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

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
27 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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0answers
15 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
29 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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1answer
43 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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1answer
31 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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11 views

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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1answer
173 views

Anyone need a daily Ticker to CIK mapping?

Since I've seen several "Ticker (symbol) to CIK" mapping questions over the years, thought I'd put this out here. I had a need to map this myself for another project. I finally have a baseline that ...
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1answer
73 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
121 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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27 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
127 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
40 views

Option symbology with reuters DSWS

I am trying to systematically extract option data at a certain date based on the underlying. Input: interchangeably ISIN/RIC/Mnemonic Output: list of underlying symbols, preferably mnemonics. I am ...
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2answers
295 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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5answers
25k views

Where to get price data on Credit Default Swaps?

I trust market-driven CDS more than credit ratings. Where can one get the CDS of corporate bonds of major companies? Are there any good internet links? If charts on the historical end-of-day prices ...
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6answers
13k views

Historical Level 2 Data (Market Depth)

I'm currently looking to hone a system using market depth however I am looking for a good source of historical level 2 data. As of right now the best source of historical I have found is automated ...
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0answers
23 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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0answers
36 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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44 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
59 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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0answers
441 views

Historical Data - Level II with Time and Sales Data [duplicate]

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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1answer
593 views

Interpreting description of a particular (momentum-based) data processing technique

I'm attempting to prepare data in the same manner as section 2 of this paper. I'm finding it a bit of a struggle. Could someone check (/improve upon) my interpretation regarding the 2 sections I have ...
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13answers
87k views

Where to get long time historical intraday data?

I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&...
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1answer
395 views

historical data on orders and executions

I've implemented a simple trading system that gets orders with FIX, manage them in limit order books, calculate relative prices and, execute order book, runs multiple sessions (auctions and normal) by ...
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0answers
18 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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0answers
43 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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1answer
217 views

Non-contractual accounts behavioural study

I need to carry a non-contractual accounts behavoiural study for a bank. The objective is to estimate core/non core ratios and then bucket and ftp them. Any recipe where to start? I have 3yrs of ...
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2answers
689 views

Calculation of dividend yield from index returns

For a research project, I need to find or calculate dividend yield for all the index of major countries in the world (e.g: s&p500,DAX,CAC40 and so on), and I am struggling a bit with it. I cannot ...
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0answers
14 views

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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3answers
2k views

Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution?

Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution ? I would be happy to buy them but everywhere prices starts from 1k $ (minimum value of order), 2016 alone would be ...
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2answers
986 views

Using AlphaVantage For Japan/Shanghai/Hong Kong/Shenzhen stock exchange data?

Can I use AlphaVantage to pull data from Asian stock markets? I've been able to do it for others such as the London stock exchange, India stock exchange, Australian stock exchange etc. but haven't got ...
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1answer
432 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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2answers
61 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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3answers
106 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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0answers
31 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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1answer
167 views

Where can I get some Inflation Option example quotes (year-on-year and zero-coupon)

I am writing an academic paper on calibration of inflation vanilla options. I need to generate examples for the paper. Is there anywhere I can get example data for the Inflation year-on-year options, ...
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0answers
20 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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43 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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1answer
504 views

Bloomberg Ticker mapping with Reuters RIC

I am trying to map Bloomberg ticker into Reuters one. For example this one: EDZ3C 96.625 COMDT Few years ago aforementioned BBG ticker would be mapped to Reuters ...
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0answers
30 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
81 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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2answers
65 views

Historical quotes / prices of multiasset options

I am working on Lévy copulas, and I would like to try calibrating such techniques on real data. Where can I find quotes for multi-asset options? It could be exchange options or any other type of ...
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0answers
28 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
62 views

TeaFile discrete logic - how to write [closed]

I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file. Let's take this example: ...
2
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1answer
33 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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1answer
141 views

1 minute data: Japan, Australia and India stocks

Where I can find 1 minute historical market data for Japan, Australia and India stocks markets?
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3answers
11k views

Where can I download intraday series for DAX and S&P500 Index?

Where can I download intraday tick data for DAX and S&P500 index prices? I found only daily closing prices.
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0answers
259 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 ...
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2answers
1k views

what data sources are useful for obtaining financial statement data of listed companies NYSE and NASDAQ?

Exactly, I need balance sheet, income statement, cash flow statement, stock market, bankruptcy situation, fraud situation and corporate governance data of companies in USA. Thanks beforehand,
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1answer
114 views

OHLC prices after filtering

Assume we have minute-bars of OHLC stock prices. Then, applying Kalman filter to those prices separately, we can remove a measurement noise and obtain the estimates of the states of the price ...

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