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.
494
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With there being such a high demand for electronic trading or just trading in general why are market hours so limited?
I am curious why a lot of market hours are something like 9 to 3 or 9 to 4 pm when there is such demand and so many prop shops and more out there. I know certain markets are continuous trading but a ...
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Alternatives to Zipline backtester / Alternatives to futures data from Quandl
I intend to set up a fully automated system for trading equities and futures. As preparation for this project, I worked through a couple of books on the topic, e.g., "Trading Evolved" by ...
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6
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855
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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 ...
- 1,022
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votes
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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 ...
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Opensource marketdata reference data for retail market
I'm not sure if this is the correct place to post this - but here goes:
I have been working on a project for the last few years, during which I have come up with a set of components with the ...
- 1,398
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3
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Real-time Tick Data API for the Italian Stock Market
I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should provide data through ...
- 161
6
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325
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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 ...
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6
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4
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Where to find historical stock news and other events?
So, I am working on a strategy that has pin-pointed some very interesting events in the form of extremely low volatility. The phenomena spans the past few years and a wide variety of symbols. Now, to ...
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2
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Interpolation of FX Vol Surface from non-uniform strike vs tenor grid
TL;DR
I'm trying to fit a vol surface to market FX options quotes in order to build a local vol model to price with. Unlike listed options that typically have a nice rectangular grid of strikes and ...
- 3,016
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957
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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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How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?
For a research project, I would like to work with some intraday asset prices. I have already successfully exported the corresponding data at daily frequency, using the Excel API, but somehow this ...
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Market data for options
Looking for recommendations on places to get market data for options. I'm looking at NYSE and NASDAQ only.
My current solution is my broker, Tradeking. I can request realtime data for 700 option ...
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6k
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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 ...
- 636
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4
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Using ISIN to identify stock at yahoo finance
I'm collecting stock data for private analysis.
I found a very excessive list of stock at
https://www.xetra.com/xetra-de/instrumente/alle-handelbaren-instrumente/boersefrankfurt
but the problem is ...
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Source for real-time tick data (stock price, etc.) updated every second?
For educational purposes, I'm looking for a source for now's real-time tick data for stock prices, or FOREX, etc., with a 1 second precision.
Is there such free data feed?
If not, could such data be ...
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List of TSX stocks with their sector and industry
Is there a website that offers free download or API where I can get an up-to-date list of all securities listed on the TSX along with their sector/industry? I could scrape individual screens for each ...
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Availability of TotalView-ITCH data
I am looking for a cheap (< $500) NASDAQ TotalView-ITCH real-time streaming data feed.
Are there any cheap and (relatively) good market vendors out there that offer this? It seems as if the ...
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comparing total returns from various data vendors
I need to use various data sources to cover all of my data, and I am concerned by the discrepancies in total returns. Data vendors were helpful, but their simple documentation did not help resolve why ...
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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 ...
- 2,159
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658
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What are "Autoquotes"?
I'm reading a 2008 JoFMarkets paper by Shkilko et al. with title "Locked and crossed markets on NASDAQ and the NYSE" in which the authors investigate the determinants of locked and crossed markets. ...
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Attribution of unusual persistence in noncompetitive TAQ quotes levels?
I am looking at one day of AAPL quotes (3 Dec 2012) from TAQ to examine quote-based high frequency vol estimators. However, I found that a number of exchanges, when quoting noncompetitively, seem to ...
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Sources of index data (MSCI, FTSE, S&P etc.)?
Who are the major suppliers of index data that cover multiple index providers, e.g. MSCI, FTSE, S&P etc?
There are a huge number of people sourcing e.g. equity data, but index data is much harder ...
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What are the most effective market variables to measure liquidity/illiquidity in the market?
I'm trying to find/create a variable that measures liquidity in financial markets in order to assess, for instance whether credit conditions tightened? Does anyone know any relevant literature ...
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Open source equity/bond index data
I have been using the tseries package of R (get.hist.quote) to get historical quotes for various indices from yahoo finance. I am interested in DAX, VDAX, EB.REXX ...
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FIX binary decoder
Not sure if this is the right question board for this -
It sounds like CME is switching their MDP platform from FAST to Simple Binary Encoding and it will be going to production soon. Does anybody ...
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573
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Where can I find European and Scandinavian convertible bond prices?
I'd like to expand on the Data Sources Online question. I found this site for a German convertible bond, all free and not requiring a sign-up.
Börse Stuttgart
German Google
I am looking for similar ...
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4k
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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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102
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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 "...
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Do markets typically fall fast, and rise slowly
I'm wondering if there is some measurement or name to this notion, i.e.:
Markets typically fall fast, but rise slowly.
It seems like this is the case -- get some bad news out of Europe on the debt ...
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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 ...
- 1,018
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Seasonal patterns in financial markets (weekday effects)
What seasonal patterns are there in financial markets? Is my feeling "true" that Mondays are more volatile than e.g. Tuesdays (as information gathered during the weekend can only be turned into an ...
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674
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Highest resolution of stock data?
Out of curiosity, I'm wondering what the highest resolution of stock data there is out there. Is there stock trading data for every nanosecond, picosecond, or even lower? And how is this limit ...
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How reliable is data from CSI Market?
I am finishing up a reference guide for my graduate students on key financial ratios. Would like to include S&P 500 current metrics in my guide. But need to know how reliable is this company CSI ...
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838
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Latency and Delays across Exchanges
I have recently come across this paper by Battalio et al. "Can Brokers Have it all? On the Relation between Make Take Fees & Limit Order Execution Quality" and realized how little I know about the ...
- 415
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810
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Transaction Data with Participant ID
For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders ...
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How to structure a stock market data database
I would like to download stock market data from the internet (for example by scraping…) and organize them in a database (I am using python and SQL) which updates daily or on request.
(The idea is to ...
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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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1
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656
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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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252
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What's the best way to determine if trade was buyer (seller) initiated, having access to bid/ask/last quotes?
In this question, suggestions on algorithms from Lee and Ready and Pan and Poteshman address ways to determine trade side without access to bid/ask quotes.
The streaming data I have access to yields ...
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2k
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Candlesticks: timestamp on open versus close
It seems there is not a universal rule on how should the timestamps of candlestick data be set. I have the impression that using a timestamp on open is more common (i.e.: a 1-Minute candle with a ...
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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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List competitors for a given stock?
Where can I find a reasonably-priced or free API, database or CSV which contains a list of competitors for a given stock symbol?
For example, I want to find competitors for various symbols, like GOOG,...
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Where to get MSCI World Index constituents (+ weights)
Where can I download
The MSCI World index constituents and their weights (daily update)
The current prices of the constituents plus three years of EOD (or weekly) history
Corporate actions of the ...
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1
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140
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Where to find E-mini S&P options price data or chart?
ES futures price data is easy to find, e.g. on Yahoo finance or with a free NinjaTrader demo account. I'm looking for the same for options on that futures contract.
The best I could find is the ...
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Do Regional Central Banks have API's?
Do Regional Central Banks such as the Federal Reserve and ECB have API's to access their Statistics? I've been searching all day and haven't been able to find them. They seem to provide most of their ...
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715
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Executions deep in the Limit Order Book?
I have some Level III (message level) data for equities and I have found several cases in which I register the execution of a Limit Order at a price "worse" than the best bid or ask.
For example, ...
- 415
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1
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236
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Portfolio optimization with changing portfolio constituents
Say I have time series data for $N$ assets, where for the longest existing asset I have data from $t_0=0$ to $T$, but for several other assets I only have data from say $t_0+k$ to $t_0+l$ for some $0&...
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I am looking for a list of all companies worldwide with their annual revenue
I am trying to find a list of all publicly traded companies worldwide along with their annual revenue. I can get the list of stock symbols but is there a way to get their annual revenue without ...
4
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1
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417
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What is the benefit of having proximity to the Bloomberg datacenter?
I own and operate a datacenter adjacent to Bloombergs Datacenter in Orangeburg NY. We have had a couple of trading firms come to us due to our proximity to Bloomberg to receive "data" from them ...
4
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1
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240
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What are some options to execute ML algos against with live data using C#, F# or Python for a retail trader?
I'm a retail algorithmic trader. I've written some algorithms that parse intraday movements and make decisions. I still execute trades manually but eventually I need the ability to execute trades on ...
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