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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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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 &...
Kai's user avatar
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0 answers
47 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 ...
Wick's user avatar
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65 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 ...
RickRiederFan's user avatar
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0 answers
22 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 ...
Raul Guarini Riva's user avatar
1 vote
1 answer
62 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 ...
Jonny's user avatar
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1 vote
3 answers
204 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 ...
XY0's user avatar
  • 117
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77 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 ...
Xerium's user avatar
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0 answers
61 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 ...
John Duffy's user avatar
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52 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: <...
reknirt's user avatar
  • 131
1 vote
0 answers
79 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,...
Hercules' Creed's user avatar
4 votes
2 answers
709 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 ...
BeefJerky's user avatar
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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 ...
Xerium's user avatar
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1 vote
1 answer
54 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 ...
gr8694's user avatar
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2 answers
127 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-...
shoonya's user avatar
  • 141
-1 votes
2 answers
140 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 ...
Daniel Lobo's user avatar
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2 answers
118 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: ...
Bruce Ecurb's user avatar
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0 answers
74 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 ...
p.luck's user avatar
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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.
Dave's user avatar
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169 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&...
KaiSqDist's user avatar
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1 vote
1 answer
115 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 ...
kpeteL's user avatar
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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 ...
Daniel Lobo's user avatar
0 votes
1 answer
115 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 ...
Valentin 's user avatar
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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? ...
Parting's user avatar
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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?
falsely_accused2000's user avatar
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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:...
Stan's user avatar
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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 ...
Daneel Olivaw's user avatar
1 vote
1 answer
118 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 ...
Cool_Coder's user avatar
1 vote
1 answer
149 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 ...
jackRoark's user avatar
-1 votes
1 answer
89 views

Why some stocks not traded today? [closed]

I try to download market daily data after US markets close. I found that the stocks in the following list have no data today. ...
Xaree Lee's user avatar
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2 votes
1 answer
568 views

Intraday Historical Data: CME S&P 500 E-Mini Futures [duplicate]

Where can you find ESZ22 (CME S&P 500 E-Mini Futures) prices going back multiple years? Ideally, I'm looking for bars every hour or more. The same for CBOE VIX Futures.
user66857's user avatar
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). ...
yemy's user avatar
  • 113
2 votes
1 answer
926 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 ...
rugobal's user avatar
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1 vote
0 answers
52 views

Annual returns on sin stocks

Fabozzi, Ma and Oliphant (2008) have this very nice comparison between the return on the overall stock market and the return on sin stocks across multiple countries. They have done this for the period ...
phdstudent's user avatar
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0 votes
1 answer
61 views

Two specific questions about CAPM's assumptions and implications

I have two questions about the CAPM model: the first is theoretical while the second is related to observed market data. First question: let's say we have company A and company B and we want to ...
Andrei's user avatar
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1 vote
0 answers
94 views

Calibration period

I want to calibrate some model to market data. This could fx be Bates, Kou, Black-Scholes, etc. So, for each model we have a set of parameters which need to be estimated through calibration. Now, my ...
CasMath's user avatar
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0 votes
0 answers
58 views

Formula to convert Bloomber ticker to ISIN, RIC or Factset ticker [duplicate]

I want to convert Bloomberg tickers (for equities) that to either of ISIN, CUSIP, RIC, Datastream code or Factset Ticker. I don't have access to Bloomberg but say if I just want to convert Bloomberg ...
financialgeek's user avatar
0 votes
0 answers
19 views

Free data source for options IV and volatility data (US, UK, EUR Equities preferable)? [duplicate]

Where can I get free options implied volatility and realized volatility data? I used to use Quandl, but they were acquired by NASDAQ and now offer this data under a premium paywall. For reference, I ...
GPUMan's user avatar
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0 votes
0 answers
26 views

FX Long/Short Positions datasource [duplicate]

I was wondering if there is any free resources where I can see/ download total FX long/short positions (size or at least number of contracts) in the market currently?
Udb 's user avatar
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0 votes
0 answers
33 views

Equities: API or Python Historical Fundamental Data Source [duplicate]

All of my API sources have gone down/gone premium/don't provide sufficient data. Does anyone know any sources (paid or free) where I can extract extensive income statements, balance sheets, etc. for ...
Luke's user avatar
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1 vote
2 answers
694 views

Are there open source or academic-only limit order book data sets available?

I am looking for limit order book data for an academic paper that has a snapshot for every change in the orderbook (1st five levels are fine, but more is better) or can be built from ITCH files. Any ...
crogg01's user avatar
  • 113
3 votes
2 answers
516 views

Python: detecting measured moves of candlestick data

Goal: I'm looking to see if it's possible to programatically detect "measured moves" on candlestick data. The price data I am using is successfully retrieved from the TD Ameritrade platform ...
p.luck's user avatar
  • 131
1 vote
0 answers
278 views

Getting list of all tickers ever in NYSE and NASDAQ

Is it possible to obtain a list of all of the stock tickers that have ever been used in both NYSE and NASDAQ? I have tried searching the web and might have a potential solution with Mathematica's <...
Physics Penguin's user avatar
2 votes
2 answers
329 views

Historical data for quantitative research and trading?

I am interested in global equity 1min/5min/15min/1hour trade-bar data to research micro-market anomalies and trade on them. For that, I need a good historical data vendor, as well as a data vendor ...
ITOM97's user avatar
  • 21
3 votes
1 answer
525 views

API for Commodities Stock markets

I would like to have a clear picture about lithium investments all over the World. I like this website where I can see all companies related to lithium on the Australian Market. The website also ...
Francesco Mantovani's user avatar
-1 votes
1 answer
82 views

Can NumPy calculate the % change the way it is shown in multiple instrument charts?

I have closing prices for multiple equities in NumPy arrays (or a pandas timeseries DataFrame). I like to calculate the % change numbers for the closing prices in the DataFrame the way it is shown in ...
Allan Xu's user avatar
  • 109
0 votes
0 answers
54 views

Historical end of day price data for non US stocks

I'm looking for historical end of day price data for non US-stocks. Preferably as bulk download for analysis, but an API would do also. Specific markets of interest: China Japan Major European ...
Xlrv's user avatar
  • 101
1 vote
0 answers
876 views

Can 2 unique Instruments have the same ISIN?

I always thought that 1 ISIN uniquely identifies 1 financial instrument. However, I have come across cases, where the same ISIN is used for a stock and a bond: ...
Phil-ZXX's user avatar
  • 1,042
1 vote
5 answers
607 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 ...
Allan Xu's user avatar
  • 109
1 vote
1 answer
289 views

Exchange vs Order-Driven vs Quote -Driven

I have never understood the implications of a quote or order-driven market. When I look up securities on google in a way to see their prices, is that price the price of the exchange? the price of a ...
Mining's user avatar
  • 165
1 vote
0 answers
58 views

Downloaded data is quote-driven or order-driven?

I downloaded data from Refinitiv Datastream (But I think that you get the same data from Bloomberg) to write my thesis. I downloaded prices and volumes. I have a crucial question now: Are the prices ...
Mining's user avatar
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