) Get ...
4
votes
2answers
6k views

How can you convert the CUSIP of a bond issue to the CUSIP of the company's stock/

As part of a research project I ran a query on the Mergent FISD database using the WRDS website. The output included the CUSIPs of numerous bond issues (>10000). I am using this data to run event ...
2
votes
0answers
1k views

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: ...
8
votes
2answers
2k views

Non-SQL methods for high-frequency accounting?

Does anyone know of any prior art for non-SQL data structures for high-frequency accounting, whether client, broker, or exchange-side? I'm thinking specifically of the problem of booking individual ...
10
votes
3answers
533 views

Scanning a stock database for errors/flaws

I'm currently working on some matlab code that is supposed to check a stock database for any errors (missing values, wrong values, etc.). The reason for this is that after reading this post I came to ...
19
votes
2answers
3k views

Do you have historical tick data you want to donate?

Do you have historical market/pricing ticket data that you would like to donate to the Open Source Trader project (OST)?? Please: upload your files! Once we gather some data, we'll do our best to ...
16
votes
3answers
8k views

R: How feasible is it to store — and work with — tick data in a database connected to R?

I'm looking to convert some tickdata .csv files into a database on a local disk and then use R to call the data and do my various analytics and modelling. What are some best practices / ...
4
votes
0answers
119 views

single channel for multiple feeds of news? [closed]

I subscribe to various blogs and twitter feeds which I use to parse for keywords. Many times these subscriptions do not include topics which are of the primary concern. Are there multiplex channels ...