Questions tagged [historical-data]

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27 views

Historical Data Validation [closed]

Is this method sufficient? function compare_quotes ...
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22 views

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 ...
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19 views

What are the best ways to get open/close auction volume historical data for US equities?

I'd like to do some research on the capacity of an algo that trades US equities on the open & close auctions. For this, I'd need auction volume data, but my current data providers don't seem to ...
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38 views

Big differences in Yahoo data contra Euronext, why? [duplicate]

Downloaded all historical data for Oslo Stock Exchange from Yahoo Finance (yfinance), and picked a random stock to check if the data corresponds with what I see on different newssites. If I look at ...
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2answers
122 views

Long historical time series of Treasury bond returns

I am looking for a long time series of US Treasury bond returns (or index values). The problem with standard indices is that they go back to at most the 1980s, while I would like to also see the ...
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41 views

Historical Data

Could you please help to refer few sources where can I get Credit spread data (historical time series) for various credit ratings...
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27 views

Charting Annual Volatility From Start Date In a Line Plot

I'm pretty new to python/data viz and this is my first time asking a question on here but I have a df with monthly price data back to 2016 for 6 different instruments. I just want to be able to ...
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2answers
81 views

Getting US equity data for commercial use?

If you were a hobbyist in the process of building a subscription site that people are willing to pay for, how would you get US equity data in a commercially available form? I just need EOD delayed ...
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39 views

Timeseries for the number of coins in circulation for all coins trading on Binance

Does anyone know where I can get a timeseries (daily frequency) for the last couple of years of the number of coins in circulation for each instrument that trades on Binance please? I've looked around ...
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45 views

Bitcoin data (minutes time frame)?

Where can I find a correct data of BTC/USD with a minute time frame? I've downloaded a minutes data from this site I've compared (with the original one from the exchange Binance) the last day (from ...
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1answer
92 views

Historical Options data

Are there any good sources where I can obtain daily historical options data (strike price, expiration dates, bid/ask spread, etc). I understand that this type of data is very hard to come by and ...
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38 views

Where do I find MSCI factors historical data

I need to get monthly MSCI ACWI factors data (Momentum, Value, Quality, Minimum Volatility etc.). I don't see them in End of day index data search. I found only ...
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49 views

Best stock market data streaming API that covers Foreign exchanges, Tadawul (Saudi Arabia) and Dubai Financial Market (UAE)?

I am just getting started with stock markets data streaming APIs. I would like to gain from your experiences with the different APIs out there to help choose the most suitable service provider for me, ...
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39 views

How to calculate price and volume samples of a multi-product series?

I am reading Marcos de Prado's Advances in Financial Machine Learning. In a section titled "the ETF Trick", he explains how to calculate periodic price and volume samples for a basket of ...
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1answer
86 views

YFinance incoherent daily and hourly values

I'm comparing daily and hourly values extracted from YFinance in Python. I'm expecting the open value of the first hour of the market to be equal to the daily open value of the corresponding day, and ...
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25 views

How minutely volume data is summarized from the actual transactions?

import yfinance as yf data = yf.Ticker('CFLT').history(interval='1m', start='2021-07-09', end='2021-07-10') Using the above python3 code, I can get the minutely ...
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130 views

Seeking historical market cap for S&P 500 by sector

I'd like to obtain the historical market capitalization for the S&P 500. I'm seeking monthly data back to 1945. I'd like to examine only non-financial stocks, so the sector would be needed as well....
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1answer
857 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 ...
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60 views

What should be the minimum length of historical data used for analysis?

What should be the minimal length of historical data to do "practical" portfolio analysis to achieve "sane" results? There are several questions here on what should be done when a ...
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123 views

Historical component changes of EURO STOXX 50 index

I would like to download the historical component changes of EURO STOXX 50 index to conduct an academic research. That is, I would like to know the historical changes to the composition of these ...
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3answers
284 views

Where can I find complete historical lists of companies on major US exchanges for backtesting?

I am backtesting a trading strategy on historical US stock data. I'm currently sourcing data from S&P's Capital IQ. I have no trouble getting stock price data for a specific company. I also have ...
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1answer
56 views

Historical data for 3 month and 6 month lows for NYSE or Nasdaq

I'm trying to find the historical data for 3 month or 6 month lows. Thinkorswim has it (NYLO3M) and barcharts.com has it (M3LN) but they don't match...and thinkorswim only goes back to 2012. Does ...
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2answers
82 views

Find current and historic (15 years) delistings in the US stock market

I wonder if there is any source for the following information concerning stock delistings in the US stock market: date and stock symbol of the delisting (required) covers at least 15 years history (...
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28 views

Perfect in-sample size for out-sampling volatility prediction (EGARCH(1,1)

I have a few questions regarding in-sample size for volatility forecasting in EGARCH(1,1). I'm currently sitting with a dataset consisting of 1387 trading days of the S&P-500 index. I would like ...
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1answer
108 views

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 ...
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2answers
81 views

Deciding (p,q) in garch and model test on empirical data

I'm currently working on a dataset containing data from the 29 January till the 29 July 2009. In the dataset I have prices of the S&P 500 index for all days. Furthermore, I have the implied ...
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50 views

Question about the coverage of Datastream compared to WorldScope regarding US data

Thomson Reuters Datastream is claimed as a very comprehensive data source. I did some comparisons and also conducted research myself and cast doubt on that, especially for US data. I used the paper of ...
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29 views

Adjusted close time series: Frequency of historical updates

When working with stock market data for strategy / analysis purposes, I am well aware that I have to distinguish between unadjusted and adjusted prices. I understand that historical adjusted prices ...
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38 views

Where to find Historical price data (csv preferable) for global Gov bonds and markets. All dollar denominated?

I'm doing a lengthy backtest on a certain portfolio and i've managed to get FTSE 100 data going back to 05-30-1990, where could I find data for global Government bonds going back to that date? A csv ...
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1answer
451 views

Bloomberg python API - intraday tick/bar request for options?

Is it possible to request intraday tick/bar data for a particular option (e.g. AMC 4/30 10c @ $0.91) with the python bloomberg BLPAPI? I've managed to do pull intraday tick data (with ...
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25 views

Where can I find historic company fundamental data forecasts?

There's seems to be many sources (these questions have a nice answers/summaries historic fundamentals data sources ) having company historic fundamentals such as earnings, PE etc. However, there's a ...
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3answers
172 views

Historical Ticker Symbols Data Source (for Creating Tradable Universe)

I would've guessed this question would have been answered somewhere on here before, but I have been going down rabbit holes for days trying to figure it out with no luck... I want to backtest ...
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33 views

Scale price and returns

Through Bloomberg I have downloaded some data related to the Bloomberg Euro Aggregate Bond Index, however I think I am wrong. I was convinced to have taken the historical prices of the index (in ...
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0answers
73 views

Are there any APIs to retrieve stock buybacks and dividends to calculate ERP?

I'm in the process of building a Python library to value stocks using a FCF model and one of the first steps is calculating an implied equity premium. I know there a few ways of doing this, but ...
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1answer
59 views

What are the eurozone bond indices? And where can I find them?

I am trying to calculate the performance of a portfolio of fixed-income funds domiciled and operating exclusively in Europe through a multi-factor model. To do this I need historical data of several ...
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19 views

As reported financial statements historical data [duplicate]

May I request for suggestions on data vendors for historical as reported fundamental data? For example as reported eps, as reported revenue, as reported depreciation and amortization expenses? I tried ...
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1answer
74 views

How do I get European tick size or historical intraday opening and closing prices?

I'm looking for each European stock, the tick size. Given that obtaining this information directly is difficult (I don't think that databases, even the ones for academic purposes provides this ...
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77 views

I require help to find a good data source for my thesis

I require help to find a good data source for my master thesis. I am doing a regression analysis for macroeconomic indicators and valuation multiples, for eurozone stocks. I need quarterly information ...
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1answer
47 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 ...
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2answers
250 views

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 ...
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1answer
234 views

Historical intraday dataset with penny stocks with a gap-up of 10% or above

I am trying to find intraday datasets of pennystocks. My criteria for the dataset is that it needs to only contain pennystocks where the gap-up was 10% or above. I am looking for a free option but ...
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2answers
146 views

Recreating Bid-Ask from Transactions data

A database only has transactions/trades for a given instrument. In order to recreate bid-ask of the instrument to estimate the average bid-ask spread, what process does one need to follow? what are ...
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55 views

Modeling electricity prices ($/kWh) for Simulation

I want to run a Simulation in Matlab that involves the running costs of an electronic device which consists of the power consumption of this said device. The simulation should run for the next 1-5 ...
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0answers
63 views

Historical data on valuations for internet companies during dot-com bubble

I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
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1answer
182 views

Historical Constituents S&P 500

In order to backtest a few strategies I'm searching for a (free) csv/excel file of tickers included in the s&p 500 during specified years (say, 1970). Do you happen to know where I can find ...
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0answers
38 views

Help getting 1-min historical data (suds object) from BarChart into Pandas Dataframe

I've been searching around and haven't found what seems like an easy task to get historical data from the BarChart API into a Pandas dataframe with the index set as the time stamp. Here's a few ...
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0answers
58 views

Yahoo finance forex prices

Good morning, I apologize for my poor english, I'm not an expert and I need your help... do you know how daily prices are calculated on Yahoo Finance Historical data? Let me give you an example, if ...
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0answers
75 views

Calculate VaR using method of historical simulation

A bank invests € $1.000.000$ in a hedge fund. The last 500 daily returns can be taken from a database. The worst 20 returns are -4.58 -2.95 -2.95 -2.93 -2.17 -2.08 -2.06 -1.98 -1.94 -...
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1answer
154 views

Covariance matrix for historical series w/ different start and end dates

I am trying to compute the variance-covariance matrix of my portfolio composed by some shares of different companies. I would select a time horizon of two years but for some shares of one company I ...
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1answer
331 views

What is the formula for calculating adjusted closing price after a rights issue?

I know how to calculate adjusted closing prices in case of splits, dividends, etc but I'm not able to figure out how it's done in case of a rights issue.

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