Questions tagged [intraday]

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Is not handling irregularity (unevenly spaced time intervals) in stock market intra-day data ok?

I read papers and it seems not doing anything to unevenly spaced time series is the implicit common sense (apart from routine preprocessing, which has nothing to do with time interval handling) for ...
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2 votes
2 answers
165 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 ...
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Estimating Intraday Volatility with OHLC Data [duplicate]

I'm trying to estimate intraday volatility for some ETFs, but don't have the intraday data to actually calculate it. I do, however, have historical daily OHLC data for the ETFs. I thought I saw ...
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Fitting model between security price and intraday volatility

I'm trying to construct a model which shows how much the closing price of a security ($P_t$) differs from the VWAP of that security on that day ($VWAP_t$). I'm calling this measure the "VWAP ...
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Is there a site with free each-minute OHLC historical data for FTSE100 for first trading hour for a month? [duplicate]

Is there a site with free OHLC each-minute OHLC historical data (in csv) for the FTSE100 for the market's first trading hour for a month? I'm hoping there is a site and someone can direct me to it. It'...
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1 vote
0 answers
91 views

State-of-the art factor models for intraday event studies

I want to do intraday event studies. For this purpose, I have stock data on a 15 minutes interval. What is/are currently the state-of-the art factor model(s) for calculating intraday (ab)normal ...
1 vote
0 answers
25 views

Any bench marks for anomaly detection of intraday or other time intervals for stock prices?

Is anybody aware of any benchmarks for general anomaly detection of intraday or (other time intervals) for stock prices? I suspect that it is difficult to get agreement on what constitutes an anomaly ...
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Is this pattern for high trade prices in the NKE NYSE data correct?

The question is whether the pattern described here actually exists in the NYSE historical data for NKE (Nike). In over 63% of cases, HighTradePrice achieved between ...
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3 votes
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198 views

Is day-trading not a zero-sum game in practice?

I would consider day-trading (by which I mean people sitting in front of their screens, buying and selling assets when they find it appropriate based on (to me very mysterious) indicators such as ...
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69 views

Source for Intraday or High-frequency stock price data

I am in search for intraday (some observations per day would be fine) or high-frequency data for stock prices. I have for example 3.000 ISIN numbers of German companies and want to get the intraday/...
3 votes
1 answer
142 views

What causes the gap between ETF prices and intraday NAVs?

I am doing a little study on the relationship between ETF prices and NAVs. Using intraday tick data, I take the mid prices of an ETF and compare them to the NAVs that I compute from the mid prices of ...
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1 answer
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Question about Pattern Day Trading

According to the FINRA, the rules permit a pattern day trader to trade up to four times the maintenance margin excess in the account as of the close of business of the previous day. So if you have \$...
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0 answers
75 views

Intraday volatility pattern of Emini

I have the series of 1-min logarithmic returns of Emini future from 2007 to 2020 I calculated the standard deviation of each return at a fixed time of day and then I plotted the results (see image). I ...
1 vote
1 answer
1k views

Bloomberg python API - intraday tick/bar request for options?

Is it possible to request intraday tick/bar data for a particular option (e.g. AMC 4/30 10c @ $0.91) with the python bloomberg BLPAPI? I've managed to do pull intraday tick data (with ...
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0 answers
161 views

Sharpe ratio from second returns? HFT

I have an intraday trading strategy so I take several positions each day. I have prices for each stock, with a 10 second resolution. So the data looks like this: ...
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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 ...
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Effectiveness of trading strategies

Generally, a trading strategy is effective for a certain duration which is a function of the environment, news etc. I am currently learning about basic strategies that are (or once were) used. Some ...
2 votes
1 answer
331 views

Historical intraday dataset with penny stocks with a gap-up of 10% or above

I am trying to find intraday datasets of pennystocks. My criteria for the dataset is that it needs to only contain pennystocks where the gap-up was 10% or above. I am looking for a free option but ...
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1 answer
623 views

Corwin-Schultz estimator of bid-ask spread

I am reading a paper "A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices" cf.A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices The authors proposed ...
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2 answers
190 views

Mechanism for Tick Rule for Trade Classification

I see a few papers using the following tick test to classify a trade as buy/sell initiated trades: compare a trade price to the previous differing trade price, if the current price is higher/lower, ...
1 vote
1 answer
173 views

Why should we rather work with volume time?

Many articles that I came across use volume time $v$ in their computations since the market activity level varies substantially throughout the day (intraday volume and volatility patterns), which is ...
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4 votes
1 answer
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Why a model like GARCH is only good for daily volatility and not for intraday volatilities?

I´m currently looking to implement an intraday volatility model and I´m new at the quant world and I learned how superior is GARCH family is for daily volatilities, but in the research stage I found ...
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1 answer
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Finding option price using intraday data [closed]

I have the option price at a rate which is much smaller than the rate at which I have tick data for the underlying. If I have option price at times $t_1, t_3, t_5$ and I have tickdata at $t_1, t_2, ...
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1 answer
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Do corporate events happen intraday?

Does any corporate event that affects the stock price/shares outstanding happen during the trading session in vanilla US Common stocks or predominantly at night ?
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1 vote
1 answer
557 views

Downloading Historical Data from Finam.ru

I am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be translated. The link to download the data is here. ...
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2 answers
312 views

Historical SPX Intraday data with volume

I am looking for historical SPX 1minute data containing volume. Anyone knows where to get them from? Thank you,
1 vote
1 answer
74 views

Extract time and sales from the level 2

I need data to test some mathematical models. So far I have the level 2 over 120 layers, but I can't pay for the time and sales. Is it possible to extract the time and sales from the level 2? By ...
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115 views

Intraday volatility measures in comparison to end of day measurement

I'm experimenting with Parkinson's Number and the Garman-Klass estimator I'm wondering what the appropriate number of days to sample over, is the number over 1-day useful at all, or should one take it ...
1 vote
0 answers
57 views

Overnight and intraday returns of stock index and ETF seem inconsistent

Figure 2 of the 2019 paper "Celebrating Three Decades of Worldwide Stock Market Manipulation" shows that 29 Jan 1993 to 31 Oct 2019, overnight returns (from close to open) of SPY were 1232% while ...
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11 votes
6 answers
9k views

Where to get historical intraday stock data?

I hate to ask questions that have been asked before. But I am afraid that this is one of them. I have searched the web for days now, read so many forum posts. But I can't find an answer. Most answers ...
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3 votes
1 answer
95 views

Time of Nasdaq daily close price

On the Nasdaq website It Is stated that the market closes at 4:00pm. However I have historic intraday minute prices and I can see that that are minutes with prices after 4:00 PM (I am assuming its ...
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3 votes
0 answers
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Option Selection (rollover rules) in calculating intraday CBOE VIX (post 2014)

In calculating the CBOE VIX (post 2014) one has to select near- and next-term options, which are defined as options with >23 days and <37 days to maturity. As time moves on, a currently selected ...
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3 votes
1 answer
216 views

sort of asked before but would be good to get updated sources of tick data

Hi: I am looking for reasonably priced quote data or ohlc minute bars for US stocks. I would want the history to go back say 2 or 3 years. I realize that getting US quote data for reasonable prices ...
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1 vote
0 answers
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New/ relevant ways to retrieve intraday stock pricing

I am trying my best to find cheap/ free ways to retrieve and store intraday stock prices - both historically and going forward. Many of the ways I find seem to be outdated and no longer exist. For ...
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1 vote
1 answer
441 views

How to account for intraday seasonality in GARCH model?

I am using a GARCH(1,1) model to estimate volatility. I am using hourly data to do this (I have hourly data for 100 trading days). Besides removing the first hour (which represents the overnight ...
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1 vote
0 answers
99 views

Do Reuters or Eikon have intraday exchange rate data for minor currencies?

I need historical intraday exchange rate data (for a minor european currency - EURRSD) for my thesis. Not necessarily tick by tick - just prices at any interval below an hour will work. I guess there ...
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2 votes
1 answer
148 views

What steps are for a specific Day Trading Pattern

I am new to day trading, and I am looking to get a better understanding of what key attributes can be identified when trying to identify patterns when day trading. Specifically, I am looking to find ...
2 votes
1 answer
591 views

Intraday option price data European stocks and indices

I am looking for intraday option price data for stocks and indices listed on European markets (SX5E, SMI, DAX, etc). Ideally, I would like to get files as clean as those provided by ivolatility for US ...
-1 votes
1 answer
416 views

Calculating intraday returns from imperfect data in R [closed]

The aim is to calculate minute returns in R. Given is minute price data in a tbl_df. A row was only added if there actually were trades. ...
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2 votes
1 answer
100 views

Information available to traders

I am not a trader myself but am trying to educate myself about trading. I notice that in most articles and videos about technical trading, an illustrative graph is displayed showing the latest price ...
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529 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?
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1 vote
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Intraday Volatility using Realized Kernels

Since the papers about realized volatility calculate daily volatility out of intraday data, is it also possible to apply same methods to calculate e.g. 10 minutes volatility by smaller sampled data e....
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5 votes
1 answer
2k views

How to compute the realised intraday volatility?

I'm in the position to calculate a non-parametric volatility estimator for 15 and 30 minutes intervals of the SPY. I got data sampled on second resolution. However, I checked plenty of papers but, as ...
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1 vote
1 answer
338 views

Combine EWMA or ARCH model with estimator other than squared returns

Currently I use the EWMA model with the squared logarithmic returns as proxy estimator for the volatility, in order to forecast the volatility one step ahead in an intraday scenario (time frame is a ...
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0 votes
1 answer
334 views

Historical data on EUA Futures (Intraday, 15 minutes) from 2008

I'm actually working on carbon markets. Anyone knows where I could find EUA (european union allowances) futures prices intraday (15 minutes) from 2008 until now for free? Thank you for your help
0 votes
4 answers
2k views

Where to find sample intraday data? One to two days or more

I'm looking for some intraday stock data. Doesn't really matter what kind of security... I'm just looking for price, volume, bid, and ask. I'm looking to test a model based on the dynamics and ...
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0 votes
2 answers
275 views

trading equities on options feed/microstructure data

Obviously, not asking for a trading strategy, but do people successfully use options feed/microstructure data to trade equities intraday? What's the general framework for such strategies?
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1 vote
0 answers
225 views

Intraday return and volatility figures some sense check

Some questions about intraday returns and volatility figures. It is with the objective of sense checking. Firstly, for Security A, I am calculating the five minute interval return numbers over 29500 ...
3 votes
2 answers
2k views

Where and how can I get FX intraday data for use it in R?

I need FX data (the most accurate possible) for use in R. Right now I have developed a script in Java to download the CSV file (from Oanda) and use this file to read it in R, but I think that is a ...
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2 votes
1 answer
157 views

Events effect on intraday volatility and large outliers

I have an event that takes place over a period of a few days, and I want to estimate the effect it has on market volatility using intraday data with one minute frequency. The problem is, that e.g. ...
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