Questions tagged [historical-data]

Questions related to obtain a long history of data.

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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 ...
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2 votes
3 answers
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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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Are there any APIs to retrieve stock buybacks and dividends to calculate ERP?

I'm in the process of building a Python library to value stocks using a FCF model and one of the first steps is calculating an implied equity premium. I know there a few ways of doing this, but ...
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Did AlphaVantage drop the swedish stock exchange?

I have used AlphaVantage in the past to get data for the Stockholm Stock Exchange: I don't remember exactly the symbol I used, but it was something along the line of OMX:ABB or STO:ABB (for, say, ABB)....
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How does this return decomposition work?

http://image-src.bcg.com/Images/BCG-Value-Creators-2017-Appendix-July-2017_tcm9-166061.pdf The paper here decomposes total shareholder return into different components. Here is my derivation of the ...
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FTSE 350 sector index historical data

Does anyone know where I can find (at least 10 years worth of) end of day historical (op, hi, lo, cl) data for the FTSE 350 Sector Indices?. I need the data for ...
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Is there any research available on profile of the market participants in different markets?

I know markets are by large anonymous, is there any current research or data sources publicly available across different exchanges and/or investment instruments on the profiles of their investors? I ...
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Given (past) stock values for N assets, how to find the maximum - theoretical - profit?

In the past few days I have been thinking about a question which seems trivial, yet I can't think of any efficient way to find the optimal solution... Here is the problem: imagine you have a ...
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Downloading high-frequency data: S&P 500

can I ask you where am I doing something wrong when downloading high-frequency (5-min) S&P 500 data ("USA500.IDX") from https://www.dukascopy.com/swiss/english/marketwatch/historical/ and when ...
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How to Handle Error in SEC Filings

Sometimes I see obvious errors in the 10-K or 10-Q filings that appear to go uncorrected in subsequent filings for the same period. For example, on June 9, 2014 Apple, Inc. did a 7-to-1 stock split. ...
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How to make a historical index of a group of materials in which the set of materials changes every month?

The question may sound simple however for the moment it is a brainteaser to get it right, let me explain: the exercise is to be done on +/- 200 groups of materials (matgroups) one matgroup can ...
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1 answer
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Where to find Investment home bias data & Historical country weight in World MSCI

I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters. Investment home bias, e.g in 2012 US ...
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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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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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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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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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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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Seeking historical market cap for S&P 500 by sector

I'd like to obtain the historical market capitalization for the S&P 500. I'm seeking monthly data back to 1945. I'd like to examine only non-financial stocks, so the sector would be needed as well....
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What should be the minimum length of historical data used for analysis?

What should be the minimal length of historical data to do "practical" portfolio analysis to achieve "sane" results? There are several questions here on what should be done when a ...
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1 answer
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Historical data for 3 month and 6 month lows for NYSE or Nasdaq

I'm trying to find the historical data for 3 month or 6 month lows. Thinkorswim has it (NYLO3M) and barcharts.com has it (M3LN) but they don't match...and thinkorswim only goes back to 2012. Does ...
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1 vote
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Historical data on valuations for internet companies during dot-com bubble

I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
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How to merge Trade ticks with Bid_Ask ticks from IB API reqHistoricalTicks, like the Time&Sales window?

reqHistoricalTicks returns data with 1 second precision, so only looking at timestamp is not enough to merge them. But it seems that the Time&Sales window in ...
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How to download stock time series for multiple companies in Eikon?

I want to download several historical stock price histories from Eikon at once. This is the stock data of several hundred companies. Therefore, it is far too time-consuming for me to download them all ...
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  • 111
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1 answer
280 views

How to download full daily historical data of MSCI AC Asia Index

I'm trying to download the daily historical data of the MSCI AC Asia Index. I've been testing different combinations of the following url: https://www.msci.com/eqb/esg/performance/110.0.all.html using ...
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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 ...
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113 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 ...
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1 vote
0 answers
63 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 ...
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1 vote
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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 ...
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Missing sequence numbers in TAQ Quote data

I am looking at NYSE sample TAQ Quote data for Apple stock (link at the bottom of the post) and I have noticed large discontinuities in the data intervals. For example, these two are two succesive ...
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1 vote
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41 views

Feedback on Video Metadata Extraction

I've developed/patented a metadata extraction methodology, which we've used to build a variety of alternative datasets for funds. One of the more difficult issues in this field, is getting useful ...
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1 vote
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124 views

Where can I find bonds time series?

I want to study dependence and correlation between bonds and CDS. I have already found a large CDS database of time series there: www.datagrapple.com I am looking for such a similar database (with an ...
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Real Time/Historical weather data

I am looking to incorporate weather data into my algorithmic models. What is a good source to find historical + real time weather data by zipcode or region? Any help will be appreciated! Preferably an ...
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1 vote
0 answers
48 views

Historical UK Gilt 2-year and 5-year data

Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
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where to find historical option prices?

I have a dataset of options (traded in European exchanges such as NYSE Euronext) and I would like to find their price history. Where to find it? I see that ...
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1 vote
1 answer
317 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 ...
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1 vote
1 answer
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Where to Find Historical Earning Event (Quarterly Figures Dissemination) Dates?

I am looking for a data source / database that holds historical (10 years, better 20 years) dates of US and European stocks: I need the historical date when the quarterly (or annual) fundamental data ...
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  • 111
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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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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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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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0 votes
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12 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 ...
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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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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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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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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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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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0 votes
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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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