Questions tagged [intraday]

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0answers
68 views

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 ...
0
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1answer
45 views

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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1answer
45 views

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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0answers
62 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. ...
0
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2answers
64 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,
0
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1answer
64 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 ...
0
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0answers
52 views

intraday periodicity adjustments

I recently studied and implemented the intraday periodicity model of Andersen and Bollerslev from here. https://www.sciencedirect.com/science/article/abs/pii/S0927539897000042 The seasonality ...
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0answers
45 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
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0answers
29 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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0answers
34 views

assumptions for an intraday U.S equity strategy

Hi All: I'm working on a U.S intraday equity trading strategy but it's not high frequency. Here is a quick summary of it but I don't think the summary really relates all that much to my question. ...
8
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5answers
3k 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 ...
3
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1answer
80 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 ...
3
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0answers
25 views

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 ...
2
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1answer
100 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 ...
1
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0answers
52 views

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 ...
1
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1answer
221 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 ...
1
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0answers
82 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 ...
2
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1answer
112 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
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1answer
372 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
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1answer
296 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. ...
2
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1answer
87 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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0answers
477 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?
1
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0answers
154 views

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....
5
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1answer
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 ...
1
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1answer
245 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 ...
0
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1answer
265 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
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4answers
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 ...
0
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2answers
221 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?
1
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0answers
163 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
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2answers
1k 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 ...
2
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1answer
130 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. ...
3
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2answers
236 views

Intraday data frequency

How should I determine what frequency should I use for doing microstructure research using intraday data? For some reason, there seems to be general consensus of using 5 minute interval, but is there ...
3
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2answers
120 views

Intraday Volatility over multiple timezones

I'm in the Europe/Berlin Timezone and I need to calculate a global volatility indication Monday to Friday at 12:00. My portfolio can somewhat accurately represented by 60/30/10 S&P500, ...
0
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2answers
79 views

Where can I find free single-day charts for the S&P 500?

I'm trying to find free historical charts of the S&P 500. I don't need the raw data, I just need to access a simple chart showing the movement of the index over the course of the day (for an ...
2
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1answer
99 views

Bid/ask and volumes from ITCH feed, what is the most efficient way to do this?

I am very green when it comes to programming. I am doing a market microstructure study where I need to investigate how certain stock characteristics affect their liquidity. I have Nasdaq OMX ITCH Feed ...
2
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1answer
531 views

Comparing Implied Vol. to Historical Vol. using intraday data

I'm interested in estimating what my profit/loss would be for continuously gamma scalping a delta hedged option over the course of one day, using historical intra-day price data. I found an equation ...
2
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0answers
84 views

Which is best chart for intraday trading & how to use it? [closed]

I have new learner & want to make trading as my full time work. I read some articles on charts, that helps to buy or sell shares. Pls tell me, how to read charts & buy or sell shares using ...
17
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2answers
391 views

Regression model when samples are small and not correlated

I received this question during an onsite interview for a quant job and I'm still scratching my head on how to solve this problem. Any help would be appreciated. Mr Quant thinks that there is a ...
9
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4answers
1k views

Negative high frequency intraday volatility - Zhou estimator

To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf where he talks about the bias free ...
2
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2answers
2k views

Free access to official real-time and intraday data for exchanges [duplicate]

Where can I obtain all official real-time and intraday data for exchanges — NASDAQ, NYSE, AMEX, OTC, CME, etc? I feel like the raw data is out there to be consumed and parsed at no cost (except the ...
4
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6answers
2k views

Bloomberg-alternatives for intraday stock price data?

Given the limitation Bloomberg imposes in terms of the number of days you can go into the past when retrieving historical intraday data, what are similarly reliable alternative solutions? I require ...
5
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2answers
22k views

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
4
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0answers
103 views

Estimating Number of “Day Trades” from Total Volume of Commodity Futures Contract

Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
2
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2answers
166 views

Where can I find a list of market-moving news announcements for different asset classes?

Different asset classes have different important news announcements that move the markets intraday. For instance, oil volatility increases after the EIA Petroleum Status Report, but that announcement ...
3
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2answers
458 views

Intraday Data - Stylized Facts?

Can someone give an overview or literature on Intraday Data Stylized Facts? In particular for equity market returns or exchange rates.
3
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3answers
11k views

Where can I download intraday series for DAX and S&P500 Index?

Where can I download intraday tick data for DAX and S&P500 index prices? I found only daily closing prices.
2
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1answer
207 views

Do people hedge with leveraged ETFs intraday? How?

Seems that the answer to the first part should be yes, but haven't seen any references or examples. E.g. suppose I want to hedge XLF position with FAZ. Do people use close to current returns, or just ...
8
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1answer
967 views

Do intraday volume and volatility share the same properties?

volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it ...
4
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2answers
362 views

What nonparametric methods exist for estimating intraday seasonalities?

What nonparametric "Model Free" methods exist to measure intraday seasonality? I would like to estimate intraday seasonality in any of The volatility The traded volume The bid ask spread or ...
8
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2answers
2k views

How to use a realized kernel?

I've read that realized kernels are the thing to use for calculating daily volatility from high-frequency data. So I've got minute data, how do I actually use such a kernel? Will it give me minute-ly ...