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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109
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7
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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 ...
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59
votes
14
answers
168k
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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&...
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38
votes
11
answers
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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 ...
- 521
31
votes
9
answers
39k
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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.
...
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24
votes
1
answer
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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 ...
- 355
23
votes
20
answers
26k
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Is "eoddata" a good data source?
Not sure if this is a relevant question for site, but I am looking to move to www.eoddata.com as my data source.
If anyone has used it, can you tell me how the data quality is ?
I am currently ...
- 1,553
20
votes
6
answers
22k
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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 ...
- 301
19
votes
2
answers
4k
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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 ...
- 751
18
votes
1
answer
14k
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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 ...
- 283
17
votes
9
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14k
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Has spectrum analysis ever been used successfully to analyse historical price data?
Spectrum analysis is often used to analyse waveforms. A common configuration, for example, is to create a graph where X is time, Y is frequency, and the brightness of each position represents ...
- 303
16
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9
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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 ...
16
votes
3
answers
6k
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Free market data (delayed or snapshot)
I know there are similar questions but I don't think there are any identical ones.
Basically, I'm looking for one of these two things.
Delayed market data feed. A tick by tick feed, but delayed by ...
- 261
14
votes
3
answers
2k
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Literature on generating synthetic time series for testing
I have some market data (daily time series) for bond prices and CDS indices and I would like to generate synthetic versions of these which are statistically "similar" for testing trading strategies. ...
- 241
14
votes
6
answers
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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 ...
- 1,381
13
votes
3
answers
2k
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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 ...
- 1,527
13
votes
1
answer
2k
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Where can I find data on the interbank lending market?
Where can I find disaggregated interbank lending data (i.e. bank A lends to bank B x money at y rate)? I could only find data on interest rates.
I would accept LIBOR market data as well as any ...
- 562
12
votes
7
answers
4k
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Which data sources are available for cryptocurrencies?
I am primarily looking for price and market cap histories for cryptocurrencies like Bitcoin, Ethereum, zcash, ...
What are some good data sources and APIs where I can download history as well as get ...
- 486
12
votes
1
answer
2k
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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 ...
- 223
12
votes
3
answers
2k
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Why isn't all market data free?
I am hoping any answers can be threaded somewhere between "don't be naive" and starting a quasi-political flame.
Transparency is suppose to be good for markets and also a social good. The market ...
11
votes
5
answers
17k
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Quick way to check what 'tape' a stock belongs to?
For the SIP feeds, there is the CTA and the UTP plan and they cover Tapes A,B and Tape C respectively. Is there an easy way to check on google what tape a stock would belong to? Particularly when it ...
- 1,347
11
votes
2
answers
3k
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Why don't data sources use ISIN instead of symbol?
I've been messing around with stock data off and on for a year or two and just recently found out about the ISIN. Up until I found some data from Siblis Research, none of the other data sources used ...
- 111
10
votes
3
answers
4k
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Algorithm to detect the aggressor side of a trade
Most of the exchanges provide aggressor side property of trades (e.g. Tag=5797 AggressorSide on CME) in their raw data. But many data providers do not provide this information via their datafeed API's....
- 1,022
10
votes
4
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Where can someone get free (or very cheap) high frequency tick forex data?
I am currently working on a large data set (approx 80 million data points over 10 years). I would like another set of data that has one currency in common. Eg, I have EUR/USD and would like USD/CNY or ...
- 215
10
votes
2
answers
2k
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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 ...
- 165
10
votes
2
answers
11k
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API for after and pre market data
Is there an API or APIs similar to the Yahoo! or Quandl APIs, that give the same access to pre and after market data? I know I can scrape the Nasdaq or Yahoo! Finance sites to get a pre/after market ...
- 203
10
votes
2
answers
2k
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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 ...
- 383
10
votes
4
answers
374
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When did volatilities start to smile in capital markets?
Glimpsing through literature, I read that volatilities in the equity market started to display a smile after the crash in 1987. But when did volatilities start to smile in capital markets?
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9
votes
2
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3k
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Without Bloomberg, how can retail investors know how many shares have been shorted daily?
Many friends can't afford a Bloomberg terminal, particularly when the pandemic has unemployed some of them. This answer can't assist them. How else can amateur investors determine the number of ...
user31928
9
votes
2
answers
8k
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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 ...
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9
votes
4
answers
991
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Efficient Markets Paradox
Basically all Quant Finance theory is build on No-Arbitrage presumption and Efficient Markets Hypothesis.
The known Grossman-Stiglitz Paradox says: if one can't make money from trading, one wouldn't ...
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9
votes
4
answers
458
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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 ...
- 91
9
votes
2
answers
14k
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Market Data Sources Bloomberg Vs Reuter
In my project, we have two version of systems. One version is for derivative trades and other version is for bond trades.For derivatives we get the market data from Reuters and for Bonds we are ...
- 191
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votes
2
answers
3k
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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 ...
- 191
9
votes
2
answers
525
views
Where can you find data on non-trading stocks?
My data source for end of day prices only gives the prices of the trades during the day. If a stock stops trading/goes out/moves to another exchange|changes symbol. I never hear about this.
My ...
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9
votes
2
answers
10k
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Getting ETF data from google finance
I hope this is on-topic. I want to set-up a set of investment rules and back-test it on a mix of asset-classes. Thus I thought that using ETFs for the back-test would be a good idea (time series could ...
- 13.7k
8
votes
3
answers
1k
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How to account for jumps in intraday data when calculating beta?
I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling
\begin{equation}
Y = \beta * X + c
\end{equation}
where $Y$ is the return of XLF ...
- 1,553
8
votes
1
answer
3k
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When does the Epps effect start?
Wikipedia defines the Epps effect as follows:
In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns ...
- 2,915
8
votes
2
answers
1k
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How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated?
How can one determine approximately what percentage of options trades are buyer-initiated vs. seller-initiated? What measures of order flow are available specifically for options, preferably for ...
user322
8
votes
3
answers
543
views
What is an acceptable error on implied volatility?
Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ?
This obviously depends on the model used to ...
- 545
7
votes
4
answers
43k
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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 ...
- 1,037
7
votes
6
answers
2k
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What sources would you recommend for Real Time Market Data other than Bloomberg/Reuters?
I am dealing with a strategy that is not high-frequency based.
The strategy consumes normalized data from Bloomberg and Reuters.
For US equity market, can someone recommend some real-time data ...
7
votes
2
answers
358
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What close price to assume for thinly traded stocks?
If a thinly traded stock has not traded for the last few days (volume=0), is it better to use the last known trade price (i.e. roll over last non-missing trade price) or use last known bid/ask/...
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7
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1
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Can anyone give me a practical example of pricing and calculating IV on equity index options? (i.e. using real market data)
I have been trading (mostly equity and equity index) options for a while now and I want to apply a slightly more quantitative approach to my trading - specifically, by calculating IV and incorporating ...
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7
votes
1
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1k
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Historical Hedge Fund Index Data
Can anyone point me to some Hedge Fund index data - daily levels of the HFRX or something similar, that is available for free and has history back to 2007? The data available through my broker seems ...
- 165
7
votes
3
answers
5k
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Equity short Interest data source
I'm looking for short interest data (those disclosed on 15 days basis to FINRA)
As far as I know FINRA publishes only OTC data (http://otce.finra.org/ESI).
Nasdaq.com contains only nasdaq traded ...
- 201
6
votes
2
answers
4k
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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 ...
- 61
6
votes
1
answer
3k
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What are the known flaws and limitations of OptionMetrics data?
Several researchers are skeptical about the database quality, but their argumentation is somewhat unclear to me.
For instance, Constantinides, Jackwerth and Perrakis (2008) (link):
[...] we were ...
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6
votes
3
answers
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What is the correct / expected behavior for a market order sent to an empty book?
Should it stick around until liquidity shows up? (GTC)
Should it cancel any size for which there is no liquidity? (IOC)
Is there such a thing as Market GTC or Market Orders must always be IOC?
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6
votes
1
answer
474
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What are some quantitative method behind etf vs cash arbitrage?
Has there been any studies done on the correlation between etf vs cash (i.e. GLD vs GD) for example and how they should theoretically move together, and what fundamental reasons could cause them to ...
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6
votes
5
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3k
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CAC40 components historical data
I'm looking for historical data of the CAC40 components.
I looked at these previously asked questions:
What data sources are available online?
Finding historical data for indices
as well as Yahoo ...
- 63