Questions tagged [market-data]
Market-data includes all questions relative to data acquisition for the different financial products. It can also include questions about how market data are computed.
474
questions
1
vote
1
answer
81
views
Is there a API to obtain real-time forex data in seconds?
I wanted to get sell, buy and recent trades of a currency in intervals of seconds but was only able to find APIs which offer a minimum interval of one minute (I checked Polygon and Alpha Advantage). ...
- 113
0
votes
0
answers
23
views
Public dataset of stock open and closes that includes market cap [duplicate]
I want to do some analysis on a CSV dataset of historical stock movements. I found many, like this one.They include the opening and closing price for each stock for each day, which is great, but I ...
- 101
1
vote
1
answer
89
views
Getting incorrect options data with IB API. Missing real time market data subscription?
I'm having a problem getting options data with IB's API. The data seems not to be correct. In my code I'm getting some 0DTE call options for the Mini SP500 March Futures contract and printing their ...
- 11
1
vote
0
answers
43
views
Annual returns on sin stocks
Fabozzi, Ma and Oliphant (2008) have this very nice comparison between the return on the overall stock market and the return on sin stocks across multiple countries. They have done this for the period ...
- 7,293
0
votes
0
answers
49
views
Where can you get merges and acquisitions news information systematically as a data feed?
I am trying to locate vendors to get news about news that might lead to a symbol stop trading.
It can be planned merges or acquisitions.
While that information is usually in the news I have not find ...
- 101
0
votes
1
answer
39
views
Two specific questions about CAPM's assumptions and implications
I have two questions about the CAPM model: the first is theoretical while the second is related to observed market data.
First question:
let's say we have company A and company B and we want to ...
- 11
1
vote
0
answers
52
views
Calibration period
I want to calibrate some model to market data. This could fx be Bates, Kou, Black-Scholes, etc. So, for each model we have a set of parameters which need to be estimated through calibration. Now, my ...
- 29
0
votes
0
answers
21
views
How to find top 10 entities who owned APPLE since the time it went public, on an yearly basis? [duplicate]
So, I want to find out, what were the top 10 people/entities/funds any type of entity basically, who have owned Apple since the time in went public on a yearly basis.
Like for example, over here: ...
- 101
0
votes
0
answers
30
views
Formula to convert Bloomber ticker to ISIN, RIC or Factset ticker [duplicate]
I want to convert Bloomberg tickers (for equities) that to either of ISIN, CUSIP, RIC, Datastream code or Factset Ticker. I don't have access to Bloomberg but say if I just want to convert Bloomberg ...
0
votes
0
answers
19
views
Free data source for options IV and volatility data (US, UK, EUR Equities preferable)? [duplicate]
Where can I get free options implied volatility and realized volatility data?
I used to use Quandl, but they were acquired by NASDAQ and now offer this data under a premium paywall.
For reference, I ...
- 11
0
votes
0
answers
26
views
FX Long/Short Positions datasource [duplicate]
I was wondering if there is any free resources where I can see/ download total FX long/short positions (size or at least number of contracts) in the market currently?
- 1
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 ...
- 1
1
vote
2
answers
279
views
Are there open source or academic-only limit order book data sets available?
I am looking for limit order book data for an academic paper that has a snapshot for every change in the orderbook (1st five levels are fine, but more is better) or can be built from ITCH files. Any ...
- 113
3
votes
2
answers
277
views
Python: detecting measured moves of candlestick data
Goal:
I'm looking to see if it's possible to programatically detect "measured moves" on candlestick data. The price data I am using is successfully retrieved from the TD Ameritrade platform ...
- 131
1
vote
0
answers
83
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 <...
- 11
0
votes
0
answers
40
views
Data structure to describe ownership of business entities: What would make a good one?
I am building a database of news outlets, and I would like to include information about the ownership of the news outlets. In order to do this to my satisfaction, I would like to store information ...
- 101
0
votes
0
answers
43
views
Understanding EEX Futures and Options
I'm interested in understanding more about the European Energy Exchange (EEX).
In particular, I am focusing on the energy option market and I would like to understand how vanilla options are quoted (i....
- 1
2
votes
2
answers
198
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 ...
- 21
3
votes
1
answer
213
views
API for Commodities Stock markets
I would like to have a clear picture about lithium investments all over the World.
I like this website where I can see all companies related to lithium on the Australian Market.
The website also ...
0
votes
0
answers
36
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 ...
- 207
0
votes
0
answers
41
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
0
votes
0
answers
122
views
Mapping symbols to indicies and sector
I am using a datasource (polygon.io) to get my historical (and live) data.
I would like to have a universe layer whereby I map these symbols to indicies and sectors to calculate market breadth vs ...
- 55
0
votes
0
answers
38
views
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 ...
- 185
-1
votes
1
answer
80
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 ...
- 109
0
votes
0
answers
43
views
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 ...
- 101
1
vote
0
answers
250
views
Can 2 unique Instruments have the same ISIN?
I always thought that 1 ISIN uniquely identifies 1 financial instrument. However, I have come across cases, where the same ISIN is used for a stock and a bond:
...
- 1,192
1
vote
4
answers
290
views
Looking for options to visualize large market timeseries data
I have a large dataset that includes my strategy back-test run data. The dataset columns include candle date, close price and many strategy related data.
I’ve built a Mathplotlib visualization for my ...
- 109
0
votes
0
answers
22
views
SX5E (cash equity index) aggregated OHLC intraday historical data
I'm desperately trying to find OHLC 15/30 minutes aggregated data for SX5E (ISIN: EU0009658145) for the past 10 years, but it seems like this dataset is somehow very difficult to obtain (or at least i ...
1
vote
1
answer
151
views
Exchange vs Order-Driven vs Quote -Driven
I have never understood the implications of a quote or order-driven market.
When I look up securities on google in a way to see their prices, is that price the price of the exchange? the price of a ...
- 155
1
vote
0
answers
46
views
Downloaded data is quote-driven or order-driven?
I downloaded data from Refinitiv Datastream (But I think that you get the same data from Bloomberg) to write my thesis. I downloaded prices and volumes.
I have a crucial question now: Are the prices ...
- 155
0
votes
1
answer
119
views
Where to download list of all US OTC stocks
Where can I download a complete list of US OTC stocks? https://www.nasdaqtrader.com/trader.aspx?id=symboldirdefs only has lists of exchange-listed stocks, not OTC stocks. There is FINRA's OTC Symbol ...
- 511
2
votes
2
answers
538
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 ...
- 203
0
votes
0
answers
37
views
free download of 1- or 5-minute stock quote data [duplicate]
I know Yahoo has stock quote data (OHLCV). But it contains errors.
tdameritrade API have 1- and 5-minute data. But it only starts at 7AM ET, instead of 4AM ET. It is only limited to 182 trading days, ...
- 51
0
votes
0
answers
59
views
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 ...
- 23
1
vote
2
answers
937
views
Where can I get order book data?
In my experience trading in asian markets, I have found a few resources that conduct calculations on order books. They are able to provide the size and real time movements on specific types of orders ...
- 25
0
votes
1
answer
48
views
Incorrect ES future open data from CME?
I was trying to validate some intraday ES future data. However, it looks like even the CME official is incorrect.
Let's take 2022-01-19 as an example
CME shows the open price for MAR 22 is 4577.75 (...
- 3
0
votes
0
answers
29
views
Where to find consensus forward estimates from the past?
I need to find the market consensus estimate values (Revenue, EBITDA, Net Income, Free Cash Flow) since 2018 for a set of publicly-traded American companies. The thing is, I can find the present ...
0
votes
1
answer
71
views
Adjacent Close values
I've seen a number of papers and writings mentioning "adjacent close" values. Such as: [1],[2], [3]. But I haven't been able to find a definition of the term. Can anyone help? I'm actually ...
- 101
0
votes
1
answer
149
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
0
answers
271
views
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 ...
- 193
0
votes
1
answer
107
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 ...
- 121
1
vote
1
answer
95
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 ...
0
votes
0
answers
110
views
Bull/Bear/Flat Market mathematical definition
I need to label historical dataset by market type and look for automated solution. I have couple related questions.
Maybe there some ready solutions that I was not able to find?
Is there some price ...
- 1
0
votes
1
answer
55
views
Up-to-date breakeven inflation term structure for US and Eurozone
I am looking for openly accessible, up-to-date data for the term structure of the breakeven inflation rates in the US and the eurozone. All I can find are static charts that illustrate past news ...
1
vote
1
answer
81
views
Getting data from hundreds of data feeds and visualizing it, millisecond interval or less
Our team is working with extreme real-time charting technologies. Now we are developing web charts to visualize hundreds or even thousands of data feeds the same time. Using 1000 data points or more / ...
- 213
4
votes
1
answer
186
views
What's the best way to determine if trade was buyer (seller) initiated, having access to bid/ask/last quotes?
In this question, suggestions on algorithms from Lee and Ready and Pan and Poteshman address ways to determine trade side without access to bid/ask quotes.
The streaming data I have access to yields ...
- 115
0
votes
1
answer
113
views
Double Heston model calibration in Christoffersen's paper uses 52 sets of market data (each set as of a different date). Why?
In the paper on Double Heston model (2009) from Peter Christoffersen, they say: "Our focus is on explaining why a two-factor model works better than a one-factor model for
the purpose of option ...
- 138
0
votes
1
answer
178
views
is implied volatility derived from the option bid quote or the option ask quote?
I got SPX option prices from three different market data sources. In all of them, I can see bid and ask quotes. However, there is only one implied volatility. Does this implied volatility correspond ...
- 138
1
vote
1
answer
192
views
Understanding Volume Bars Threshold
I have been reading Advances in Financial Machine Learning by Marcos López de Prado and came across different Bar types, and simulating Volume Bars from execution data myself.
My understanding of ...
- 185
0
votes
2
answers
136
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 ...
- 1