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.
500
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help to get intraday data of US treasury Note [closed]
i am a quantitative finance student, i have a problem i need intra-day prices with 5 minute interval (30 is also fine) for the period from 01/07/2023 to 01/07/2024 for
US TREASURY NOTE 2017 2 1/4% 15/...
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0
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0
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26
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Inconsistent Final Trade Prices: Why is the Last Trade of the Day Often Erroneous?
I am working on extracting technical indicators from market data and need to obtain the daily close price for assets. In my dataset, which includes all trades for each day along with their prices and ...
- 21
0
votes
1
answer
81
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Nelson-Siegel-Svensson: question regarding data format for fitting the model
If I want to fit the Nelson-Siegel-Svensson (NSS) model to a set of spot, forward, or discount rates, my intuition says that the data should of course be in percentage form.
For example, I should use $...
- 117
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0
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21
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JKP data and French library data [duplicate]
I am currently using the JKP factor dataset (https://jkpfactors.com/) to test a large number of factors.
Their data has information on 153 factors, but no CAPM beta.
This dataset only supports returns....
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1
vote
1
answer
237
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Efficiently Tracking Order Queue Position In a Limit Order Book Implementation
There are a lot of posts on different ways to implement limit order books, though I never see any discussion on tracking a specific orders queue position efficiently. If I want to ask questions like:
...
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1
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39
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Derivatives data vendors for individual user [duplicate]
I am looking for a market data vendor that I can utilize for my personal research or practice.
Among the market data vendors that provide the swap rate required for bootstrapping, are there any ...
- 11
2
votes
0
answers
71
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How can you explain the substantially lower trading volume shown in IBKR?
I am using IBKR API to download historical data. The trading volumes are always substantially lower than from Yahoo Finance and Nasdaq.com, often lower by 50%. It is impossible to be explained by ...
- 131
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56
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Calculating FX Forwards Using Spot Prices and Discount Factors for Exotic Currency Pairs
We need to value FX forwards for some exotic currency pairs using a third-party system that does not provide the forward rates. The system can provide spot prices. Is it correct (real) to calculate ...
1
vote
1
answer
123
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Structure of market for equity swaps (breakable vs non-breakable)
In the following answer to a question on breakable total return swaps , the answerer writes that:
As a general rule you will find that dealer-to-dealer trades are locked and customer-to-dealer trades ...
- 8,169
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43
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Where to get 13F data in excel format?
I am trying to do a project and analyse 13F data from some most followed fund managers or individuals (e.g. Michael Burry). However, I couldn't find anywhere where I can get the data in a properly &...
- 123
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62
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Index reliability/source for yahoo finance
I had a small question regarding the reliability of the data on Yahoo Finance, I know that this source is full of flaws but it has the enormous advantage of being free.
I had a question regarding the ...
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0
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104
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Test Formula for Cross-Currency Basis by Using S, F and Rates. What Rates to Use?
I am trying to recreate the charts on slide 6 on the below. Basically "test" the formula for the cross-currency basis for EURUSD. I am using as target EUXOQQ1 BGN Crncy, which is the ESTRON ...
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29
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How to download the record of firms included in the SP100 index?
I need to download a dataset that describes the constituents of the SP100 index over time. I have an account on WRDS and hence I can get the constituents of the SP500 fairly easily, but it seems that ...
1
vote
1
answer
76
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One timestamp snapshot of Level 2 LOB NASDAQ 100 companies
I am in academia, doing some research for which I would need Level 2 LOB data for the companies in NASDAQ-100 at one given timestamp, I just need one snapshot for the 101 companies in NASDAQ-100.
Do ...
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3
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248
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Interpreting tick by tick stock data
I downloaded data regarding the YUM stock traded on the New York Stock Exchange in the year 2014. Basically in this dataset, we have 4 columns: the first column is the day the second column is the ...
- 127
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207
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FREE historical limit order book tick data with decent depth
This is for academic purposes. I am trying to find tick data with depth and type of order execution, i.e. MO, LO, cancellation etc. for equities and or indices like SPY that is FREE.
It does not have ...
- 99
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68
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Is EODDATA.com down? Are they still in business?
Does anyone have information on eoddata.com? I have been trying to access data for several days without success. I usually receive a download every evening. I have sent multiple support messages with ...
0
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0
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72
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Plotting net delta of calls and puts
I'm plotting the Net Delta of calls and puts for a given ticker symbol and a user specified range of expiration dates. Net Delta is calculated for each option contract using the following formula:
<...
- 131
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0
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80
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Where can I get historical intraday pre/post market data for indices?
I've done a lot of research and can't find any place that allows me to export this data. I know ProRealTime has it, but can't export the data.
I've read some threads about people web scraping the data,...
4
votes
2
answers
820
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Highest resolution of stock data?
Out of curiosity, I'm wondering what the highest resolution of stock data there is out there. Is there stock trading data for every nanosecond, picosecond, or even lower? And how is this limit ...
- 161
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48
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Where can I get free FX options chain data [duplicate]
Basically title. Can either be through an API or easily downloadable as a CSV file. Every source I find either have options chain data but not for FX, has historical FX data but not an actual chain ...
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1
vote
1
answer
66
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Where to look for data on bonds? [duplicate]
Greetings I am looking for data on bonds. When I go into Yahoo Finance and I type in F for Ford it does not bring up anything about bonds just like that other website(firna) it goes straight to stock ...
- 11
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votes
2
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137
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Latency (market updates) and link to market efficiency
In the book by Lehalle and laruelle - "market microstructure in practice" -
"The trading activity of HFT updates limit orderbooks at a higher rate
than the round trip for any non-...
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2
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152
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General conventions in Futures prices for commodity
When I look into different Futures quotes of commodities in CME, all of them are based on Expiry month e.g. Dec-2024 etc.
However on the other hand, for fixed income e.g. Swaps, Swaption etc rates are ...
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2
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152
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From OHCLV dataset to Tick Chart
We are all familiar with time-based candlestick charts, such as 1 Minut, 15 Minuts, 1 Hour and so on.
The dataset is more or less something similar:
...
0
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0
answers
86
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Backtesting: choosing the "sample split" between in-sample and out-of-sample data
Aims:
Given approximately 11 years of historical time-series data, to determine how much of this data should be reserved for in-sample and ...
- 131
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0
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19
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Is there a source which would provide today's market close data like open high low close for a given stock list? [duplicate]
I am looking for a way to download a table of the bid, ask, open, high, low, close, change, 52-wk high, 52-wk low and P/E at market close for a given list of stocks in either .xls or .csv format.
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0
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223
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Intraday Data Frequency for Bid and Ask Prices vs Trade Prices
When performing the following BDH query for a particular stock:
=BDH("AT0000652011 ISIN","LAST_PRICE","1/3/2023 0:00:00AM","1/9/2023 0:00:00AM","BarTp=B&...
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1
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141
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How is Open Interest calculated?
(More specifically on crypto exchanges)
If traderA opens 1 long and traderB closes 1 long, thus delta Open Interest is 0. Then what if traderA opens 1 long, and traderB opens 1 short, is delta Open ...
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0
answers
42
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CDS data for different industries/rating? [duplicate]
I have come across below CDS data (index values) based on different Rating, Industries, and Regions,
I am wondering where can I get more complete data i.e. such ...
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1
answer
123
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For a university project I need the historical number of outstanding shares for all companies currently in the S&P 500
Up until now I have been using the yahoo finance api which provides lots of data already that I can use for my analysis. Unfortunately I need the historical number of outstanding shares for multiple ...
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3
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0
answers
89
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Repo/SL rates historical data
Is there any data source for historical repo and/or securities lending (SL) rates on different asset classes, or indices which seek to measure such costs?
I am not looking for granular data at ...
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1
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140
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API for stock price data for commercial re-distribution? [duplicate]
(I know there are existing questions on this topic, but none seem to be for commercial re-distribution use, so please keep this question active.)
It seems there are many websites offering API for ...
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1
vote
1
answer
158
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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 ...
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1
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95
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Why some stocks not traded today? [closed]
I try to download market daily data after US markets close.
I found that the stocks in the following list have no data today.
...
- 103
2
votes
1
answer
659
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Intraday Historical Data: CME S&P 500 E-Mini Futures [duplicate]
Where can you find ESZ22 (CME S&P 500 E-Mini Futures) prices going back multiple years? Ideally, I'm looking for bars every hour or more.
The same for CBOE VIX Futures.
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1
vote
3
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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). ...
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3
votes
1
answer
1k
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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 ...
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1
vote
0
answers
54
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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 ...
- 8,561
0
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1
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64
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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 ...
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1
vote
0
answers
99
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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 ...
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62
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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 ...
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0
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19
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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 ...
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0
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26
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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?
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0
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33
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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 ...
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1
vote
2
answers
802
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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 ...
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3
votes
2
answers
560
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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 ...
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0
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308
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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 <...
2
votes
2
answers
353
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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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3
votes
1
answer
571
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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 ...
