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.

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27 views

Historical Data Validation [closed]

Is this method sufficient? function compare_quotes ...
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22 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 ...
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68 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 ...
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1answer
40 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 ...
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1answer
52 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 / ...
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1answer
138 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 ...
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1answer
73 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 ...
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1answer
83 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 ...
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1answer
59 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 ...
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2answers
81 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 ...
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39 views

Timeseries for the number of coins in circulation for all coins trading on Binance

Does anyone know where I can get a timeseries (daily frequency) for the last couple of years of the number of coins in circulation for each instrument that trades on Binance please? I've looked around ...
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Market data for live VIX, Put Call Ratios etc

As per https://www.tradingview.com/symbols/USI-PCC/ I can see it mentions an exchange USI and CBOE. I am unable to find further info about USI. Which CBOE product would I need to subscribe to in order ...
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36 views

Options Exchanges vs Equity Exchanges

I appreciate help in understanding difference between Options exchanges and Equities exchanges, and the domain language used. Per The Options Clearing Corporation (OCC), I see they have exchanges ...
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84 views

How to identify active vs inactive ISINs?

Background I understand that through the work of ANNA and GLEIF, the relationships between ISINs and their respective LEI (Legal Entity Identifier) are now more accessible. GLEIF API Lookup To lookup ...
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46 views

Best stock market data streaming API that covers Foreign exchanges, Tadawul (Saudi Arabia) and Dubai Financial Market (UAE)?

I am just getting started with stock markets data streaming APIs. I would like to gain from your experiences with the different APIs out there to help choose the most suitable service provider for me, ...
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39 views

How to calculate price and volume samples of a multi-product series?

I am reading Marcos de Prado's Advances in Financial Machine Learning. In a section titled "the ETF Trick", he explains how to calculate periodic price and volume samples for a basket of ...
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52 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/...
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37 views

Algorithm: from bid-ask data to footprint

I want to write a little program that will display me a footprint in real time Basically I have the following data: ...
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1answer
855 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 ...
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82 views

How to handle negative income tax when calculating EBIT

I am using the formula (Net income + interest expense + tax expense) to get my calculation What happens if the Income tax expense is negative for that year do you still add that negative number or do ...
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46 views

How to calculate NOPAT if the effective tax rate is 0 or negative

I am trying to calculate NOPAT for L S STARRETT CO. The effive tax rate I calculated for 2020 was -0.09% Operating Income was -5.3 mill. Using the NOPAT formula Operating Profit * (1 - tax rate) I got ...
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2answers
112 views

Determine market and ice-berg order types from live trade and quote data

I have tick and quote live data from Polygon and Interactive Brokers. Looking at the conditions I can't see info on market or iceberg orders: https://polygon.io/docs/...
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1answer
73 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.
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39 views

Delta hedge analysis - volatility rapidly growing

I'm working with a hedge expirement design, where I daily hedge with EGARCH(1,1) forecasted volatilty based on a moving evaluation of the past 126 days. However, I can't seem to understand the profit ...
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28 views

Perfect in-sample size for out-sampling volatility prediction (EGARCH(1,1)

I have a few questions regarding in-sample size for volatility forecasting in EGARCH(1,1). I'm currently sitting with a dataset consisting of 1387 trading days of the S&P-500 index. I would like ...
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30 views

Empircal data analysis delta hedge error of Black-Scholes by Mark Davis

Regarding Mark Davis derivation of the delta-hedging error occuring in the black-scholes as a result of difference in realized volatility and implied volatily. The formula reads as follows: $$ Z_t = \...
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2answers
81 views

Deciding (p,q) in garch and model test on empirical data

I'm currently working on a dataset containing data from the 29 January till the 29 July 2009. In the dataset I have prices of the S&P 500 index for all days. Furthermore, I have the implied ...
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39 views

Realized volatility calculations from real dataset

I am working with a dataset from: http://web.math.ku.dk/~rolf/Svend/ named data 1. I'm currently setting up a delta hedge for periods of 3 months. So currently we are starting at the start data of the ...
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29 views

Adjusted close time series: Frequency of historical updates

When working with stock market data for strategy / analysis purposes, I am well aware that I have to distinguish between unadjusted and adjusted prices. I understand that historical adjusted prices ...
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1answer
82 views

How could I identify peers of companies (stocks) at scale?

Context: I'm making a small script to screen through thousands of companies at scale. A feature that I want to include would be relative metrics, e.g. is this company growing faster than its peers, ...
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1answer
446 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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36 views

Commercially redistributable derivative market data source

Is there any derivatives market data source that gives permisson to use this data in a financial model and then sell a product with it? (derivatives valuation for example) I'm looking for a cheap ...
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4answers
606 views

Alternatives to Zipline backtester / Alternatives to futures data from Quandl

I intend to set up a fully automated system for trading equities and futures. As preparation for this project, I worked through a couple of books on the topic, e.g., "Trading Evolved" by ...
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22 views

Can an ISIN have a mixed issuance?

In principle, an ISIN is issued by one entity (which can, of course, issue multiple ISINs). However, can an ISIN have a mixed issuance?
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2answers
466 views

What are the proper ways to do order book downsampling?

I have an access to the order book dataset, which was sampled with resolution that is too high for my sandbox experiments with it. Because of that, I was wondering, what would be the correct way to ...
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1answer
33 views

Why do 1min intraday price histories from AlphaVantage have different sample counts?

I've downloaded intraday price histories from alphavantage for a dozen or so symbols, with the same parameters (1 minute interval) for each. Presumably this data represents prices in one minute ...
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19 views

As reported financial statements historical data [duplicate]

May I request for suggestions on data vendors for historical as reported fundamental data? For example as reported eps, as reported revenue, as reported depreciation and amortization expenses? I tried ...
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28 views

Rounding errors in EOD prices in Yahoo finance

AAPL closing price in the CSV export file is 130.839996 whereas the web interface shows 130.84. Is it safe to assume that the Yahoo EOD database stores prices as floats hence the rounding errors? I'm ...
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1answer
121 views

The best approach for screening ATH values for equities

I am trying to automate the trading strategy that I have been previously executing manually. I am having problems with figuring out the most efficient way for a specific step of the strategy. An ...
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1answer
166 views

Calculation of market price for option at underlying strike price at some point in future

Would appreciate clarification on the below scenario. If a put option was sold at the start of the week, when the broker (Interactive Brokers) calculates the cost basis (the premium collected) are the ...
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28 views

Whitespace in Option Symbols

A while ago exchange-traded option symbols migrated to a 21-character descriptor, formalized by the Options Clearing Corporation (OCC), consisting of: 7 characters: root or underlying symbol 6 ...
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1answer
259 views

BQL Question [New to BQL and programming in general]

I have this BQL query to grab a list of Russell 3000 members and get the firm names. Is there any way I can grab other data with the company names such as industry/sector name, total assets, EPS, etc.....
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2answers
3k views

Without Bloomberg, how can retail investors know how many shares have been shorted daily?

Many friends can't afford a Bloomberg terminal, particularly when the pandemic has unemployed some of them. This answer can't assist them. How else can amateur investors determine the number of ...
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76 views

Resources for Bayesian methods

I will be joining a risk management firm in a few months, and I was wondering if some of you could help we with resources on certain methods. Some of the things that I would be called upon to work on ...
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1answer
105 views

US Equity Real-time Market Data Feed Pricing

I'm trying to compare the minimum cost of subscribing to primary sources of real-time market data on NYSE and NASDAQ for last sale and level 1 top-of-book quotes. Use cases are log to files, store ...
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1answer
155 views

Swap data- couldn't find any

I'm a student and i amm looking for a swaps rates historical data for long tenors in purpose to estimate yield curve (for example in GBP). My question is where could I find it?
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2answers
146 views

Recreating Bid-Ask from Transactions data

A database only has transactions/trades for a given instrument. In order to recreate bid-ask of the instrument to estimate the average bid-ask spread, what process does one need to follow? what are ...
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34 views

Find the stock exchanges a security is traded in given a CIK?

I have all the CIKs and relative tickers of all the traded securities that I need (https://www.sec.gov/include/ticker.txt). My question is: How do I find the stock exchange that a gives security is ...
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46 views

Which exact interest rate should I use for valuing equity index futures (ie. SPX, MXEA)?

I'm trying to build a model that values futures for equity indicies like SPX. For example, this product link here. I know that the model is simple (please correct me if I'm wrong): $$ S_{T} =S_{0}e^{(...
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1answer
599 views

Symbol for the Dow Jones Industrial Average in Alphavantage.co

Is there a way to retrieve EOD and intraday data for the Dow Jones from Alphavantage.co API? I tried DJI, DJIA, DJA. None worked.

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