Questions tagged [historical-data]

Questions related to obtain a long history of data.

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1 answer
560 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 ...
2 votes
0 answers
127 views

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 ...
0 votes
1 answer
191 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 ...
0 votes
1 answer
87 views

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 ...
0 votes
0 answers
29 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 ...
0 votes
0 answers
30 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 ...
0 votes
1 answer
112 views

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 ...
1 vote
2 answers
144 views

Yahoo finance forex prices

Good morning, I apologize for my poor english, I'm not an expert and I need your help... do you know how daily prices are calculated on Yahoo Finance Historical data? Let me give you an example, if ...
1 vote
2 answers
260 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 ...
3 votes
1 answer
107 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 ...
2 votes
2 answers
163 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 ...
0 votes
0 answers
23 views

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 ...
0 votes
2 answers
393 views

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

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 ...
1 vote
1 answer
298 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 ...
0 votes
1 answer
86 views

How do I get European tick size or historical intraday opening and closing prices?

I'm looking for each European stock, the tick size. Given that obtaining this information directly is difficult (I don't think that databases, even the ones for academic purposes provides this ...
1 vote
3 answers
909 views

Implied Volatility - Historical data

I'm wondering if there's a place where I can find free or very cheap historical implied volatility data. Specifically, I'm looking to get at least a few years' worth of daily IV data for maybe a few ...
1 vote
0 answers
43 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 <...
0 votes
1 answer
72 views

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 ...
4 votes
5 answers
858 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.
58 votes
14 answers
154k views

Where to get long time historical intraday data?

I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&...
4 votes
1 answer
491 views

Historical stock borrow fees

To properly backtest long/short strategy one must have data on what the short loan fees were/are. Is there any decent data source for that?
20 votes
5 answers
2k views

Why quants think that the risk-neutral measure should not be used for financial forecasting?

In posts regarding the $\mathbb{P}$ vs $\mathbb{Q}$ debate (see 1, 2, 3 or 4), most answers conclude that historical-based forecast are better suited than risk-neutral models for financial predictions....
0 votes
3 answers
260 views

Historical Ticker Symbols Data Source (for Creating Tradable Universe)

I would've guessed this question would have been answered somewhere on here before, but I have been going down rabbit holes for days trying to figure it out with no luck... I want to backtest ...
1 vote
1 answer
67 views

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 ...
2 votes
3 answers
229 views

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 ...
2 votes
1 answer
147 views

Historical energy market data for European power Futures and Options?

I have been trying hard to find some historical futures and options electricity data for EEX offerings. I need the data for a model I am writing, however I have not found any free resources so far. It ...
0 votes
1 answer
99 views

Sources for historical financial ratios?

I wanted to know if there are any sources for historical financial ratios for Indian equities? If yes please share. Thank you.
0 votes
1 answer
142 views

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 ...
0 votes
2 answers
114 views

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 ...
2 votes
1 answer
133 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? ...
-1 votes
1 answer
74 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 ...
1 vote
2 answers
94 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 ...
0 votes
0 answers
23 views

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 ...
4 votes
3 answers
7k views

Daily option data

I am wondering where I can pull daily (hourly, by-the-minute, etc. even better) option data for a particular underlying. I would prefer a database I could scrape through and API, but would not mind ...
0 votes
0 answers
27 views

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 ...
1 vote
2 answers
958 views

CME historical option data provider

Is there any other historical end-of-day CME option data provider rather then CME DataMine? I've searched all the internet and found only CBOE traded options.
0 votes
1 answer
217 views

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 ...
0 votes
2 answers
3k views

Where can I find best end of day option data? [duplicate]

Looking for accurate end of day option data. Preferably with Greeks. Any recommendations?
1 vote
0 answers
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 ...
4 votes
3 answers
3k views

VIX options historical data

I'm looking at these data: call and put options on VIX. I'm interested in daily quotes (all strikes and maturities) for - at least - 2009/10. Could you list link of possible sources? and possibily ...
2 votes
1 answer
845 views

SPX options data from the CBOE data shop

I would like to explore some listed options trade ideas on the SPX (and maybe later on its components too), and naturally I would need historical data to backtest those ideas. In my quest for a ...
1 vote
1 answer
542 views

Historical S&P 500 OPTION data on WRDS, no access to Option Metrics

I'm looking for historical data of S&P500 options. I have access to Wharton Research Data Services (WRDS), however, my university does not provide access to Option Metrics. Is there another way ...
0 votes
0 answers
235 views

Historical component changes of EURO STOXX 50 index

I would like to download the historical component changes of EURO STOXX 50 index to conduct an academic research. That is, I would like to know the historical changes to the composition of these ...
0 votes
1 answer
372 views

How to get Adj.Open, High and Low prices?

I am trying to get adj.Open , adj.High and adj.Low prices. Most data sources like yahoo and google finance provide only adj.close price. Is it possible to derive other adj. prices using close and adj....
1 vote
0 answers
132 views

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, ...
1 vote
2 answers
144 views

Historical data for global stocks

Where are companies like finnhub.io or finance portals getting their data from? Do they fetch the historical stock quotes from the exchanges directly? If so, the have to collect the data from a lot ...
0 votes
0 answers
112 views

I require help to find a good data source for my thesis

I require help to find a good data source for my master thesis. I am doing a regression analysis for macroeconomic indicators and valuation multiples, for eurozone stocks. I need quarterly information ...
1 vote
3 answers
166 views

Find current and historic (15 years) delistings in the US stock market

I wonder if there is any source for the following information concerning stock delistings in the US stock market: date and stock symbol of the delisting (required) covers at least 15 years history (...
0 votes
1 answer
66 views

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 ...
0 votes
0 answers
27 views

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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