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.
485
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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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1
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55
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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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0
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52
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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 ...
- 41
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1
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56
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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:
...
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0
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48
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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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107
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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&...
- 559
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80
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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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2
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0
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41
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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 ...
- 41
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98
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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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40
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What happened when market status change from pre-market trading hours to standard trading hours?
Now we can place orders in pre-market trading hours, from 4 am to 9:30 am. And then we go into standard trading hours, 9:30 am to 4:30 pm. But I wonder then when will the Market Order Auction happen?
...
- 123
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Get a list (csv) of All European ADR tickers trading on NASDAQ and NYSE and the symbol of the associated parent tickers? [duplicate]
Does anyone know where I can find this information?
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26
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CBOE Option Sentiment alternative datasource [duplicate]
I am interested in CBOEs Option Sentiment data (https://datashop.cboe.com/option-sentiment)
It contains high level (aggregated) Options data on a daily basis delivered in a csv file. Main Datafields:...
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84
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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 ...
- 7,989
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104
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Is it okay to fetch market data from platform A and trade on platform B? (Forex)
I am currently trading forex on capital.com but since they don't offer tick data I am considering to fetch the tick data from polygon.io and then trade on capital.com.
Though I am wondering if this is ...
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70
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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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130
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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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82
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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
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1
answer
398
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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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872
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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). ...
- 113
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26
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Public dataset of stock open and closes that includes market cap [duplicate]
I want to do some analysis on a CSV dataset of historical stock movements. I found many, like this one.They include the opening and closing price for each stock for each day, which is great, but I ...
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1
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613
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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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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 ...
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52
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Where can you get merges and acquisitions news information systematically as a data feed?
I am trying to locate vendors to get news about news that might lead to a symbol stop trading.
It can be planned merges or acquisitions.
While that information is usually in the news I have not find ...
- 101
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46
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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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80
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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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46
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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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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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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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31
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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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2
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2
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527
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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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416
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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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228
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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
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2
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280
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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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408
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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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1
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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 ...
- 109
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50
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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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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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4
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457
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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 ...
- 109
1
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237
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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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53
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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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289
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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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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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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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2
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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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53
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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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34
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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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1
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84
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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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165
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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 ...
