Questions tagged [historical-data]
Questions related to obtain a long history of data.
346
questions
0
votes
0
answers
14
views
Where to obtain after-hours price data?
I'm trying to obtain after hours price data for a particular stock (ticker: RIOT). I cannot find a single source online that allows me to download after hours price data - the only thing I see are ...
- 195
2
votes
1
answer
61
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 ...
- 123
0
votes
0
answers
16
views
Where can I get historical data for outstanding stocks or marketcap?
I want to track the historical market capitalisation for a small portfolio on a daily basis back to the 1980s. Finding prices is pretty easy, but getting Informations about outstanding shares or ...
- 1
1
vote
2
answers
78
views
Estimating historical volatility from inconsistent time intervals
Given historical asset prices at consistent time intervals, one can estimate annual volatility as:
SampleStDev(log(Si/Si-1)) / sqrt(interval)
What's the correct way to do this when the time intervals ...
- 518
-1
votes
1
answer
81
views
Why are there missing prices for 1981-04-17?
I was going over historical prices in Yahoo Finance, when I noticed that AAPL and IBM have no prices for 1981-04-17. I have a couple of questions regarding this:
Why are the prices missing?
In the ...
- 143
0
votes
0
answers
32
views
Robust approach to capture price movement of a stock universe
Let's say we have a universe of 100 stocks, S1, S2, ... S100, and their historical price data (daily, for the past 50 days).
What would be the most robust/widely used method to capture the price ...
- 155
0
votes
0
answers
11
views
Source for Formulaic Screening of U.S. Corporate Issuers
I'm looking for a web app or API source that allows creating screens of U.S. listed companies based on formulas.
For example, say, I want to screen for net debt-to-EBITDA. Since earnings before ...
- 101
-1
votes
1
answer
69
views
Can NumPy calculate the % change the way it is shown in multiple instrument charts?
I have closing prices for multiple equities in NumPy arrays (or a pandas timeseries DataFrame).
I like to calculate the % change numbers for the closing prices in the DataFrame the way it is shown in ...
- 111
2
votes
1
answer
122
views
"Backtesting" from trading signals and historical prices not functioning properly
How does one go about properly backtesting and visualising their strategy using their trading signals and historical prices where the trading signals are 1 for long, 0 for no position -1 for short?
...
- 21
0
votes
0
answers
37
views
Historical end of day price data for non US stocks
I'm looking for historical end of day price data for non US-stocks. Preferably as bulk download for analysis, but an API would do also. Specific markets of interest:
China
Japan
Major European ...
- 101
1
vote
2
answers
222
views
What was the lowest traded price of Paladin Energy on 2020.03.23? Every source disagrees, then it gets even weirder
I am looking at the stock PDN (Paladin Energy) on ASX (Australia Stock Exchange), and I am trying to determine the lowest price traded on the date 2020.03.23 (YYYY.MM.DD). Should not be such a ...
- 13
0
votes
2
answers
110
views
Where to get 1 second bar intraday historical market data?
Most data providers I find online offer historical market data in time resolutions of 1 minute bars or longer (which is too long), or tick resolution (which is too short). Of course one could get tick ...
- 173
0
votes
0
answers
36
views
free download of 1- or 5-minute stock quote data [duplicate]
I know Yahoo has stock quote data (OHLCV). But it contains errors.
tdameritrade API have 1- and 5-minute data. But it only starts at 7AM ET, instead of 4AM ET. It is only limited to 182 trading days, ...
- 51
0
votes
0
answers
35
views
missing 10k from edgar?
Looking into EDGAR. For the below cik=51143 (IBM), any idea where they put the 10-K/annual report for reporting date 1995-12-31??
For ref:
human-readable (select 10K, remove date, sort by filing date ...
- 1
0
votes
0
answers
62
views
How to know if I have enough OHLC price data to backtest a trading strategy (short term desired)?
Here's my situation, I have a big dataframe that contains 248 days of OHLC price data set at 1 hour timeframe (i.e. 24 rowsperday * 248 days = 5952 rows). The ...
- 23
0
votes
0
answers
55
views
Optimal Entry, Exit, And Stop Loss From Historical Stock Data
I'm trying to build a system that recommends stock trades. My goal is calculate optimal values for the following:
Entry Parameter: expressed as a percentage change downwards from the opening price. ...
0
votes
0
answers
53
views
Should I always round the data before even trying defining and backtesting my trading strategy?
Newbie here, it happens that I have 8 months of OHLC price data set at 1 hour timeframe from a particular cryptocurrency (ticket) called ALICE, here's a little ...
- 23
0
votes
0
answers
42
views
Bloomberg / Norgate Historical S&P 500 Constituents/Universe
I am trying to get the daily S&P 500 constituents/universe from Bloomberg as I have been having trouble matching ticker names between Norgate and Bloomberg, meaning I need to use Bloomberg for all ...
- 13
1
vote
0
answers
47
views
Data for Japanese options
I'm working on an academic project that requires data for options tracking ~300 large Japanese stocks between 2010$-$2020.
The standard data source I've seen quoted in academic papers is OptionMetrics,...
- 181
0
votes
0
answers
62
views
Italy Zero Coupon Yields
I am looking for historical data for Treasury bills and bond yields for Italy on a monthly or daily basis. Where can I get this data?
- 1
1
vote
0
answers
39
views
Data on historical, cross-country REAL yield curves (i.e. inflation-linked bonds)
I asked here about data on a data source for historical yield curves for many countries. Many central banks (linked there, in Helin's answer) publish estimates for their nominal yield curves.
But most ...
- 113
0
votes
1
answer
95
views
Data on historical, cross-country nominal yield curves
Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI.
(I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for ...
- 113
0
votes
0
answers
50
views
Sampling dollar bars for a machine learning model
I'm trying to understand the rationale behind using information drive bars over traditional time bars and specifically when it comes to practically feeding those in to a machine learning model to run ...
- 153
2
votes
3
answers
168
views
Backtesting Option Strategies with IV Data Only
I’ve tried to find a good answer for this but had no luck so I’m bringing it here: potentially beginner question, but how much accuracy would I be sacrificing by backtesting an options strategy with ...
- 21
0
votes
0
answers
55
views
how to adjust very old stock price correctly
lets say that i have a file stating a stock and the price which someone paid for it and the date.
for example: apple (AAPL) 422$ 15/11/2011.
now apple have gone through many splits and possibly public ...
- 1
1
vote
0
answers
36
views
Are the monthly risk free returns on the French data libary website annualized?
when using the monthly Fama/French 3 Factors .csv file on the French data libary web site, it is possible to see that the left column includes the monthly excess return of the market (Mkt-RF) and the ...
0
votes
1
answer
171
views
Memory effect of log returns of S&P 500
I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1-minute frequency) of S&P500 from 1984 to 1996. In particular, ...
- 93
0
votes
1
answer
101
views
What kinds of data should be curated for day trading?
From previous research about data curation with research papers, it seems to me that most algorithmic trading systems (at least in regards to day trading) solely use historical price data- but I'd be ...
0
votes
0
answers
29
views
Where to find historical S&P500 earnings estimates?
Looking for historical S&P500 earnings estimates going back to -06 or -96
All I can find is converted to actual earnings data!
Thanks in advance
- 307
0
votes
0
answers
84
views
S&P 500 historic high frequency data
I am trying to reproduce the analysis discussed in https://arxiv.org/pdf/cond-mat/9905305.pdf where they use high-frequency data (1minute thick) of S&P500 from 1984 to 1996.
In particular, I want ...
- 93
1
vote
2
answers
154
views
On moving Linear Correlation (rolling correlation)
Let's say I have two random variables $X$ and $Y$ which each represents the daily returns of two given stocks. I can easy calculate their (total) correlation by finding their covariance matrix $\Sigma[...
- 96
0
votes
1
answer
69
views
Where to get datasets on stock market events/regimes and dates of them?
I am looking for a dataset that gets all events and regimes in the stock market (i.e. an event like 9/11 and a regime like Bush's presidency) and the start and end date of each item's effect on the ...
- 111
0
votes
1
answer
48
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 ...
0
votes
0
answers
24
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 ...
- 101
0
votes
0
answers
27
views
Where to find retail trading volume data?
I have plans to work on a paper to study a possible correlation between fluctuations (volatility) in the European and American markets with retail trading activity, either dollar and/or ticket volume.
...
- 11
0
votes
1
answer
52
views
Historical Fundamentals Data for Sectors
I am interested in a one-time download of GICS sector (e.g. XL- etfs) historical fundamentals data (in particular, point-in-time price/book ratios). Does anyone know where this can be found? I am ...
- 280
0
votes
0
answers
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 ...
- 109
0
votes
2
answers
138
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 ...
- 1,262
0
votes
0
answers
46
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...
- 593
0
votes
0
answers
31
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 ...
0
votes
2
answers
102
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 ...
- 1
0
votes
0
answers
43
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 ...
- 183
0
votes
0
answers
55
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 ...
- 103
1
vote
0
answers
89
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, ...
- 11
0
votes
1
answer
167
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 ...
0
votes
0
answers
41
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 ...
- 101
0
votes
0
answers
129
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, ...
0
votes
0
answers
41
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 ...
- 55
0
votes
1
answer
217
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 ...
0
votes
0
answers
32
views
Finding historical data
I need T-bill rates in order to use it as risk-free asset from Jan,2003 t0 today.(monthly data) I don't know how to find it. Can you please suggest your idea about how to find it?
- 109