Questions tagged [historical-data]
Questions related to obtain a long history of data.
354
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Searching for minute binned OHLCV Cryptocurrency data from 5 January 2018 to 7 September 2018
As the title states, searching for OHLCV data (USD) from the dates listed for these coins:
[ADA, BCH, CVC, DASH, EOS, ETC, ETH, LTC, MANA, OMG, BCN, BTC, CND, DATA, ETP, GNT, NEO, NXT, QASH]
I'm a ...
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Is Bloomberg's global equity data sufficiently high quality that it can be used for backtests?
I have used other data sources like CIQ, CRSP / Compustat, and Refinitiv. While each has issues, the data were sufficiently high quality that reasonably reliable backtests could be run. I may need to ...
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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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49
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CME historical data of futures prices
Does CME provide any mechanism to freely download historical futures quotes for different futures traded there e.g. Henry hub NG?
I am looking for EoD data.
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Dummy time series to be considered
When estimating various risk measure like VaR a good amount of times series data is required. Somethings it happens that sufficient data may not available of ...
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47
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Backtesting: choosing the "sample split" between in-sample and out-of-sample data
Aims:
Given approximately 11 years of historical time-series data, to determine how much of this data should be reserved for in-sample and ...
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111
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Is there daily SPX level data going back to 1927?
While attempting to model the SPX index over time, I found a source here that purportedly has historical daily SPX data going back to 1789 which very likely seems to be backcasted since the ~500 stock ...
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Repo/SL rates historical data
Is there any data source for historical repo and/or securities lending (SL) rates on different asset classes, or indices which seek to measure such costs?
I am not looking for granular data at ...
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API for stock price data for commercial re-distribution? [duplicate]
(I know there are existing questions on this topic, but none seem to be for commercial re-distribution use, so please keep this question active.)
It seems there are many websites offering API for ...
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Backtesting on one exchange, while trading on another?
I've been trading crypto futures on Phemex as it is one of the only few exchanges where I can do that from a U.S. IP address. I have always kept an up-to-date local database with OHLC/kline data from ...
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Using different historical data from different brokers during backtesting
Since different brokers and data providers might apply their own additional offsets to the spreads of the same instruments, what are some concerns that might rise if we merge their data to create a ...
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Why some stocks not traded today? [closed]
I try to download market daily data after US markets close.
I found that the stocks in the following list have no data today.
...
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Shortcut for cutting portfolio volatility
When calculating the portfolio's historical volatility, do I need to factor the volatility of each asset individually and then do a covariance calculation or can I get away by measuring the volatility ...
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397
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Intraday Historical Data: CME S&P 500 E-Mini Futures [duplicate]
Where can you find ESZ22 (CME S&P 500 E-Mini Futures) prices going back multiple years? Ideally, I'm looking for bars every hour or more.
The same for CBOE VIX Futures.
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Free historical data for options [duplicate]
is there a way to get options historical data for free or for a cheap price, let's say 2 years at least for both EOD data and hourly ones for just one underlying instrument such as sp500? Or ...
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Public dataset of stock open and closes that includes market cap [duplicate]
I want to do some analysis on a CSV dataset of historical stock movements. I found many, like this one.They include the opening and closing price for each stock for each day, which is great, but I ...
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Does FINRA have an FTP dump of historical short interest? [duplicate]
I am interested in downloading historical short interest data from Finra for analysis but I cannot find where they keep dump files. They have the data for OTC companies but not for all of the ...
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Does a 10-K/10-Q report contain an estimate of share market price? [closed]
I am trying to find a way to validate available stock market data (because I found so much disagreement between different sources) and went through a 10-K report, hoping to find any mentioning of the ...
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Where to find historical data on corporate credit ratings
I am looking for a parsed dataset with historical data for company credit ratings. I know NRSROs need to make their historical data public. I found Moody's (https://ratings.moodys.com/sec-17g-7b), S&...
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Access expired options data [duplicate]
I would like to access expired options data, for example, I would like to know the evolution of the call price for a certain option, during the month before the expiry date, which would for example be ...
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Upcoming dividends
The yahoo finance package (yfinance) in python is very nice, and for example:
msft = yf.ticker('MSFT')
msft.dividends
Will give ...
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Free data source for options IV and volatility data (US, UK, EUR Equities preferable)? [duplicate]
Where can I get free options implied volatility and realized volatility data?
I used to use Quandl, but they were acquired by NASDAQ and now offer this data under a premium paywall.
For reference, I ...
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Equities: API or Python Historical Fundamental Data Source [duplicate]
All of my API sources have gone down/gone premium/don't provide sufficient data.
Does anyone know any sources (paid or free) where I can extract extensive income statements, balance sheets, etc. for ...
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How do I estimate volatility for MPR historical data
How can I estimate volatility with historical data for Monetary Policy Rate (MPR) to use in a short rate model?
I could use regular techniques like simple standard deviation or max likelihood, but the ...
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Getting list of all tickers ever in NYSE and NASDAQ
Is it possible to obtain a list of all of the stock tickers that have ever been used in both NYSE and NASDAQ? I have tried searching the web and might have a potential solution with Mathematica's <...
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Historical data for quantitative research and trading?
I am interested in global equity 1min/5min/15min/1hour trade-bar data to research micro-market anomalies and trade on them. For that, I need a good historical data vendor, as well as a data vendor ...
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242
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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 ...
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137
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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 ...
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98
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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 ...
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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 ...
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180
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"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?
...
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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 ...
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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 ...
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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 ...
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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, ...
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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. ...
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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 ...
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Data for Japanese options
I'm working on an academic project that requires data for options tracking ~300 large Japanese stocks between 2010$-$2020.
The standard data source I've seen quoted in academic papers is OptionMetrics,...
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Italy Zero Coupon Yields
I am looking for historical data for Treasury bills and bond yields for Italy on a monthly or daily basis. Where can I get this data?
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Data on historical, cross-country REAL yield curves (i.e. inflation-linked bonds)
I asked here about data on a data source for historical yield curves for many countries. Many central banks (linked there, in Helin's answer) publish estimates for their nominal yield curves.
But most ...
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Data on historical, cross-country nominal yield curves
Various central banks publish their fitted nominal yield curve estimates: the Fed, BOE, SNB, BOC, ECB (cf: Bundesbank), RBA, Russia, RBI.
(I couldn't find for BOJ; Brazil; BOK; or PBOC. Links for ...
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202
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Sampling dollar bars for a machine learning model
I'm trying to understand the rationale behind using information drive bars over traditional time bars and specifically when it comes to practically feeding those in to a machine learning model to run ...
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3
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633
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Backtesting Option Strategies with IV Data Only
I’ve tried to find a good answer for this but had no luck so I’m bringing it here: potentially beginner question, but how much accuracy would I be sacrificing by backtesting an options strategy with ...
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how to adjust very old stock price correctly
lets say that i have a file stating a stock and the price which someone paid for it and the date.
for example: apple (AAPL) 422$ 15/11/2011.
now apple have gone through many splits and possibly public ...
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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 ...
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287
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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, ...
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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 ...
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448
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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 ...
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2
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667
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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[...
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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 ...
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