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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API to query ME, BE/ME, P/E etc. accounting data per stock symbol

We don't have access to: Bloomberg Thomson Reuters CRSP COMPUSTAT And we are trying to replicate FF-1992, so we can have stocks returns via yahoo finance, like: http://investexcel.net/multiple-...
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153 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 ...
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126 views

ITCH feed, price executed at different to original order?

I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for 100@105.2 on the Ask. Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
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466 views

Where to get historical IV rank & IV percentile data?

I thought my broker (Interactive Brokers) was offering this but looks like what they actually supply is IV / with historical realized volatility. I also checked Quandl but as this is not data for ...
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2answers
82 views

Locked/crossed prices in US equities

I'm trying to build a consolidated LOB from several direct feeds. However, there are many instances in which for a given stock, the bid price in one venue equals or crosses the ask price in a ...
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225 views

FIX engine for very low latency

We are building a new system where latency is key. Either commercial or opensource, our goal is to have an easy to implement fix engine where low latency is key.