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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25 views

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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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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Would betting on network node traffic or behaviour be considered illegal in the US?

While taking this intro Coursera class https://www.coursera.org/learn/financial-markets-global. There was a student which asked the professor if anyone can start an exchange and whether it would be ...
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36 views

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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34 views

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
104 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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31 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
55 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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36 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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49 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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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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91 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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74 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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49 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
44 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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26 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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22 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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120 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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18 views

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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41 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
83 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
90 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
64 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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19 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
44 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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33 views

Stock IPO date data

I would like to get the date a company was founded and the date it went public for all US stocks listed on major exchanges (NYSE, NASDAQ). I thought this data would be very basic and easy to find, ...
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2answers
144 views

How to make a trading universe of liquid futures contracts

I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being ...
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313 views

How to get a Daily Market Cap using Python

I'm looking for a way of getting free historical daily market caps ? I can get todays Market cap from yahoo but need old market caps also.. thanks for the help. ps: I don't have Bloomberg and school ...
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1answer
79 views

Balance Sheet and income statement inconsistency across tickers

I assumed the SEC filings for balance sheet or income statement should follow a standard format across companies. If that is the case, why is some important fields absent for certain companies? For ...
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2answers
314 views

How could Renaissance Technologies have near real-time prices on corporate bonds and other debt? [closed]

Julie Segal, What Renaissance Technologies has that you don't..., Institutional Investor, October 17, 2017. Does this just mean they are aggregating data from vendors like MarketAxess? Or is ...
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1answer
39 views

Historical energy market data for European power Futures and Options?

I have been trying hard to find some historical futures and options electricity data for EEX offerings. I need the data for a model I am writing, however I have not found any free resources so far. It ...
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46 views

How to tell if Level I volume is net bid or ask side?

Ordinary stock data not only consists of closing prices, but also gross volume traded in the security by end-of-day. It is always reported in absolute terms even though there could have been more ...
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131 views

Download historical MSCI/GICS Sector Index data

Similar to Where do I get historic performance data of the MSCI World Growth/Value index, I'm looking for historical data for the MSCI Sector Indexes (Energy, Material, Industrials, Financials and so ...
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1answer
69 views

How to deal with unreliable data sources?

I'm building a little system for myself that helps me make trade decisions, essentially downloading daily OHLC prices for a few hundred stocks once a day, running various sizes of crossing averages on ...
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42 views

PCAP Data: Knowing which CME trading instruments are contained within a packet

I'm looking for a way to determine which network packets contain certain trading products within PCAP data so I can extract their payloads. The plan is to plot the price of a chosen instrument over a ...
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57 views

Is Morningstar data reliable?

Wondering if Morningstar financial statement data reliable? For example it doesn't have the Balance Sheet statement for BHP, while Marketwatch has it. Same for Renault SA the Balance Sheet is ...
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Database with revenue information for USA companies

I am going to start a project with an US company. I do not really trust them. I want to know if they are a "real" company. In some European countries you can consult some (often paid) databases and ...
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1answer
46 views

TS Database performance issue

I've just found out about this forum while searching for answers for an InfluxDB performance "issue". I'm using it to store financial tick data (7 fields per row), query it and process it into candles....
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1answer
440 views

Why is the treasury yield on Yahoo finance different from that on U.S. Department of Treasury?

The 13 Week Treasury Yield on Yahoo Finance is ...
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46 views

How many decimal places are allowed in declared dividend per share?

Are there any specifications or constraints on how many significant digits can be used in declaring a dividend? (USD, U.S. listed stocks) (Normally I see them expressed to hundredths of a cent, but ...
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30 views

How to calculate technical indicator using tick data cross the night?

The tick data shortly before the close in yesterday have different statistics and charasterices compared to the tick data shortly after the open in today. Then, how I calculate the indicators using ...
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24 views

Individual Credit Risk Data - Probability of Default

Given the current coronavirus-induced financial crisis and the possibility that it evolves in an economical crisis trough Companies (See: Credit Is the Scariest Market to Watch, Not the Dow or S&P)...
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3answers
119 views

Where to get the stock universe?

Is there any way to reliably get a full list of symbols (in whatever format), for multiple exchanges (e.g. NYSE, NASDAQ, LSE, JPX, HKEX and so on). Additional info (like sector, or symbols of listed ...
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86 views

How can I download NYSE market capitalization by using Data Stream?

I am downloading the monthly New York Stock Exchange (NYSE), AMEX and NASDAQ's market capitalization between 31/12/1991 and 31/12/2019 on DataStream. Firstly, I tried to use both 'NYSE composite' and ...
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33 views

What is the difference between quotes and candles?

Actually I have a software development task to develop a little web app that could analyze some liquid stocks quotes considering OHLC values. So I'm researching some OpenAPI where I have found a ...
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1answer
121 views

Orderbook db structure

I am currently saving a sub 1 sec snapshot of an orderbook to my SQL db. However I have quite the trouble on figuring out the architecture of this DB What I'm currently doing is saving a table with ...
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29 views

Yearly Performance of US Mutual Funds

Does anyone if there is a dataset, possibly free, that has data on the historical performance of US mutual funds? It would be fantastic if it also includes their fee structure also. Thanks!
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1answer
38 views

Discrepancy in stock volume values for different intervals for the same day on Yahoo Finance

everyone. Probably, someone else before me noticed that peculiar behaviour but I have not found any thread with a relevant title. Anyway, here is the case. I have attached a screenshot which displays ...

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