Questions tagged [historical-data]

Questions related to obtain a long history of data.

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Where can I find statistics of options? [duplicate]

I am a beginner into the options world, I am reading Paul Wilmott's book (Paul Wilmott Introducing Quantitative Finance) and trying to plot the models he derives on charts. I am also a programmer, so ...
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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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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 ...
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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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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 ...
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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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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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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 ...
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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 ...
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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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"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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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 ...
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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 ...
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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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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 ...
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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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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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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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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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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
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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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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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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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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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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. ...
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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 ...
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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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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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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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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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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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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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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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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, ...
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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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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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Search for historical balance sheet data

I would like to run backtests on swedish companies. How I can retrieve historical balance sheet data?
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