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Questions tagged [historical-data]

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1answer
31 views

Is there an API that can return the current market cap of a publicly-traded company?

I am trying to find an API which will return the current market cap of US stocks for a financial data visualization project, and I haven't had much luck finding anything. Preferably, I'd like to have ...
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2answers
40 views

Where to get historical price and fundamental data for global equities?

I'm looking for reliable research data on global equity fundamentals, but I'm not sure which vendor provides these (and preferably only these) features: Programmatic access of data. Coverage of ...
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0answers
21 views

API that could be used for Dividend Growth years calculation?

I am trying to find API that gives historical info about dividend payouts from the very beginning of the companies or more or less so. I tried AlphaVantage, but it gives info only until 1999. For AT&...
3
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1answer
44 views

Aggregating quotes data for different time frames

I need to aggregate data for a higher time frame. I have data for 1 min time frame as follows ...
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0answers
16 views

How can I download quarterly fundamentals of listed companies for the last 10 years+ using Python without charge? [duplicate]

There is a package in Python called yfinance which allows me to download the fundamentals of listed companies from yahoo for the last 5 years (Annual). However I would like to have data over a longer ...
1
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1answer
67 views

Interest Rate Swap curve: CMS vs. OIS?

I'm working on a project where we're trying to create a database model where we can (daily) update collected data in order to make RPA predictions. We received data from Interest Rate Curves called ...
2
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1answer
85 views

time series data modeling for deep learning

what is the best format to feed the input data, which are time series with varying density over time, to a deep learning network, while at any iteration we want to feed a batch of data including a ...
1
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1answer
44 views

S&P 500 dividend data [closed]

I could not find S&P 500 dividend data on S&P 500 official site. Does anybody know where to find it?
1
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0answers
36 views

Permanent stock referencer

I am building a data set of stock market data and was wondering how (what algorithm) to use (internally) to assign a key to each stock so that they key will remain the same always (tickers change and ...
5
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2answers
171 views

Missing data in historical simulation VaR

A historical simulation approach to VaR estimation relies on the availability of historical data. What do we do when there is no data (say, spot price and implied volatility surface) as, for example, ...
3
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0answers
54 views

Identifying the same company behind stocks traded in different exchanges (e.g. CUSIP and WKN in 1990ies)

I would like to merge two data sources with companies headquartered in Germany between 1980-2000, but listed in Germany and the US. One source identifies "German companies" by their CUSIP, the other ...
1
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1answer
42 views

Anywhere to find historical float shares (or restricted shares) of US stocks?

I'm trying to collect the historical stock float data, but can't find it nowhere. We can easily find historical quarterly shares outstanding data in sec edgar, and we know that floating stock = ...
0
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1answer
207 views

Where to get MSCI World Index constituents (+ weights)

Where can I download The MSCI World index constituents and their weights (daily update) The current prices of the constituents plus three years of EOD (or weekly) history Corporate actions of the ...
1
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1answer
31 views

Why files in this SEC filing is not downloadable?

Quarterly report for MC Donalds has list of documents but there's no way to download it. It has only one text file available for the download. How the other documents could be downloaded, like the "...
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0answers
32 views

Tickers of companies included in Euro Stoxx 600

I'm trying to analyze the historical data of the individual companies that are part of the Euro Stoxx 600 index. For that, I am using a Python code that needs the tickers of the companies. Due to my ...
0
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0answers
42 views

Day OPEN = prior day CLOSE in S&P 500 index historical data

There is a phenomenon in the historical data of the S&P 500 index, of extended periods with repeated occurrences of 'today's open = yesterday's close'. It could have made sense had it been the ...
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0answers
16 views

Where can I find historical compos for STOXX?

It's easy to find current members for STOXX, but night impossible to find the historical adds and deletes. Are there any sources for this data? Scarping/manual works is ok.
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0answers
30 views

Why does Yahoo finance give wrong data? [duplicate]

I'm using yahoo finance to download data for a ticker called ISF.L (it's a London based etf tracking the ftse 100). Url : https://uk.finance.yahoo.com/quote/ISF.L/history?period1=1403823600&...
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0answers
42 views

Extended Hours Percent Change

I have created a personal screener application. I would like to add extended hours percent change to my screen. I have been searching all over for premarket and after hours data to help with this. I ...
0
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2answers
142 views

Best practice approach for computing beta

I was wondering how one should choose parameters such as "frequency" of returns (daily, monthly etc.), "time frame" (1 or 3 or 5 years of historical data etc), benchmark (same of the portfolio or the ...
0
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1answer
121 views

Historical Simulation of Bond, Stock and Option Portfolio

If I have a portfolio consisting of 1-one stock of unit price equal to S, 2-one 9% coupon American bond with 20 years to maturity and a par value of $1000, 3-and one European call option on the ...
0
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1answer
55 views

Getting Dow Jones 30 components data

I'm trying to get the Dow Jones Industrial Average 30 Components data (open, high, low, close prices) from 2008-01-01 to 2018-12-31. I tried at first Quandl, but it seems that the data was no longer ...
2
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1answer
59 views

Options on EuroStoxx Dividend Futures Data

Does anyone know where I could buy, scrape, or barter this data? Just need closing prices for each available strike going back as far as possible.
1
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0answers
26 views

Error in Yahoo! adjusted prices - The case of AAPL [duplicate]

One of my students reported that return for AAPL between April 30, 2014 and June 30, 2014 was different than what was shown in my class notes which were prepared in early 2016. I investigated the ...
0
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1answer
62 views

DATA for Backtest [duplicate]

I am a retail trader and i am looking for a data set that comprehends all us equities, ETF's, ADR's and indices going back at least to January 1st 2007. Data would need to be split + dividend ...
1
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0answers
21 views

Indian Securities Sector and Industry performance history data [closed]

I am looking for data of Indian Industries and Sector's performance historical data for each and every date for over the last 10 years period of time. If it is not available, Could I get every month-...
-1
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1answer
654 views

How to get historical daily index values from Bloomberg Terminal?

I found a lot of questions asking about index returns and index constituents, however, i'm looking for just daily closing values for certain Total Return indices. (FTSE/MSCI/BBBarclays) - these are ...
0
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0answers
38 views

High-frequency history of oil prices [duplicate]

It's fairly easy to find daily historical oil prices, but I need the history in more detail, at least hourly. I have access to Datastream, but can't find it there. Is this time series in Datastream? ...
1
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0answers
38 views

Historical options data for FX/FI

I know that my question is quite large and that quite a lot of questions already deal with the options data. However most of questions deal with options on American equity markets. Could you ...
1
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0answers
35 views

Stock spilt not reflected in historical data

According to this article, Apple's stock split 7:1 on June 9, 2014. The stock supposedly closed at around \$645 on June 6 and was supposed to open at around \$92 on June 9. I confirmed that a split ...
0
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0answers
48 views

Historical intraday data [duplicate]

I have been researching on the current APIs that I can request for the most detailed historical end of day intraday quote and trade data available in an easy to use format for research, backtesting ...
3
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3answers
98 views

Where can I get historical data for crypto currencies with one minute interval?

Where can I get historical data for crypto currencies with one minute time intervals? I tried to use CCXT, but the exchanges I tried have minimum 5 minute interval or some other limits.
0
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1answer
96 views

Keep Saved IB Historical Data Accurately Adjusted

How have you dealt with adjusting saved historical data, specifically using the IB API? As far as I can tell, currently, I need to perform the calculations described on Quandl's blog. I haven't ...
1
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1answer
168 views

Should there be a relation between stocks when used as input data for integrating Technical Analysis with Machine Learning?

I'm integrating Technical Analysis with Deep Learning for the first phase of my research. I wanted to know how should I pick (or group) stocks as input data and whether there should be relation ...
1
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0answers
28 views

Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
3
votes
2answers
157 views

Does historical backtest data mean anything? [closed]

Sorry for this being a basic question. If I take a stock’s historical data and check for some rule I have found to buy/sell = what happened if I bought and sold this stock according to this rule in ...
0
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1answer
141 views

Dealing with weekends/gaps in financial data

My script takes some data from IEX and then outputs a pandas dataframe: ...
3
votes
1answer
780 views

What are the known flaws and limitations of OptionMetrics data?

Several researchers are skeptical about the database quality, but their argumentation is somewhat unclear to me. For instance, Constantinides, Jackwerth and Perrakis (2008) (link): [...] we were ...
0
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1answer
619 views

How to deal with missing value in a time series stock market data?

I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia). After collection, I have arranged data in a single sheet with ...
0
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1answer
165 views

VaR for Options portfolio

I'm asked to estimate VaR for Options portfolio. Firstly, I wanna try to estimate VaR for AAPL stock european call option using Historical Simulation but I can't find any Historical Data. I tried ...
1
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5answers
970 views

10 years intraday for a single stock

For a personal experiment I need to acquire 10 years worth of data (with time resolution hourly at least) for a single stock. It doesn't really matter which stock, and the data doesn't need to be very ...
2
votes
1answer
7k views

Did Google Finance API Go Away or Just Change Signature? [closed]

I have been using Google finance for many months to pull intraday and daily data. Today I tried to use it and got redirected. For example, the following URIs returned text data that could be parsed: ...
1
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1answer
122 views

Historical stock data with official open/close

Is there a source of historical US stock end-of-day data that contains the official open/close prices from listing exchange (that is, the prices that usually come from the opening/closing auctions)? ...
1
vote
1answer
69 views

Where can I download 10 year Treasury prices in OHLC format?

I'm looking for treasury prices (not yield) in OHLC format. On websites like this you can see it has intraday data, so we could drive an OHLC from it? But I can't find a website that lets me download ...
1
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0answers
35 views

List of long-Term Support & Resistance in forex or stocks [duplicate]

I'm looking for a study of historic long-Term Support & Resistance in forex or stocks. If possible with their level of strength (strong, medium...). Example ...
2
votes
1answer
240 views

Intraday option price data European stocks and indices

I am looking for intraday option price data for stocks and indices listed on European markets (SX5E, SMI, DAX, etc). Ideally, I would like to get files as clean as those provided by ivolatility for US ...
3
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2answers
269 views

Does using adjusted closing prices constitute a lookahead bias?

One of my machine learning project involves the use of adjusted close prices (from Yahoo Finance, for better or worse) to determine the label – if a stock's adjusted close price increases by more than ...
0
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1answer
53 views

Analyst Action Data

I want to build models based on analyst action data that include historical price target changes from analysts. Yahoo finance only shows the rating change but no price target change for every action. ...
0
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1answer
685 views

Google Finance API for historical price data analysis?

I've been trying to build a trading algorithm and fooled myself into thinking it worked. Turns out, Google Finance quite often returns the wrong data. Not "sorry, we couldn't return data for this ...
0
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3answers
151 views

Why are there stock price inconsistencies between Yahoo Finance, Google, and other data providers?

For example, look up the London Stock Exchange stock CloudBuy PLC (CBUY) - The closing price on 7th June 2017 is different among data providers - 1) Google search the ticker and evaluate the price ...