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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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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-1 votes
1 answer
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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 ...
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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 ...
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1 vote
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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: ...
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1 vote
4 answers
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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 ...
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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 ...
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1 vote
1 answer
60 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 ...
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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 ...
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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 ...
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  • 481
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2 answers
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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 ...
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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, ...
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How to know if I have enough OHLC price data to backtest a trading strategy (short term desired)?

Here's my situation, I have a big dataframe that contains 248 days of OHLC price data set at 1 hour timeframe (i.e. 24 rowsperday * 248 days = 5952 rows). The ...
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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 ...
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0 answers
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Where can I buy raw order by order data of major us exchanges?

I want to buy real time order by order data of major us stock exchanges. I want to analyze them by order size to see if the buyers are primarily retail investors or not. I failed to find this data ...
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0 votes
1 answer
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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 ...
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0 votes
1 answer
40 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 (...
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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 ...
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0 votes
0 answers
40 views

US stock options data with resolution less 1 min

I'm looking for data (with a delay, but ideally with a real-time option) of the prices of options on US stocks with resolution less 1 min (1-5 sec). With a reasonable price for a pet project - I have ...
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0 votes
1 answer
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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 ...
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What is the fastest market data feed provider for US stocks?

I'm a high frequency trader who trades alone, please what is the fastest market data feed i can get for US Stock markets?
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0 votes
1 answer
101 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 ...
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0 answers
29 views

Where to find historical S&P500 earnings estimates?

Looking for historical S&P500 earnings estimates going back to -06 or -96 All I can find is converted to actual earnings data! Thanks in advance
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0 votes
0 answers
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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 ...
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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 ...
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0 votes
1 answer
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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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0 votes
0 answers
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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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0 votes
1 answer
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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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1 vote
1 answer
64 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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4 votes
1 answer
159 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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0 votes
1 answer
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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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Where to find retail trading volume data?

I have plans to work on a paper to study a possible correlation between fluctuations (volatility) in the European and American markets with retail trading activity, either dollar and/or ticket volume. ...
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0 votes
1 answer
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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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1 vote
1 answer
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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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0 votes
2 answers
102 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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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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0 answers
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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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2 votes
0 answers
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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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0 votes
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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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0 votes
0 answers
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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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0 votes
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63 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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0 votes
0 answers
47 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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11 votes
1 answer
980 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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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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0 votes
0 answers
60 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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0 votes
2 answers
143 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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