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Questions tagged [database]

A structured collection of data, with meta-data describing is content and meaning. Also for database management systems (DBMS) which are software products for managing and manipulating that data.

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92 votes
10 answers
52k 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 ...
mountainclimber11's user avatar
82 votes
9 answers
39k 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 ...
Karol J. Piczak's user avatar
64 votes
20 answers
60k 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, ...
Peter Peter's user avatar
37 votes
7 answers
25k 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 ...
user697697's user avatar
32 votes
4 answers
20k 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 ...
Andy Flury's user avatar
19 votes
3 answers
9k 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 / ...
n.e.w's user avatar
  • 437
19 votes
2 answers
4k 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 ...
jordan.baucke's user avatar
16 votes
2 answers
11k 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 ...
Femto Trader's user avatar
15 votes
5 answers
10k 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.). ...
sashkello's user avatar
  • 989
13 votes
2 answers
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 ...
Darren Cook's user avatar
  • 1,427
12 votes
1 answer
2k views

What's the most efficient way to store options and time series data for backtesting?

I would like to know what database would you guys use for storing around 500GB-1TB of options and time series tick data. The idea is to use it for backtesting so it would have to be as efficient as ...
edd's user avatar
  • 223
11 votes
3 answers
14k 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 ...
Sunny's user avatar
  • 111
10 votes
3 answers
888 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 ...
user avatar
8 votes
4 answers
13k 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; ...
Kroid's user avatar
  • 181
8 votes
2 answers
3k 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 ...
8 votes
3 answers
2k 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 ...
deepiceman's user avatar
6 votes
1 answer
1k 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 ...
omikron's user avatar
  • 198
5 votes
2 answers
7k 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 ...
ikemblem's user avatar
  • 151
5 votes
0 answers
224 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 ...
Scott Stevenson's user avatar
4 votes
1 answer
2k views

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 ...
apt45's user avatar
  • 213
4 votes
3 answers
9k views

How to structure a stock market data database

I would like to download stock market data from the internet (for example by scraping…) and organize them in a database (I am using python and SQL) which updates daily or on request. (The idea is to ...
randomwalker's user avatar
4 votes
1 answer
2k 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 ...
BlueFx's user avatar
  • 117
4 votes
2 answers
322 views

Backtesting vs live trading data handling and abstraction

I'm an individual trying to build a trading system which will ideally be eventually scalable to 1-15 second resolution intraday trading strategies. I'm having some trouble understanding the difference ...
Anthony Moeller's user avatar
4 votes
3 answers
999 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 ...
Kraftwerk's user avatar
4 votes
0 answers
124 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 ...
Vass's user avatar
  • 229
3 votes
3 answers
5k 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 ...
Max's user avatar
  • 65
3 votes
2 answers
3k 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 ...
user47489's user avatar
3 votes
1 answer
893 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 ...
Pierre's user avatar
  • 299
3 votes
2 answers
663 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 ...
Probilitator's user avatar
  • 3,377
2 votes
1 answer
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 (...
altabq's user avatar
  • 237
2 votes
2 answers
148 views

Effective way to persist strategy real time orders to database? [closed]

Background: I'm building a trading system for the crypto market with Python, and currently having problems on how to effectively save my real time orders/trades to disk, so that I could monitor more ...
autoencoder's user avatar
2 votes
1 answer
1k views

Orderbook db structure

I am currently saving a sub 1 sec snapshot of an orderbook to my SQL db. However I have quite the trouble on figuring out the architecture of this DB What I'm currently doing is saving a table with ...
QuantKan's user avatar
2 votes
4 answers
6k 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 ...
Eduardo Gonzatti's user avatar
2 votes
1 answer
285 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 ...
Clay's user avatar
  • 123
2 votes
0 answers
213 views

Historical Credit Ratings for companies

I am looking forward to get my master thesis done. I have acces to Thomson Reuters Eikon. Unfortunately, they do not provide a good database with historical credit ratings - at least it is not ...
Tobias H.'s user avatar
2 votes
0 answers
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: ...
Marie. P.'s user avatar
  • 519
2 votes
1 answer
158 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 ...
michael's user avatar
  • 257
1 vote
1 answer
191 views

Where to find dissertations in risk management

I'm looking for open databases of master's dissertations/theses in risk management & quantitative finance written by risk practitioners. The goal is to find current research topics or problems in ...
SuavestArt's user avatar
1 vote
1 answer
164 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 ...
user avatar
1 vote
1 answer
485 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 ...
Alexander Borochkin's user avatar
1 vote
2 answers
12k 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'...
altabq's user avatar
  • 237
1 vote
1 answer
983 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 ...
Yassine Zaïbi's user avatar
1 vote
1 answer
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 ...
Dan's user avatar
  • 11
1 vote
1 answer
71 views

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 ...
Xavier Hou's user avatar
1 vote
1 answer
221 views

Any database with all of companies previous CEO's?

I'm doing some research on CEO's and company chairmen and I'm looking for a database that contains this data for all the public US companies. The data needs dates associated with the names as well. I'...
TysonU's user avatar
  • 63
1 vote
2 answers
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 -> ...
nurettin's user avatar
  • 111
1 vote
1 answer
2k 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 ...
dd_rlwll's user avatar
1 vote
0 answers
237 views

Are there any best practices for designing high frequency trading systems?

I spent some time trying to design some parts of the system, going over the information I found. At the top-level, the system looks like this A "real-time" module that receives market data, ...
May Flower's user avatar
1 vote
0 answers
99 views

Which Times Series Database framework for Python is best for portfolio optimization project?

I am starting to build a portfolio optimization algorithm in Python and want to structure a database to manipulate financial data. Although I have Python experience, I have never used SQL or such ...
Brasilian_student's user avatar
1 vote
0 answers
38 views

From SEC Comprehensive Data Set to Clean Balance Sheets/Income Statements

I am looking for advice on how to smartly get from unstructured financial data to a clean summary of balance sheets. I think of this not as a coding problem but of a question how to approach the task -...
Jan Felix's user avatar