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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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109 votes
7 answers

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 ...
Samo's user avatar
  • 1,091
59 votes
14 answers

Where to get long time historical intraday data?

I am looking for long time historical intraday day data on the S&P500 composite for a time horizon like 10 years with a - for example 10-minutes tick - or prices for call/put options on the S&...
user190080's user avatar
38 votes
11 answers

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 ...
Datageek's user avatar
  • 521
14 votes
6 answers

Earnings and valuation data sources online

Are there any free/cheap sources for historical data on company earnings and valuations? I can get historical price data from Google and Yahoo, and it looks like I can get about five years of ...
Zach's user avatar
  • 1,381
4 votes
1 answer

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 ...
Robert DeVita's user avatar
31 votes
9 answers

What is the best data structure/implementation for representing a time series?

I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series. ...
dizzy's user avatar
  • 571
20 votes
6 answers

Historical Level 2 Data (Market Depth)

I'm currently looking to hone a system using market depth however I am looking for a good source of historical level 2 data. As of right now the best source of historical I have found is automated ...
Dylan's user avatar
  • 301
19 votes
2 answers

Do you have historical tick data you want to donate?

Do you have historical market/pricing ticket data that you would like to donate to the Open Source Trader project (OST)?? Please: upload your files! Once we gather some data, we'll do our best to ...
jordan.baucke's user avatar
10 votes
2 answers

Implying risk-free rates using Put/Call parity

I recently purchased SPX options data from the CBOE. Normally, if the data is OK and the Put-Call parity holds, one should expect to correctly imply ZC (Zero Coupon bond) prices and forwards by ...
BS.'s user avatar
  • 165
9 votes
2 answers

Difference between google finance and yahoo finance?

I am wondering about the huge differences of the data provider google finance and yahoo finance. I am interested in the monthly data from adidas listed on xetra. In google: ETR:ADS and in yahoo ...
Ivanov's user avatar
  • 93
5 votes
2 answers

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 ...
StackG's user avatar
  • 3,036
18 votes
1 answer

What is the best live options data API?

What is the best/cheapest service to get real-time (as real-time as you can get) on stock options? I'm looking for the fastest update on the ENTIRE market, with a few stocks prioritized, so I need ...
David Menard's user avatar
16 votes
9 answers

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 ...
Rage With The Machine's user avatar
12 votes
1 answer

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 ...
edd's user avatar
  • 223
10 votes
2 answers

Mass Market Data Source

My current project requires large amounts of historical and real-time market data (1m or 5m bars for various products, mostly US futures for as far back as available). This data will be analyzed by ...
Matt Bell's user avatar
  • 383
9 votes
2 answers

Which algorithm should I look into to kick off my research in algorithmic trading? [closed]

I have recently undertaken a research into automated algorithmic trading algorithms. The aim of the research is to focus on studying algorithmic trading and trying to improve a basic implementation ...
k9ty's user avatar
  • 191
5 votes
1 answer

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 ...
Richi Wa's user avatar
  • 13.7k
5 votes
2 answers

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 ...
Matterhorn's user avatar
5 votes
4 answers

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 but the problem is ...
TimWalter's user avatar
4 votes
3 answers

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 ...
Arne's user avatar
  • 133
4 votes
3 answers

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 ...
g_puffo's user avatar
  • 415
4 votes
4 answers

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 ...
Ray's user avatar
  • 503
3 votes
1 answer

Options when there's no VolSurf - Emerging/Frontier Markets

Context: Most emerging/frontier markets have no or very thinly traded volatility surfaces for their equity markets (single name and indices alike), furthermore, they usually have restrictions on Short-...
Mercadian's user avatar
3 votes
2 answers

asian option – exotic option – real data, authentic examples?

I would be pleased if any of You can give me the real example of an asian option (or other exotic option) that is being traded or that is offered by some institution. I have been searching the whole ...
pablo's user avatar
  • 31
2 votes
1 answer

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 ...
Sergei Rodionov's user avatar
2 votes
2 answers

Which proxies to user for investor sentiment and industry performance, and where to find the data?

I came up with the idea of dealing with investor's sentiment effect in stock market in my thesis. I would like to know which proxies you would suggest to use as sentiment index and from which source ...
Jay92's user avatar
  • 53
2 votes
2 answers

Correct Alphabet (Google) market cap calculation?

Given the definition: ...
Bondifrench's user avatar
2 votes
1 answer

Derivation (or proof) of commonly used formula showing relationship between time and smoothing factor in exponential smoothing

I am using simple exponential smoothing on historical market prices. There is a commonly held view (among market practitioners), that there is a simple relation between the period over which the data ...
Homunculus Reticulli's user avatar
2 votes
1 answer

Why were Fama/French Momentum Factors discontinued in 2016?

Is there a reason or some reference somewhere why the Fama/French Momentum Factors (WML) were discontinued at June 30, 2016, see e.g. here:
vonjd's user avatar
  • 27.5k
1 vote
1 answer

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 ...
jackRoark's user avatar
1 vote
2 answers

Converting between Bloomberg exchange codes and MICs

Is there an (open) way to map Bloomberg's 2-letter exchange code to MIC identifiers, e.g. UN to XNYS?
michaelkovarik's user avatar
1 vote
2 answers

Can I download today's open/close/high/low data for all stocks (in bulk)? [duplicate]

EDIT: Regarding the [duplicate] designation: I carefully checked all the sites listed in the Equities and Equity Indices section of What data sources are available online?. I was not able to find ...
kjo's user avatar
  • 111
1 vote
1 answer

ICE futures settlement prices change with zero volume and zero OI

I found that all of the electricity futures prices (on ICE) at a particular hub changed on December 2, even though a) most had zero open interest and zero volume, and b) the quoted prices are EOD ...
CasusBelli's user avatar
0 votes
1 answer

How do I value a private company's market cap?

How can I estimate a private company's market cap? What records do I need to consider and how would I go about it?
samantha's user avatar
0 votes
1 answer

Finding historical data for indices [duplicate]

Where can I find historical data for option prices on a given index ? Ideally I'd like to find for a period of several months 1) historical prices on options on a given index 2) historical prices on ...
lezebulon's user avatar
  • 185