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Questions tagged [historical-data]

Questions related to obtain a long history of data.

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59 votes
14 answers
170k 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&...
user190080's user avatar
93 votes
10 answers
52k views

Building Financial Data Time Series Database from scratch

My company is starting a new initiative aimed at building a financial database from scratch. We would be using it in these ways: Time series analysis of: a company's financial data (ex: IBM's total ...
mountainclimber11's user avatar
0 votes
1 answer
260 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
  • 113
12 votes
1 answer
2k views

What's the most efficient way to store options and time series data for backtesting?

I would like to know what database would you guys use for storing around 500GB-1TB of options and time series tick data. The idea is to use it for backtesting so it would have to be as efficient as ...
edd's user avatar
  • 223
8 votes
3 answers
4k views

How is historical data for forex collected or computed?

I'm looking at four sources of forex data, as compiled in the question, What data sources are available online? And I think I must be misunderstanding something, perhaps something fundamental, but I'm ...
Andrew Cheong's user avatar
8 votes
1 answer
34k views

Where do I get historic performance data of the MSCI World Growth/Value index

I'm looking for a free data source of historical performance data of the MSCI world Value- and Growth index. The data should be calculated with reinvested dividends.
eztam's user avatar
  • 203
8 votes
2 answers
5k views

Data exported from Capital IQ, FactSet, Bloomberg, Compustat

I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features: Unlimited data export Coverage of disbanded entities (bankruptcies, M&A) Financial ...
Anton Tarasenko's user avatar
7 votes
1 answer
2k views

Backtesting on historical option data

I have downloaded some daily historical option data for a timespan of 10 years and want to perform trading backtests with them. Data are European index options, on ODAX. My question is about realistic ...
user3276418's user avatar
5 votes
2 answers
976 views

How to make a trading universe of liquid futures contracts

I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
Matterhorn's user avatar
5 votes
1 answer
10k views

Where can I find API access to historical options data? Paid or free?

I'm looking for a company or website that provides API access to historical options data. I would prefer a provider that has a python module to access the API. Any leads would be appreciated.
nk abram's user avatar
  • 153
4 votes
4 answers
8k views

Calculate bond returns from yields

I have to construct and evaluate portfolio of bonds and stocks, namely I need to get return on portfolio, standard deviation and sharpe ratios. I have weekly data that contains stock prices, and I ...
forstenn's user avatar
4 votes
2 answers
2k views

corporate action data

Can someone recommend a good source for corporate action data? I need at the very least: ticker changes, dividends, splits, acquisitions and delistings. I historically used Bloomberg Back Office and ...
Michael WS's user avatar
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 ...
connor's user avatar
  • 43
3 votes
1 answer
11k views

Historical Value At Risk on option portfolio

I am new to Value at Risk subject in fact everything related to quant. Can any body validate the Value at Risk Model on the option price ? I am using a below explained approach . our portfolio ...
user1131338's user avatar
2 votes
1 answer
334 views

Accurate closing and opening prices

Where can I find the most accurate closing and opening prices for the S&P500 and other major indices? I have been reading in a book called Machine Learning (author Ernest Chan) that many places ...
William Ross's user avatar
2 votes
1 answer
2k views

Why were Fama/French Momentum Factors discontinued in 2016?

Is there a reason or some reference somewhere why the Fama/French Momentum Factors (WML) were discontinued at June 30, 2016, see e.g. here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/...
vonjd's user avatar
  • 27.5k
2 votes
1 answer
226 views

Is it always better to use the entire distribution of a financial returns series, not just $\mu$ and $\sigma$?

In finance models that use historical returns for inputs, including option pricing models, forecasting and portfolio optimization, only the statistical moments of the returns distribution, $\mu$ and $\...
develarist's user avatar
  • 3,030
2 votes
2 answers
5k views

Mapping I/B/E/S to Compustat via 6-digit CUSIP

I am trying to link Thomson Reuter's I/B/E/S dataset with Compustat. Both I obtained via WRDS. The only halfway useful info I could find was on a two year old forum post, which suggests to go through ...
altabq's user avatar
  • 237
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 vote
2 answers
867 views

How To Account For Inflation Over Historical Data

I believe inflation is greatly affecting my sample data, even when using percent-changes for movements. I have read this post, which recommends the formula ((Current-Base Year CPI) * Price) / (...
poorly_built_human's user avatar
1 vote
1 answer
311 views

where to find historical ticker data for securities no longer in s&p 500 index?

im looking for the complete intraday ticker data time-series for a number of securities that formerly were part of the s&p 500 index. eg. PGN, Progress Energy Inc, removed from index 2012 because: ...
mrchance's user avatar
  • 111
1 vote
2 answers
1k 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.
Ilya's user avatar
  • 328
1 vote
2 answers
564 views

Storing options EOD time series in Flat Files

I have purchased data for EOD settlements of options prices for USA futures for personal use. I will not need multiple user access or real time access. I am not an expert programmer but use C# and R ...
cvmn0207's user avatar
1 vote
1 answer
185 views

Historic and future (next) round of machine readable dividend info

Is there a source of historic dividend dates, ex-dividend dates and dividend values? Also, the next dividend date / ex-dividend date. Ideally in a machine readable form? The publically available APIs ...
George Edwards's user avatar
1 vote
0 answers
632 views

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 ...
TobKel's user avatar
  • 111
0 votes
0 answers
604 views

How can I export intraday stock data into CSV from Interactive Broker or Yahoo Finance?

Google Finance API seems to be down forever. Are there instructions or manuals for downloading intraday stock data into CSV files from Interactive Broker OR Yahoo Finance?
Kevvy Kim's user avatar
  • 173
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?
Francis Geraldo's user avatar
0 votes
3 answers
2k views

How to estimate variance-covariance matrix of assets with different length of historical data? [duplicate]

Consider you have 4 assets A, B, C and D, where Asset <...
dnl's user avatar
  • 410
-2 votes
1 answer
519 views

Dividend Yields of the S&P500

Straightforward question; Is it possible to find dividend yields of the S&P 500 on a daily basis (or at least the dividends of the S&P 500)? I have been looking everywhere and can't find ...
Hercules Apergis's user avatar