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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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0 votes
2 answers
137 views

From OHCLV dataset to Tick Chart

We are all familiar with time-based candlestick charts, such as 1 Minut, 15 Minuts, 1 Hour and so on. The dataset is more or less something similar: ...
1 vote
2 answers
216 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 ...
0 votes
0 answers
28 views

Calculating FX Forwards Using Spot Prices and Discount Factors for Exotic Currency Pairs

We need to value FX forwards for some exotic currency pairs using a third-party system that does not provide the forward rates. The system can provide spot prices. Is it correct (real) to calculate ...
1 vote
1 answer
74 views

Structure of market for equity swaps (breakable vs non-breakable)

In the following answer to a question on breakable total return swaps , the answerer writes that: As a general rule you will find that dealer-to-dealer trades are locked and customer-to-dealer trades ...
1 vote
3 answers
222 views

Interpreting tick by tick stock data

I downloaded data regarding the YUM stock traded on the New York Stock Exchange in the year 2014. Basically in this dataset, we have 4 columns: the first column is the day the second column is the ...
0 votes
2 answers
129 views

Latency (market updates) and link to market efficiency

In the book by Lehalle and laruelle - "market microstructure in practice" - "The trading activity of HFT updates limit orderbooks at a higher rate than the round trip for any non-...
0 votes
0 answers
541 views

Historical component changes of EURO STOXX 50 index

I would like to download the historical component changes of EURO STOXX 50 index to conduct an academic research. That is, I would like to know the historical changes to the composition of these ...
0 votes
0 answers
33 views

Where to get 13F data in excel format?

I am trying to do a project and analyse 13F data from some most followed fund managers or individuals (e.g. Michael Burry). However, I couldn't find anywhere where I can get the data in a properly &...
1 vote
5 answers
633 views

Looking for options to visualize large market timeseries data

I have a large dataset that includes my strategy back-test run data. The dataset columns include candle date, close price and many strategy related data. I’ve built a Mathplotlib visualization for my ...
0 votes
0 answers
63 views

Is EODDATA.com down? Are they still in business?

Does anyone have information on eoddata.com? I have been trying to access data for several days without success. I usually receive a download every evening. I have sent multiple support messages with ...
0 votes
0 answers
53 views

Index reliability/source for yahoo finance

I had a small question regarding the reliability of the data on Yahoo Finance, I know that this source is full of flaws but it has the enormous advantage of being free. I had a question regarding the ...
-1 votes
2 answers
146 views

General conventions in Futures prices for commodity

When I look into different Futures quotes of commodities in CME, all of them are based on Expiry month e.g. Dec-2024 etc. However on the other hand, for fixed income e.g. Swaps, Swaption etc rates are ...
1 vote
1 answer
203 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 ...
6 votes
1 answer
325 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 ...
38 votes
11 answers
136k views

Mapping symbols between tickers, Reuters RICs and Bloomberg tickers

Is there any known solution (preferably open source) to map between ticker symbols, Reuters and Bloomberg symbols. For example: Ticker: AAPL Reuters: AAPL.O (may be prefixed with RSF.ANY. dependent ...
25 votes
1 answer
45k views

Difference between the two Bloomberg codes

Bloomberg always have two codes for the same instruments. For example, for Apple, Bloomberg has AAPL US and AAPL UW. I am wondering what is the difference between these two codes? As far as I can ...
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 ...
1 vote
2 answers
2k views

Is there a API to obtain real-time forex data in seconds?

I wanted to get sell, buy and recent trades of a currency in intervals of seconds but was only able to find APIs which offer a minimum interval of one minute (I checked Polygon and Alpha Advantage). ...
0 votes
0 answers
77 views

Test Formula for Cross-Currency Basis by Using S, F and Rates. What Rates to Use?

I am trying to recreate the charts on slide 6 on the below. Basically "test" the formula for the cross-currency basis for EURUSD. I am using as target EUXOQQ1 BGN Crncy, which is the ESTRON ...
7 votes
4 answers
43k 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 ...
0 votes
0 answers
25 views

How to download the record of firms included in the SP100 index?

I need to download a dataset that describes the constituents of the SP100 index over time. I have an account on WRDS and hence I can get the constituents of the SP500 fairly easily, but it seems that ...
2 votes
1 answer
376 views

Why are Yahoo's "Adj closed" data changing over time?

I downloaded MSFT historical data from Yahoo Finance a year ago and re-downloaded it today again. I turns our the two datasets are different. E.g., today I got Adj Close of MSFT for ...
1 vote
1 answer
69 views

One timestamp snapshot of Level 2 LOB NASDAQ 100 companies

I am in academia, doing some research for which I would need Level 2 LOB data for the companies in NASDAQ-100 at one given timestamp, I just need one snapshot for the 101 companies in NASDAQ-100. Do ...
0 votes
0 answers
119 views

FREE historical limit order book tick data with decent depth

This is for academic purposes. I am trying to find tick data with depth and type of order execution, i.e. MO, LO, cancellation etc. for equities and or indices like SPY that is FREE. It does not have ...
1 vote
1 answer
270 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 [email protected] on the Ask. Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
0 votes
0 answers
60 views

Plotting net delta of calls and puts

I'm plotting the Net Delta of calls and puts for a given ticker symbol and a user specified range of expiration dates. Net Delta is calculated for each option contract using the following formula: <...
1 vote
0 answers
80 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,...
4 votes
2 answers
740 views

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 ...
0 votes
0 answers
48 views

Where can I get free FX options chain data [duplicate]

Basically title. Can either be through an API or easily downloadable as a CSV file. Every source I find either have options chain data but not for FX, has historical FX data but not an actual chain ...
1 vote
1 answer
59 views

Where to look for data on bonds? [duplicate]

Greetings I am looking for data on bonds. When I go into Yahoo Finance and I type in F for Ford it does not bring up anything about bonds just like that other website(firna) it goes straight to stock ...
0 votes
0 answers
79 views

Backtesting: choosing the "sample split" between in-sample and out-of-sample data

Aims: Given approximately 11 years of historical time-series data, to determine how much of this data should be reserved for in-sample and ...
3 votes
1 answer
414 views

Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x in the section ...
0 votes
0 answers
19 views

Is there a source which would provide today's market close data like open high low close for a given stock list? [duplicate]

I am looking for a way to download a table of the bid, ask, open, high, low, close, change, 52-wk high, 52-wk low and P/E at market close for a given list of stocks in either .xls or .csv format.
2 votes
3 answers
134 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 ...
0 votes
0 answers
185 views

Intraday Data Frequency for Bid and Ask Prices vs Trade Prices

When performing the following BDH query for a particular stock: =BDH("AT0000652011 ISIN","LAST_PRICE","1/3/2023 0:00:00AM","1/9/2023 0:00:00AM","BarTp=B&...
1 vote
1 answer
125 views

How is Open Interest calculated?

(More specifically on crypto exchanges) If traderA opens 1 long and traderB closes 1 long, thus delta Open Interest is 0. Then what if traderA opens 1 long, and traderB opens 1 short, is delta Open ...
2 votes
0 answers
42 views

CDS data for different industries/rating? [duplicate]

I have come across below CDS data (index values) based on different Rating, Industries, and Regions, I am wondering where can I get more complete data i.e. such ...
2 votes
2 answers
199 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 ...
0 votes
1 answer
116 views

For a university project I need the historical number of outstanding shares for all companies currently in the S&P 500

Up until now I have been using the yahoo finance api which provides lots of data already that I can use for my analysis. Unfortunately I need the historical number of outstanding shares for multiple ...
0 votes
0 answers
42 views

What happened when market status change from pre-market trading hours to standard trading hours?

Now we can place orders in pre-market trading hours, from 4 am to 9:30 am. And then we go into standard trading hours, 9:30 am to 4:30 pm. But I wonder then when will the Market Order Auction happen? ...
3 votes
1 answer
986 views

Getting incorrect options data with IB API. Missing real time market data subscription?

I'm having a problem getting options data with IB's API. The data seems not to be correct. In my code I'm getting some 0DTE call options for the Mini SP500 March Futures contract and printing their ...
0 votes
0 answers
19 views

Get a list (csv) of All European ADR tickers trading on NASDAQ and NYSE and the symbol of the associated parent tickers? [duplicate]

Does anyone know where I can find this information?
4 votes
5 answers
5k 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 ...
0 votes
0 answers
27 views

CBOE Option Sentiment alternative datasource [duplicate]

I am interested in CBOEs Option Sentiment data (https://datashop.cboe.com/option-sentiment) It contains high level (aggregated) Options data on a daily basis delivered in a csv file. Main Datafields:...
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 ...
2 votes
1 answer
433 views

Where can I find a guide to implement the FAST protocol from scratch having already a FIX implementation ready?

I need to implement a FAST engine from scratch without using any open source or commercial FAST implementations. The FAST spec does not help much so I am not sure from where to start. Have anyone done ...
6 votes
2 answers
4k 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 vote
1 answer
122 views

API for stock price data for commercial re-distribution? [duplicate]

(I know there are existing questions on this topic, but none seem to be for commercial re-distribution use, so please keep this question active.) It seems there are many websites offering API for ...
1 vote
1 answer
152 views

Backtesting on one exchange, while trading on another?

I've been trading crypto futures on Phemex as it is one of the only few exchanges where I can do that from a U.S. IP address. I have always kept an up-to-date local database with OHLC/kline data from ...
9 votes
4 answers
460 views

Is there data on market participants at a particular moment?

I am looking for data on market participants at a particular moment (or some proxy/approximation). For example, how can I tell whether mostly big players and HFTs are dominating the market in ...

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