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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15 views

Merging compustat/crsp/ibes data

As a PhD student in finance, I find the topic of merging compustat/crsp/ibes data quite confusing. I have seen multiple approaches, either provided by wrds themselves or by researchers. Moreover, in ...
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63 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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49 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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58 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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94 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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19 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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36 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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40 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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How to download all tickers listed in the Tokyo stock exchange?

I'm trying to download all tickers listed in the Tokyo stock exchange (according to their website, there should be 3,756 tickers in total). What I have tried so far: I have tried the Yahoo-ticker-...
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1answer
98 views

Top 500 Companies in the World – Data

At the basis of an algorithm I need an Excel/CSV file containing the world's top 500 companies (with respect to market cap, preferably free-float if possible) by: Name, Country, Market-Cap (in USD, or ...
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Where to find Caps/Floor historical data?

I'm trying to calibrate the Lognormal Forward Libor Model to market data, in order to calculate market implied volatilities. However, I'm having some troubles finding any Cap/Floor historic price. Not ...
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54 views

Historical data on valuations for internet companies during dot-com bubble

I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
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61 views

ICE futures settlement prices change with zero volume and zero OI

I found that all of the electricity futures prices (on ICE) at a particular hub changed on December 2, even though a) most had zero open interest and zero volume, and b) the quoted prices are EOD ...
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75 views

Download Curve in the past via TIA Bloomberg in Python

I am using TIA package in Python to download an interest rate curve. Using the following script I get the last curve. How do I specify a date in the past to have a curve in the past? ...
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Using AlphaVantage to get Fundamental data from Brazil Stock exchange (or other country than US)

I noticed that I can request Fundamental data from AlphaVantage API but I just managed to get US stocks Fundamental Data (like AAPL, MSFT, IBM and etc) but nothing from others countries, like from ...
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How can I know the distribution of how many shares were bought in specific price?

Given a stock and any time $t$, is there a way to find the distribution $f_t$ $$f_t: \text{price}\ p \rightarrow \text{in current time $t$, how many shares were bought in price $p$}$$ For example, a ...
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181 views

1 Factor Hull And White Swaption Calibration

I'm trying to calibrate a Hull and White model with constant volatility, mean reversion and theta such that the model can reproduce the initial Term Structure. I'm using this python code adapted from &...
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46 views

Accesssing buyers and sellers of futures contracts

I'm attempting to access all futures contracts traded for a given day. Reading the Quandl blog: https://blog.quandl.com/api-for-futures-data to access futures contract use the python code: ...
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List of public US (NYSE, Nasdaq) companies that filed for bankruptcy in the last 10 years

I am working on a Data Science project on bankruptcy prediction. I am looking for a list of listed US companies that filed for bankruptcy in the last 10 years but I am really struggling to find any ...
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2answers
45 views

How to get commodity futures settlement timepoints?

I need to find some easy approach to get the daily settlement times (not the exact milisecond, just the general rule hh:mm) for multiple commodity futures (agriculture, metals, energy) on multiple ...
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1answer
49 views

Getting real-time stock market data in one file

There are lots of services which provide stock market data on ticket-by-ticker basis, so to get the 1-min data for each US stock I will need to perform a few thousand requests each minute. Is there ...
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71 views

Yahoo finance continuous futures historical data

How is Yahoo Finance's continuous futures historical data calculated? Are these front-month numbers?
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1answer
33 views

Futures Historical Tick Size

I understand for some futures contracts, tick size does change from time to time. Does anyone know where to get historical tick size changes?
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38 views

CFTC COT reports

Beginner question. As I understand it (vaguely), the COT report contains information on activities (eg. long/short position held) for specific futures contracts. Take, for instance, COT for 13874A, ...
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Are the correlations of multivariate stock prices preserved when converted to multivariate returns?

If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?
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58 views

Is there an API for retrieving up-to-date intraday 1 minute bar data by Date AND Time ranges?

I'm looking for an API that has an endpoint for fetching 1min bar data by Time in at least a minute of precision as opposed to just by date.
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Real-time stock data/15 mins quotes for US stock exchanges? [duplicate]

I am trying to figure of if there are free sources or inexpensive sources to get this type of data. I see sites using BATS data, but BATS seems to have been bought out by CBOE and doesn't seem to have ...
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How to prepare data for calibration

I want to calibrate different models by minimizing RMSE. When I use data from Schoutens (2003) everything is OK i.e I get reasonable parameters. The problem appears when I try to calibrate models to ...
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Calibration data selection - basic rules

Hey I found following rules for selecting data for calibration (source: "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options" by ...
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2answers
202 views

Interpolation of FX Vol Surface from non-uniform strike vs tenor grid

TL;DR I'm trying to fit a vol surface to market FX options quotes in order to build a local vol model to price with. Unlike listed options that typically have a nice rectangular grid of strikes and ...
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35 views

Using a rolling mean or median to fill missing values

I have some 1-minute bar data. The first datapoint has time t0 and the last one t1. 99.5% of the data between the first timestamp and the last timestamp is there and 0.5% is missing (NaN values). I ...
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1answer
59 views

Working with 1 minute bar returns - do I throw out the first return of the day?

I am doing some academic work and using 1 minute bar data. I am wondering if when calculating the return time series, do I need to throw out the first return of the day because it is the return ...
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37 views

Commodities API data source [duplicate]

I'm trying to get commodity historical information via API. I found this https://www.alphavantage.co/documentation/ which does somewhat provide some data for stocks and others but not commodities and ...
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55 views

How to estimate traded volume at each tick, given the quotes and the volume at the bid and ask?

I have some data which contains Bid and Ask prices as well as the number of units at the Bid and Ask. Since I'm just messing around and I don't have price of a trade, I will use mid price. But what's ...
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216 views

Did AlphaVantage drop the swedish stock exchange?

I have used AlphaVantage in the past to get data for the Stockholm Stock Exchange: I don't remember exactly the symbol I used, but it was something along the line of OMX:ABB or STO:ABB (for, say, ABB)....
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96 views

Options when there's no VolSurf - Emerging/Frontier Markets

Context: Most emerging/frontier markets have no or very thinly traded volatility surfaces for their equity markets (single name and indices alike), furthermore, they usually have restrictions on Short-...
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1answer
82 views

Free or cheap data source for the current European Options prices?

Is there a free or cheap (<15$/month) data source for the current (not historical) for European Options? Something like Yahoo Finance option page, with option chain contract prices. It's ok if it's ...
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51 views

Is one Level 2 data subscription sufficient?

I am subscribed to Level 2 data from a single exchange. There are more exchanges offering Level 2 data subscription. However, with my single subscription I can see ask and bid sizes from all routing ...
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1answer
57 views

aggregate and convert tick-by-tick using fx data

I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
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30 views

Master thesis concerning DAX ETFs

I am currently trying to develop a thesis proposal related to the DAX German index or more precisely DAX ETFs however i am struggling with finding data regarding DAX ETFs, what i wanted to know is, if ...
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24 views

Why would this price data have lots of spikes above the trend line?

I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ...
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242 views

Can I download today's open/close/high/low data for all stocks (in bulk)? [duplicate]

EDIT: Regarding the [duplicate] designation: I carefully checked all the sites listed in the Equities and Equity Indices section of What data sources are available online?. I was not able to find ...
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Does Alpha Vantage provides real-time data for free? [duplicate]

I tried a python script with alpha vantage API. But it was not giving the real-time price for GOOG, though the time was Monday, 11am ET. Does it really provides the data for free. If not, please ...
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63 views

Downloading time series of market caps (Python)

I know that is possible to download the market capitalisation os stocks using the "pandas_datareader" library: data.get_quote_yahoo. However, this command gives me ...
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2answers
96 views

Historical data for global stocks

Where are companies like finnhub.io or finance portals getting their data from? Do they fetch the historical stock quotes from the exchanges directly? If so, the have to collect the data from a lot ...
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1answer
206 views

Converting between Bloomberg exchange codes and MICs

Is there an (open) way to map Bloomberg's 2-letter exchange code to MIC identifiers, e.g. UN to XNYS?
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1answer
68 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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26 views

Close not adjusted for splits and dividends - Interactive Brokers

Interactive brokers allows me to download several historical bar data types. Can somebody tell me, which of the historical data types are not adjusted for splits and dividends or anything else? I ...
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1answer
46 views

round lots in algorithmic trading

In an automated strategy, is one restricted to buying round lots of 100 shares ? If so, 100 shares of google would be on the order of 100K. Is it possible to tell the broker that you don't want to buy ...
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Mutual Fund holdings data

Is there any source where mutual fund full holdings data can be found? I cannot seem to find it anywhere, even paid sources. Some sites will have to 10 or 25 holdings but not full.

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