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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1answer
98 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
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1answer
249 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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0answers
34 views

Options Exchanges vs Equity Exchanges

I appreciate help in understanding difference between Options exchanges and Equities exchanges, and the domain language used. Per The Options Clearing Corporation (OCC), I see they have exchanges ...
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0answers
57 views

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 ...
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2answers
3k views

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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0answers
20 views

Best stock market data streaming API that covers Foreign exchanges, Tadawul (Saudi Arabia) and Dubai Financial Market (UAE)?

I am just getting started with stock markets data streaming APIs. I would like to gain from your experiences with the different APIs out there to help choose the most suitable service provider for me, ...
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0answers
31 views

How to calculate price and volume samples of a multi-product series?

I am reading Marcos de Prado's Advances in Financial Machine Learning. In a section titled "the ETF Trick", he explains how to calculate periodic price and volume samples for a basket of ...
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1answer
148 views

Swap data- couldn't find any

I'm a student and i amm looking for a swaps rates historical data for long tenors in purpose to estimate yield curve (for example in GBP). My question is where could I find it?
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0answers
37 views

Source for Intraday or High-frequency stock price data

I am in search for intraday (some observations per day would be fine) or high-frequency data for stock prices. I have for example 3.000 ISIN numbers of German companies and want to get the intraday/...
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0answers
32 views

Algorithm: from bid-ask data to footprint

I want to write a little program that will display me a footprint in real time Basically I have the following data: ...
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1answer
202 views

BQL Question [New to BQL and programming in general]

I have this BQL query to grab a list of Russell 3000 members and get the firm names. Is there any way I can grab other data with the company names such as industry/sector name, total assets, EPS, etc.....
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3answers
209 views

Top 500 Companies in the World – Data

At the basis of an algorithm, I need an Excel/CSV file containing the world's top 500 companies (with respect to market cap, preferably free-float if possible) by Name, Country, Market-Cap (in USD, or ...
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1answer
60 views

Sources for historical financial ratios?

I wanted to know if there are any sources for historical financial ratios for Indian equities? If yes please share. Thank you.
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2answers
108 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 ...
1
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1answer
86 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 ...
10
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1answer
754 views

What's the most efficient way to store options and time series data for backtesting?

I would like to know what database would you guys use for storing around 500GB-1TB of options and time series tick data. The idea is to use it for backtesting so it would have to be as efficient as ...
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3answers
2k views

Data for the Tulip mania

The Tulip mania is considered to be one of the first recorded examples of a speculative bubble in modern history. Long story short, the newly introduced tulip plant in the United Provinces, combined ...
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0answers
23 views

How to handle negative income tax when calculating EBIT

I am using the formula (Net income + interest expense + tax expense) to get my calculation What happens if the Income tax expense is negative for that year do you still add that negative number or do ...
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0answers
27 views

How to calculate NOPAT if the effective tax rate is 0 or negative

I am trying to calculate NOPAT for L S STARRETT CO. The effive tax rate I calculated for 2020 was -0.09% Operating Income was -5.3 mill. Using the NOPAT formula Operating Profit * (1 - tax rate) I got ...
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2answers
83 views

Determine market and ice-berg order types from live trade and quote data

I have tick and quote live data from Polygon and Interactive Brokers. Looking at the conditions I can't see info on market or iceberg orders: https://polygon.io/docs/...
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0answers
38 views

Delta hedge analysis - volatility rapidly growing

I'm working with a hedge expirement design, where I daily hedge with EGARCH(1,1) forecasted volatilty based on a moving evaluation of the past 126 days. However, I can't seem to understand the profit ...
2
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4answers
319 views

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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0answers
26 views

Perfect in-sample size for out-sampling volatility prediction (EGARCH(1,1)

I have a few questions regarding in-sample size for volatility forecasting in EGARCH(1,1). I'm currently sitting with a dataset consisting of 1387 trading days of the S&P-500 index. I would like ...
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2answers
454 views

How to download historical composition of a Stock Index with monthly prices

for a Quantitative project in Asset Management, I need to obtain for each year -on a long period (20 years) - the different historical constituents and their prices on a monthly basis for a given ...
2
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0answers
29 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 = \...
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2answers
75 views

Deciding (p,q) in garch and model test on empirical data

I'm currently working on a dataset containing data from the 29 January till the 29 July 2009. In the dataset I have prices of the S&P 500 index for all days. Furthermore, I have the implied ...
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0answers
35 views

Realized volatility calculations from real dataset

I am working with a dataset from: http://web.math.ku.dk/~rolf/Svend/ named data 1. I'm currently setting up a delta hedge for periods of 3 months. So currently we are starting at the start data of the ...
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1answer
76 views

How could I identify peers of companies (stocks) at scale?

Context: I'm making a small script to screen through thousands of companies at scale. A feature that I want to include would be relative metrics, e.g. is this company growing faster than its peers, ...
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0answers
26 views

Adjusted close time series: Frequency of historical updates

When working with stock market data for strategy / analysis purposes, I am well aware that I have to distinguish between unadjusted and adjusted prices. I understand that historical adjusted prices ...
0
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1answer
104 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
164 views

Download Curve in the past via TIA Bloomberg in Python

I am using TIA package in Python to download an interest rate curve. Using the following script I get the last curve. How do I specify a date in the past to have a curve in the past? ...
0
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1answer
213 views

Bloomberg python API - intraday tick/bar request for options?

Is it possible to request intraday tick/bar data for a particular option (e.g. AMC 4/30 10c @ $0.91) with the python bloomberg BLPAPI? I've managed to do pull intraday tick data (with ...
3
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1answer
321 views

Data feed that shows individual orders

Does anyone know how I can obtain time and sales data for a stock? Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume. I ...
4
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2answers
2k 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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4answers
1k views

Alternative to Bloomberg Excel Add-In for EOD Stock Prices

Is there a more cost-effective alternative to Bloomberg Excel Add-In? 90% of the time I only use Bloomberg to download security (hundreds of U.S. and international stocks) historical price data. The ...
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0answers
31 views

Commercially redistributable derivative market data source

Is there any derivatives market data source that gives permisson to use this data in a financial model and then sell a product with it? (derivatives valuation for example) I'm looking for a cheap ...
1
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1answer
454 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 ...
16
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9answers
33k views

Data source for historical Share Outstanding totals for individual stocks?

Data is normally adjusted for splits/reverse splits, etc. The current shares outstanding is usually available. Is there a data repository that captures the shares outstanding for any point in the ...
2
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2answers
414 views

What are the proper ways to do order book downsampling?

I have an access to the order book dataset, which was sampled with resolution that is too high for my sandbox experiments with it. Because of that, I was wondering, what would be the correct way to ...
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0answers
20 views

Can an ISIN have a mixed issuance?

In principle, an ISIN is issued by one entity (which can, of course, issue multiple ISINs). However, can an ISIN have a mixed issuance?
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0answers
146 views

Using AlphaVantage to get Fundamental data from Brazil Stock exchange (or other country than US)

I noticed that I can request Fundamental data from AlphaVantage API but I just managed to get US stocks Fundamental Data (like AAPL, MSFT, IBM and etc) but nothing from others countries, like from ...
0
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1answer
32 views

Why do 1min intraday price histories from AlphaVantage have different sample counts?

I've downloaded intraday price histories from alphavantage for a dozen or so symbols, with the same parameters (1 minute interval) for each. Presumably this data represents prices in one minute ...
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0answers
100 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 ...
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0answers
72 views

How to download all tickers listed in the Tokyo stock exchange?

I'm trying to download all tickers listed in the Tokyo stock exchange (according to their website, there should be 3,756 tickers in total). What I have tried so far: I have tried the Yahoo-ticker-...
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0answers
19 views

As reported financial statements historical data [duplicate]

May I request for suggestions on data vendors for historical as reported fundamental data? For example as reported eps, as reported revenue, as reported depreciation and amortization expenses? I tried ...
4
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4answers
12k views

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 ...
2
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3answers
4k 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 ...
96
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8answers
172k views

Where to download list of all common stocks traded on NYSE, NASDAQ and AMEX?

I have a very basic data question: how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX? I would need to be able to get the approximate list of common stocks as is available in ...
2
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0answers
497 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)....
2
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1answer
96 views

US Equity Real-time Market Data Feed Pricing

I'm trying to compare the minimum cost of subscribing to primary sources of real-time market data on NYSE and NASDAQ for last sale and level 1 top-of-book quotes. Use cases are log to files, store ...

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