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Questions tagged [historical-data]

Questions related to obtain a long history of data.

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Options on Futures Historical tick data [duplicate]

Where can I find historical tick by tick data for E Mini S&P 500 Options on Futures by CME? I am looking for level 1 tick data with bid ask quotes.
Parva Patel's user avatar
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0 answers
23 views

Where to get 13F data in excel format?

I am trying to do a project and analyse 13F data from some most followed fund managers or individuals (e.g. Michael Burry). However, I couldn't find anywhere where I can get the data in a properly &...
Kai's user avatar
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0 answers
31 views

India 10yr Government security/bond yields

Which sites can provide historical data for India 10year government security which is monthly. Im assuming yield implies total return data (including dividends/interest) reinvested. Im a newbie so pls ...
nandonachi's user avatar
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0 answers
36 views

Is there any way to view historical data on market capitalization?

Is there any way to view historical data on market capitalization? I would like to calculate a market capitalization weighted index with only the top 10 nasdaq stocks (like nasdaq 10). I have tried ...
nokemono's user avatar
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0 answers
47 views

Index reliability/source for yahoo finance

I had a small question regarding the reliability of the data on Yahoo Finance, I know that this source is full of flaws but it has the enormous advantage of being free. I had a question regarding the ...
Wick's user avatar
  • 1
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0 answers
27 views

Black scholes, issues inferring T(time to expiry) andS (underlying price)) from wrds SPX dataset

I'm working on a project with the SPX option data from wrds. This data doesn't provide the underlying price at the time of the observation, or the time to expiry at the time of the observation. ...
steve_nash's user avatar
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0 answers
33 views

Accuracy/Quality of financial data: revised financials or historical financials?

I am currently working on calculating financial metrics, particularly Free Cash Flow to Equity (FCFE) etc., for investment analysis. In the context of financial analysis, I'm wondering which set of ...
Dominik's user avatar
0 votes
0 answers
14 views

Looking for stock splits and dividend history [duplicate]

Looking for stock splits and dividend history, every symbol for the last three years.
NELSON F LAW's user avatar
1 vote
0 answers
79 views

Where can I get historical intraday pre/post market data for indices?

I've done a lot of research and can't find any place that allows me to export this data. I know ProRealTime has it, but can't export the data. I've read some threads about people web scraping the data,...
Hercules' Creed's user avatar
2 votes
0 answers
52 views

Where to get crypto data without survivorship-bias (delisted coins accounted for)? [duplicate]

What are folks using for their crypto data needs. I am looking for a provider of Crypto data - free of survivorship bias and should at least have the top 20 coins historically. As this research paper ...
masterpiece's user avatar
0 votes
0 answers
59 views

Data separation for Time Series Models? (both Statistical and ML)

I had a big question about data slicing for Time-Series model fitting. In university, since I wasn't a stats major, so I didn't do much model fitting for data, other than my ML class, and have ZERO ...
matthewzz's user avatar
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1 answer
109 views

Average time it takes to test a strike?

My question can be confusing so it’s better I explain it with an example. Let’s say I sell a strangle. That is with call at +27 delta and put at -27 delta. With 30 days to expiration. Is it possible ...
FawaMop's user avatar
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0 answers
20 views

Historic Time Series Data for entire Tech Sector on Aikon [duplicate]

I am attempting to gather data for my dissertation on daily closing prices for all 1700ish companies within the US tech sector. Now, doing this one by one through something like datastream is going to ...
Sandy P's user avatar
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0 answers
30 views

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 ...
Jackson Thorn's user avatar
3 votes
0 answers
153 views

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 ...
Deets McGeets's user avatar
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0 answers
49 views

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 (...
Convoxity's user avatar
1 vote
0 answers
103 views

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.
augustine's user avatar
1 vote
1 answer
82 views

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 ...
Bogaso's user avatar
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0 answers
74 views

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 ...
p.luck's user avatar
  • 131
2 votes
0 answers
126 views

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 ...
QMath's user avatar
  • 249
3 votes
0 answers
89 views

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 ...
Daneel Olivaw's user avatar
1 vote
1 answer
118 views

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 ...
Cool_Coder's user avatar
1 vote
1 answer
149 views

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 ...
jackRoark's user avatar
-1 votes
1 answer
89 views

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. ...
Xaree Lee's user avatar
  • 103
1 vote
0 answers
147 views

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 ...
user1234's user avatar
2 votes
1 answer
572 views

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.
user66857's user avatar
0 votes
0 answers
32 views

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 ...
Nothingbetter's user avatar
-1 votes
1 answer
71 views

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 ...
user2845840's user avatar
0 votes
1 answer
160 views

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&...
Niki Karaolis's user avatar
1 vote
1 answer
242 views

Upcoming dividends

The yahoo finance package (yfinance) in python is very nice, and for example: msft = yf.ticker('MSFT') msft.dividends Will give ...
Igor Rivin's user avatar
0 votes
0 answers
19 views

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 ...
GPUMan's user avatar
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0 votes
0 answers
33 views

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 ...
Luke's user avatar
  • 1
0 votes
0 answers
37 views

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 ...
Oliver Mohr Bonometti's user avatar
1 vote
0 answers
279 views

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 <...
Physics Penguin's user avatar
2 votes
2 answers
329 views

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 ...
ITOM97's user avatar
  • 21
4 votes
2 answers
323 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
1 vote
2 answers
163 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 ...
Kalev Maricq's user avatar
-1 votes
1 answer
100 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 ...
user1337's user avatar
  • 153
-1 votes
1 answer
82 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 ...
Allan Xu's user avatar
  • 109
2 votes
1 answer
221 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? ...
ffff22222's user avatar
0 votes
0 answers
54 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 ...
Xlrv's user avatar
  • 101
1 vote
2 answers
263 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 ...
aether's user avatar
  • 13
3 votes
2 answers
2k 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 ...
Kagaratsch's user avatar
0 votes
0 answers
40 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, ...
user11980328's user avatar
0 votes
0 answers
145 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. ...
user61123's user avatar
0 votes
0 answers
66 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 ...
Noah Verner's user avatar
1 vote
0 answers
64 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,...
lithium123's user avatar
0 votes
0 answers
64 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?
Doreen's user avatar
  • 1
1 vote
0 answers
54 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 ...
bhalperin's user avatar
  • 113
0 votes
1 answer
259 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 ...
bhalperin's user avatar
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