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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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 ...
Peaches's user avatar
  • 61
5 votes
3 answers
4k 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 ...
kcaJ's user avatar
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5 votes
0 answers
102 views

Anyone know if this daily report discontinue to publish? Goldman Sachs - "Global Index Volatility and Correlation Monitor"

I used to receive this daily report in my workplace from Goldman Sachs mailing list but the mailing list discontinued in May 2019 without any notice. The report is an pdf attachment which send from "...
lofi303's user avatar
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4 votes
0 answers
3k views

How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
Ava Barbilla's user avatar
3 votes
0 answers
89 views

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 ...
Daneel Olivaw's user avatar
3 votes
0 answers
140 views

Why is limit price order been executed with a worse price?

recently I was trying to analysis the message data from NASDAQ ITCH data, but I find a problem with a type of message called "Executed With Price Message". For example, first there is an Add Order ...
duke yue's user avatar
3 votes
0 answers
110 views

Electricity Prices: Change of measure in practice

I'm working on a model of electricity prices. I have empirical data $X(t)$ and managed to find a reasonable fit given by a Levy process $\hat{X}(t)$. I understand in theory what a risk-neutral ...
Paula's user avatar
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3 votes
0 answers
109 views

Charting order depth over time periods

I do a lot of analysis on order flow, tape reading, as it gives insight into what market participants want, or may be willing to do. In comparison, price charts show what happened, and technical ...
CQM's user avatar
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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 ...
paulkmoore's user avatar
2 votes
0 answers
81 views

Empircal data analysis delta hedge error of Black-Scholes by Mark Davis

Regarding Mark Davis derivation of the delta-hedging error occuring in the black-scholes as a result of difference in realized volatility and implied volatily. The formula reads as follows: $$ Z_t = \...
Sebastian Strauss Hansen's user avatar
2 votes
0 answers
713 views

Yahoo finance continuous futures historical data

How is Yahoo Finance's continuous futures historical data calculated? Are these front-month numbers?
Kok Wooi Hew's user avatar
2 votes
0 answers
1k views

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)....
danabb's user avatar
  • 21
2 votes
0 answers
114 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 ...
Homunculus Reticulli's user avatar
2 votes
0 answers
81 views

Is there any research available on profile of the market participants in different markets?

I know markets are by large anonymous, is there any current research or data sources publicly available across different exchanges and/or investment instruments on the profiles of their investors? I ...
Kimmo Hintikka's user avatar
2 votes
0 answers
1k views

Free Data Source for Credit Spreads?

Credit spreads are a key economic indicator. They are the difference between yields on corporate and government debt. They are a measure of confidence in the private sector, they provide insight into ...
DVCITIS's user avatar
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2 votes
0 answers
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How does a Broker-Dealer lend shares to other Broker-Dealers?

Is it possible to find out how a OTC Broker-Dealer in thinly-traded equities lends shares for short-sales to other Broker-Dealers. Which platform or process is involved?
Peter Arnolds's user avatar
2 votes
0 answers
177 views

Get list of all stocks ever listed on NASDAQ

I'm looking to compile a list of all stocks/symbols ever listed on the NASDAQ, not just the currently listed stocks. Alternatively, a list of all delisted stocks would also suffice. Preferably, I'm ...
bberak's user avatar
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2 votes
0 answers
361 views

Data source for a corporate bond yield curve?

Yield curves are a valuable tool for economic analysis. It is particularly interesting to analyse the difference between Government Debt yields and Corporate Debt yields (credit spreads). This gives ...
DVCITIS's user avatar
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2 votes
0 answers
3k views

How can I use Thomson Reuters Eikon to get a list of large historical companies?

I am trying to use Thomson Reuters Eikon to get a list of historically large companies, for example, what were the 1000 largest companies by market capitalization in 1990? I would like to get lists of ...
user219959's user avatar
2 votes
0 answers
333 views

is there a limit on how many times i can access fxcm xml feed

i'm writing an python application that uses fxcm's xml feed. here is the link http://rates.fxcm.com/RatesXML does anyone know if there are limits on how many times you can access this data? right now ...
jti107's user avatar
  • 21
2 votes
0 answers
215 views

Finding relative price strength as defined in CANSLIM stock picking methodology

I am wondering if there is any website that provides relative price strength as is defined in CAN SLIM stock picking methodology. For the CAN SLIM difinition I am looking at this article: http://www....
TJ1's user avatar
  • 121
2 votes
0 answers
168 views

Is there a general format for various sources of futures market-data?

I am developing a market-data engine that receives market-data from different futures exchanges. So I need a general format to deal with sources from different exchanges. Protocols like FIX only ...
WiSaGaN's user avatar
  • 123
2 votes
1 answer
157 views

Where to find Investment home bias data & Historical country weight in World MSCI

I need the following data and struggles to find it, maybe some of you can help me. Note: I'm a student and in our university ain't Bloomberg nor Reuters. Investment home bias, e.g in 2012 US ...
michael's user avatar
  • 257
1 vote
0 answers
74 views

Where can I get historical intraday pre/post market data for indices?

I've done a lot of research and can't find any place that allows me to export this data. I know ProRealTime has it, but can't export the data. I've read some threads about people web scraping the data,...
Hercules' Creed's user avatar
1 vote
0 answers
52 views

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 ...
phdstudent's user avatar
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1 vote
0 answers
89 views

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 ...
CasMath's user avatar
  • 59
1 vote
0 answers
272 views

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 <...
Physics Penguin's user avatar
1 vote
0 answers
818 views

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: ...
Phil-ZXX's user avatar
  • 1,022
1 vote
0 answers
56 views

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 ...
Mining's user avatar
  • 165
1 vote
1 answer
195 views

The best approach for screening ATH values for equities

I am trying to automate the trading strategy that I have been previously executing manually. I am having problems with figuring out the most efficient way for a specific step of the strategy. An ...
matrix1000's user avatar
1 vote
0 answers
39 views

Whitespace in Option Symbols

A while ago exchange-traded option symbols migrated to a 21-character descriptor, formalized by the Options Clearing Corporation (OCC), consisting of: 7 characters: root or underlying symbol 6 ...
Sergei Rodionov's user avatar
1 vote
0 answers
72 views

Historical data on valuations for internet companies during dot-com bubble

I am looking for data on historical valuations for internet companies during the years of the dot-com bubble (2000 - 2002). I know that big auditors have or at least have access to such data on ...
vonjd's user avatar
  • 27.4k
1 vote
0 answers
1k views

1 Factor Hull And White Swaption Calibration

I'm trying to calibrate a Hull and White model with constant volatility, mean reversion and theta such that the model can reproduce the initial Term Structure. I'm using this python code adapted from &...
Hilbert's user avatar
  • 63
1 vote
0 answers
481 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 ...
Matteo's user avatar
  • 63
1 vote
0 answers
56 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 ...
develarist's user avatar
  • 3,000
1 vote
0 answers
18 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 ...
Open the way's user avatar
1 vote
0 answers
48 views

What variables are used for the Institutional Activity Index (IAI)?

I've been looking for various ways to get more information about institutional trade action. Although weekly COT report is available, it's already outdated by 1 week at the time the report come out ...
not2qubit's user avatar
  • 215
1 vote
0 answers
123 views

Using news to predict Stock Prices dataset

In order to build Regression or Deep Learning models for predicting the market, we need a bunch of historical data. Prices and technical indicators are easily accessible, but getting news from the ...
GiorgosMaragkopoulos's user avatar
1 vote
0 answers
42 views

Finding historical sector p/e ratio averages

I'm making an algorithm that takes p/e ratio into account. To do this, I need to give it perspective of the entire sector's p/e ratio. Is there a source of historical sector wide p/e ratio averages? ...
Anthony's user avatar
  • 11
1 vote
2 answers
212 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 ...
sdeval's user avatar
  • 19
1 vote
0 answers
412 views

Is there a way to pull SPX index option open interest daily data?

Currently I just use Bloomberg API in Excel for preliminary data analysis and manipulation, and I have one function call that gives me the ticker and IV today ...
boondogle's user avatar
1 vote
0 answers
36 views

What are industry-standard terms for MBIS "situational bid"?

In the data feed from Municipal Bond Information Services there is a field called "situational bid", which is defined in their reference as "Bids on a security that is being offered for sale." If I ...
enharmonic's user avatar
1 vote
0 answers
74 views

How to make use of sector index returns data to analyze the overall stock market index

I have a set of indices returns data, namely, ...
JungleDiff's user avatar
1 vote
0 answers
46 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 ...
Mustard Tiger's user avatar
1 vote
0 answers
385 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 ...
Homunculus Reticulli's user avatar
1 vote
0 answers
93 views

Missing sequence numbers in TAQ Quote data

I am looking at NYSE sample TAQ Quote data for Apple stock (link at the bottom of the post) and I have noticed large discontinuities in the data intervals. For example, these two are two succesive ...
ragoragino's user avatar
1 vote
0 answers
47 views

How can we track historical valuations of factor portfolios in emerging markets (in terms of P/B or P/E e.g.)?

We can analyze factor investment approaches (momentum, low vol, quality, dividend, ...) for example by looking at the corresponding MSCI indices. Doing so we can read of today's valuations (P/E, ...
Richi Wa's user avatar
  • 13.7k
1 vote
0 answers
103 views

How can I discover dark pool orders in an order book?

I'm learning order flow. I would like to differentiate between aggregated dark pool volume and aggregated algo trading volume. Is there a way to tell orders coming from a dark pool from algo orders?
Ron Steckly's user avatar
1 vote
0 answers
44 views

Feedback on Video Metadata Extraction

I've developed/patented a metadata extraction methodology, which we've used to build a variety of alternative datasets for funds. One of the more difficult issues in this field, is getting useful ...
J. Garcia's user avatar
1 vote
0 answers
31 views

Sample data of quarterly (annualized) real GDP growth

I am looking for a database that provides me the quarterly (annualized) real GDP growth (quarter t and t-1) of US, Germany and England. For the US data i went here: https://www.philadelphiafed.org/...
cassius's user avatar
  • 247