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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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1answer
78 views

How to deal with missing value in a time series stock market data?

I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia). After collection, I have arranged data in a single sheet with ...
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1answer
118 views

Limit and Market Order for training a ML model

Goal : Using deep learning to build a ML model which would predict the right places where a stock price will increase, decrease or stay stable. For the current question, assume the labels are well ...
2
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1answer
1k views

Did Google Finance API Go Away or Just Change Signature? [closed]

I have been using Google finance for many months to pull intraday and daily data. Today I tried to use it and got redirected. For example, the following URIs returned text data that could be parsed: ...
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0answers
16 views

How to determine incorporated funds from the CFI

I am making a model for the acquisition of financial instruments, and it is sometimes important (for legal or tax reasons) to be able to determine whether an investment fund is incorporated (SICAV or ...
2
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1answer
78 views

Is an ISIN unique per company (or what else is)?

Example: Tencent Holdings Ltd. KYG875721634 (Hongkong) in HKD US88032Q1094 (OTC) in USD An important factor of my stock picking is the market capitalization. Both listings have a similar (but not ...
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0answers
13 views

Where can I find a comprehensive list of Stock Ticker Symbols indexed by Company URLs? [closed]

I am looking for a downloadable table (or service) that enables the lookup of a Stock Ticker Symbol by the main Company URL (web address). It should cover equities listed on major world exchanges ...
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3answers
120 views

What are the impacts of the discontinuation of benchmark Interest Rates?

I was wondering what the impacts of Interest Rates benchmarks (LIBOR/EURIBOR) discontinuation might be on the Quants side ? Do you know if there are articles/discussions providing an analysis grid of ...
5
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1answer
92 views

OpenGamma's Strata - Computational Overhead

I've been looking at the open-source library Strata (maintained by OpenGamma), which is written in Java. Now, upon inspection of the FX Forward Pricer and Payment Pricer I noticed two things: All ...
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0answers
61 views

How to construct a volatility surface?

Can someone please help me understand how I need to construct a volatility surface? I have prices of a set of interest rate swaps with different terms and at the money options with different expiries....
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2answers
131 views

Seeking papers that deal with stock market analysis

I am sure there are a lot of papers that are related to stock market analysis.. but I haven't been able to find ones that fit my needs most. I want to read papers, replicate their analysis, and use ...
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0answers
36 views
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1answer
54 views

Subset selection to identify independent variables that impact the market?

Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...
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0answers
28 views

Intraday option price data European stocks and indices

I am looking for intraday option price data for stocks and indices listed on European markets (SX5E, SMI, DAX, etc). Ideally, I would like to get files as clean as those provided by ivolatility for US ...
2
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2answers
112 views

Does using adjusted closing prices constitute a lookahead bias?

One of my machine learning project involves the use of adjusted close prices (from Yahoo Finance, for better or worse) to determine the label – if a stock's adjusted close price increases by more than ...
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0answers
24 views

Exchange Feeds: where can I find the average messages per second?

I am looking to find the above for different exchanges (NYSE, EUREX, CME) any idea how to get this info? For FX I assume I will need to aggregate different LP? thanks
0
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1answer
43 views

How to download only amex and nyse data from CRSP?

I am a beginner and I have a very elementary question, but I don't know where to find the answer! I am downloading the CRSP monthly stock files for 20 years. I ...
0
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1answer
153 views

Historical Data - Level II with Time and Sales Data

I'd like to get historical data for level II (Time, BidPrice, BidSize, AskPrice, AskSize) and Time & Sales (Time, Price, Size) data (with timestamp indeed) for machine learning purposes. I want ...
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0answers
42 views

how to obtain longer than ~650 ticks of historical data on Google Finance?

I was looking to obtain historical US equities closing price data, with 30 minutes frequency and up to as many historical values as possible on Google Finance. But it seems like if I try to go for ~...
0
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1answer
49 views

dividend paid on FTSE100 time series data

I need dividend paid on FTSE100 for last 10 years. I want to calculate the dividend-price ratio for FTSE100 as a time series data. I would really appreciate if anybody can give me a clue about finding ...
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0answers
79 views

Bloomberg Event Driven Feeds

Anyone using Bloomberg's Event Driven Feeds and can confirm the pricing and technical interface? I assume this is not attached to the Bloomberg Terminal product?
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0answers
26 views

Bond data: finding a suitable outlier detection method

Me and my team has recently bought access to market data for sovereign bonds from Latin America countries. We are interested in finding a suitable outlier detection method to detect eventual errors in ...
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0answers
46 views

Understanding Dividend Payout on Yahoo Finance

Let's use TLT as an example, which pays out dividends on the first day of the month. Question 1: From the screenshot of TLT below (taken on March 1 2018), can you tell whether the dividend has been ...
1
vote
1answer
368 views

Real-time limit order book data of desired depth

Is it possible to get real-time NASDAQ limit order book data feed somewhere? I would need a stream of the limit order book data, preferably something similar to: Along with the respective events ...
1
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1answer
308 views

Linear interpolation Discount factors

I am not sure how to perform a linear interpolation between discount fators for swap quotes. Lets say I have the following market quotes: ...
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0answers
28 views

WRDS CRSP sql schema documentation

I'm accessing WRDS CRSP directly in python using raw_sql. Using ...
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0answers
96 views

AAA BAA UK corporate bond data?

I have seen lots of examples of US data on corporate bonds. However, I was wondering if there was a UK equivalent of the Moodys AAA, BAA spread.
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1answer
73 views

Where can I find historical data for Europe listed ETFs?

I'm currently working on building a portfolio optimization tool for European ETFs such as: (SYMBOL/ISIN/description) IQQF / IE00B0M63730 / iShares MSCI AC Far East ex-Japan UCITS ETF EXW1 / ...
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1answer
68 views

Information available to traders

I am not a trader myself but am trying to educate myself about trading. I notice that in most articles and videos about technical trading, an illustrative graph is displayed showing the latest price ...
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1answer
70 views

Can any tell me how the VIX spike in Feb 2018, might have been caused my manipulation of $SPX options or VX Futures? [closed]

Looking for ways to back track evidence of manipulation in the trading or SPX options, ES Futures, or VX Futures to cause the spike that destroyed the vol ETFs (XIV, and SVXY), and caused small ...
0
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1answer
110 views

(Self studying) Finding data on Bloomberg

I apologize for asking this very simple question, but I was reading through this chart for the first time, and I would like to know where on Bloomberg can I find data like these, since I have to price ...
3
votes
2answers
212 views

Why don't data sources use ISIN instead of symbol?

I've been messing around with stock data off and on for a year or two and just recently found out about the ISIN. Up until I found some data from Siblis Research, none of the other data sources used ...
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0answers
53 views

shortsqueeze.com

Does anyone have experience subscribing to shortsqueeze.com, and if so, how would you rate it? I sent a couple emails to their support, but haven't even gotten back a response and it's been about a ...
0
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1answer
38 views

How Market Exchange and Vendor entitlements/permission works?

I would like to know how market data entitlement and permissions works at Vendor level and exchange level? if our firm receive Realtime data from Vendor or directly from exchange.. What permissions ...
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0answers
32 views

Transform 24hr cumulative volume to sampled periods

I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price. The time is the time at which the data was received from the exchange, price is the last price ...
1
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2answers
65 views

What is the convention for option tickers on S&P 500 and VIX?

Can you please explain what are all possible versions of S&P 500 option tickers and VIX option tickers? My options historical data is from 2006 to 2013 and I can see something like VIXAB, VIXAC, ....
2
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1answer
137 views

Daily S&P500 close in JSON?

Does anyone know of a publicly available dataset for S&P500 index published daily in json format? Took a look at quandl but nothing for free. Google searches bring back a whole host of unhelpful ...
4
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2answers
237 views

Create One's Own Daily OHLC data

Given that it's possible to download hourly bars, usually with a UTC timestamp, from most brokers, it then becomes possible to create one's own daily bars. I am thinking of doing this and would like ...
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0answers
190 views

What to use to store order book [duplicate]

I would like to know optimal way to store order book from cryptocurrency exchanges. For get order book from cryptocurrency exchanges, I use https://github.com/ccxt/ccxt but what to use to store order ...
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0answers
12 views

What is the best data range for calculating Risk Premiums for Market, Size and Value?

In French's website where he posts data, his data goes back to 1926. http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html In Fama French's paper "The equity risk premium" they ...
5
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1answer
83 views

Is the Fama-French website data free of the serious selection bias pre-1962 where it's tilted toward big historically successful firms?

Fama and French use data starting in 1963 in both 1) "Common risk factors in the returns on stocks and bonds" (1993) and 2) "The cross-section of expected stock returns" (1992) and mention in (2) ...
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0answers
48 views

FTSE 350 sector index historical data

Does anyone know where I can find (at least 10 years worth of) end of day historical (op, hi, lo, cl) data for the FTSE 350 Sector Indices?. I need the data for ...
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0answers
62 views

Market data in terms of candles

I am new to trading and I am trying to analyze data from Python. All the API I found give OHLC candlestick data such as: ...
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0answers
100 views

List of US Industry sector ETFs that map to ICB classification

I am in the prcess of carrying out intra-and intra sector analysis of US stocks, and am proxing sectors with sector ETFs. I therefore, need to catalog the list of US sector ETFs - but have been unable ...
0
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0answers
28 views

Data sets - Inter-dealer order flow for OTC products

I am working on my final year dissertation and am looking for any data sets that include interdealer order flow for OTC products such as Government bonds and FX derivatives. Any help would be greatly ...
8
votes
2answers
691 views

Data for the Tulip mania

The Tulip mania is considered to be one of the first recorded examples of a speculative bubble in modern history. Long story short, the newly introduced tulip plant in the United Provinces, combined ...
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0answers
202 views

Cap/Floor ATM Rate

This is a question on cap volatility market data. The quotes usually include volatilities for different strike (1%, 2%, ... 5%) and maturities (1Y,2Y,...20Y). One volatility for each combination of ...
1
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1answer
249 views

Close and Adjusted Close in Interactive Brokers API and Yahoo Finance

On Interactive Broker's TWS API manual, there are several historical data types to choose from. Which IB TWS data type's Close value corresponds to Close Adjusted ...
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0answers
68 views

Is there a mathematical way of showing the slowing down of economic markets?

I'm currently taking a introductory mathematical finance course in university and recently on the news (BBC, etc), it states that the economic markets are shown to be slowing down for the next few ...
8
votes
2answers
410 views

Implying risk-free rates using Put/Call parity

I recently purchased SPX options data from the CBOE. Normally, if the data is OK and the Put-Call parity holds, one should expect to correctly imply ZC (Zero Coupon bond) prices and forwards by ...
2
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1answer
171 views

SPX options data from the CBOE data shop

I would like to explore some listed options trade ideas on the SPX (and maybe later on its components too), and naturally I would need historical data to backtest those ideas. In my quest for a ...