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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2answers
226 views

Live trading strategies developed on daily data

This is a very simple perhaps naive question. Let's say I have a stock price prediction model trained on daily closing prices of that stock. So when I use this model for live trading, I'll have ...
2
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1answer
316 views

Is there an API that can return the current market cap of a publicly-traded company?

I am trying to find an API which will return the current market cap of US stocks for a financial data visualization project, and I haven't had much luck finding anything. Preferably, I'd like to have ...
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1answer
82 views

Aggregating quotes data for different time frames

I need to aggregate data for a higher time frame. I have data for 1 min time frame as follows ...
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20answers
24k views

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 ...
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1answer
104 views

SPX options strike bracket

By what rule does the CBOE determine the available strikes for puts and calls on the SPX? The contract specification (http://www.cboe.com/products/stock-index-options-spx-rut-msci-ftse/s-p-500-index-...
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1answer
317 views

How to simulate market data and test strategies?

I am trying to implement my own exchange with simulated data and test some strategies on such data. What would be the best way to go about modelling the data that supports live interaction ( limit/...
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0answers
27 views

Finding historical sector p/e ratio averages

I'm making an algorithm that takes p/e ratio into account. To do this, I need to give it perspective of the entire sector's p/e ratio. Is there a source of historical sector wide p/e ratio averages? ...
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2answers
675 views

Create One's Own Daily OHLC data

Given that it's possible to download hourly bars, usually with a UTC timestamp, from most brokers, it then becomes possible to create one's own daily bars. I am thinking of doing this and would like ...
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1answer
70 views

CDOs before the 2007 crisis

I read that before the financial crisis of 2007 the CDOs were so complex that investors could not analyze them. Were they just complex, or was there no public information about what they contained? ...
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1answer
10k views

Where to get MSCI World Index constituents (+ weights)

Where can I download The MSCI World index constituents and their weights (daily update) The current prices of the constituents plus three years of EOD (or weekly) history Corporate actions of the ...
2
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1answer
679 views

Extreme Negative Gamma

I see Zero Hedge, talk about extreme negative gamma position of dealers all the time which it then ties back to market moves. I was wondering how do you calculate such market positioning based on ...
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0answers
95 views

Anyone know if this daily report discontinue to publish? Goldman Sachs - "Global Index Volatility and Correlation Monitor"

I used to receive this daily report in my workplace from Goldman Sachs mailing list but the mailing list discontinued in May 2019 without any notice. The report is an pdf attachment which send from "...
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6answers
3k views

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 ...
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3answers
2k views

Historical data resources for Indian market

What is the best source for historical EOD data for Indian stock market? The data from Yahoo finance for some companies is not up-to-date and Google finance doesn't provide adjusted close prices. What ...
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1answer
6k views

Real-time limit order book data of desired depth

Is it possible to get real-time NASDAQ limit order book data feed somewhere? I would need a stream of the limit order book data, preferably something similar to: Along with the respective events ...
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3answers
5k views

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 ...
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2answers
164 views

Where can I get the actual info about how many stocks are there in markets all over the world?

I need to test an algorithm for large-scale data in stocks market. I wanna know how many stocks are there all over the world and the data source.
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1answer
61 views

Estimating monthly GDP growth based on quarterly data

Apologies for this newbie question. Given the following quarterly GDP growth: ...
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1answer
98 views

Is there a straightforward way to get a "family tree" for a stock?

I would like to find a way to generate what might be called a "family tree" for a stock. Given a stock symbol and a future date, I'd like a graph (either literally or represented in list or other ...
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3answers
2k views

Where can I find CMS swap trading prices?

I am writing a paper about CMS swap. To do so, I'd like to compare different theoretical pricing methods of these instruments to the "real prices" i.e. prices used in the marketplace. But I don't ...
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2answers
9k views

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 ...
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1answer
2k views

Do you know any data source for historical VWAP data?

I am looking for historical VWAP pricing data for north american equities. I haven't been able to find a free/cheap data source. Do you guys know of one ? Also, is there a way to proxy for an equities ...
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0answers
25 views

Looking for a dataset with historical SP500 (100) components [duplicate]

Does anyone have a dataset of a complete list of the historical (starting from the 80s 90s something like that) composition of the SP500(100) with the dates when the tickers where removed from the ...
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1answer
203 views

Asian Options Vs Bermudan Options

Which of these options are more popular in practice/used in industry? And where exactly are they used? Also, I have been searching for listed Asian and Bermudan options, for volume data etc, but have ...
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3answers
1k views

What does Volatility Smile tell? [closed]

Could you please share your opinions about Volatility Smile? What does it tell us when it gets more convex or when its level changes over time or any other change on it. Any paper/work/blog ...
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1answer
212 views

Dynamical Behavior of Hurst Exponent

I feel that the dynamic of financial market is not really modeled by standard Brownian motion, but fractional Brownian motion or even multifractional Brownian motion. I have read some references on ...
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0answers
213 views

Is there a way to pull SPX index option open interest daily data?

Currently I just use Bloomberg API in Excel for preliminary data analysis and manipulation, and I have one function call that gives me the ticker and IV today ...
2
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1answer
548 views

Intraday option price data European stocks and indices

I am looking for intraday option price data for stocks and indices listed on European markets (SX5E, SMI, DAX, etc). Ideally, I would like to get files as clean as those provided by ivolatility for US ...
2
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3answers
341 views

How to estimate market based PD and LGD for small enterprises?

I am estimating CVA/DVA for derivatives... How to estimate PD and LGD (or RR) based on market data for the small enterprises, if there is no external rating for them and they don't have bonds or ...
2
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1answer
629 views

How to compute cumulative performance of a portfolio with two equities?

I have a time series of adjusted returns for two companies, A and B. I have created a portfolio consisting of these two time series with equal weighting (sum of weights must equal 1): $w_a = w_b=0.5$...
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1answer
85 views

Data Sources for Timestamps of Individual Trades [duplicate]

Are there any data sources where I can get the timestamps of individual trades/transactions? I'd like them to be at the second level or even the millisecond/nanosecond level. Ideally, the trades would ...
1
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0answers
29 views

What are industry-standard terms for MBIS "situational bid"?

In the data feed from Municipal Bond Information Services there is a field called "situational bid", which is defined in their reference as "Bids on a security that is being offered for sale." If I ...
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2answers
3k views

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 ...
1
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1answer
78 views

Do you use seasonally or non seasonally adjusted index in analysis

I am constructing an inflation factor that includes the gdp deflator, the PPI for finished goods, and a spot commodity index. Do I uses seasonally or nonseasonally adjusted historical series? Thank ...
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5answers
881 views

What actually drives a stock price up ou down?

Can someone please explain to me how stock prices go up and down? What are the underlying physical and information technology phenomena and algorithms that drive a stock up or down? Books just say ...
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1answer
2k 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 ...
2
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3answers
141 views

Profits of US Banks

Are there any publicly available data on [aggregate] profits for domestic US banks, especially quarterly data? Most studies that I know use the "Financial Statements of Banks" from the OECD but these ...
3
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2answers
882 views

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 ...
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1answer
221 views

"J" message type in Nasdaq ITCH Totalview sample file

I am trying to parse the uncompressed file 10302018.NASDAQ_ITCH50 (from ftp://emi.nasdaq.com/ITCH/10302018.NASDAQ_ITCH50.gz). There is a strange message type "J". The spec (https://www.nasdaqtrader....
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2answers
93 views

Datasource of all scheduled news events for S&P 500 stocks

I am looking for a datasource which contains all news events specific to equities of the S&P 500, whose release date was scheduled in advance. That is, I am not looking for surprise news. For ...
0
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1answer
437 views

Bloomberg's Open Market Data Initiative

I am reading about OMDI: https://www.bloomberg.com/company/announcements/bloomberg-opens-its-data-distribution-technology/ After reading that, I am still not sure: Is it free? If so, what kind of ...
5
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2answers
514 views

What are "Autoquotes"?

I'm reading a 2008 JoFMarkets paper by Shkilko et al. with title "Locked and crossed markets on NASDAQ and the NYSE" in which the authors investigate the determinants of locked and crossed markets. ...
0
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1answer
44 views

Kenneth Frenches Data library return data to price data?

I have downloaded the industry portfolios from Kenneth Frenches data library, I am wondering if anyone knows where I can find the price data? Can I convert it even if I don't have a starting value? ...
4
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1answer
2k views

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 ...
2
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3answers
2k views

Data feed API that uses REST?

Is there a data feed provider that has a REST (http) API? Preferably real-time and historical, at least for US equities.
0
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1answer
200 views

Asset price simulation under Monte Carlo for option pricing using market data

I am trying to use Monte Carlo to price some exotic options. I have in mind to simulate asset prices under GBM (say S&P prices) using Monte Carlo and price the option accordingly from the payoffs ...
4
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1answer
208 views

Portfolio optimization with changing portfolio constituents

Say I have time series data for $N$ assets, where for the longest existing asset I have data from $t_0=0$ to $T$, but for several other assets I only have data from say $t_0+k$ to $t_0+l$ for some $0&...
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1answer
2k views

How to deal with missing value in a time series stock market data?

I have collected data for the period of 2002 to 2018 for following indices Nifty (India), NASDAQ (US), ADX (UAE) and TASI (Saudi Arabia). After collection, I have arranged data in a single sheet with ...
5
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1answer
495 views

Limit and Market Order for training a ML model

Goal : Using deep learning to build a ML model which would predict the right places where a stock price will increase, decrease or stay stable. For the current question, assume the labels are well ...
2
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1answer
7k views

Did Google Finance API Go Away or Just Change Signature? [closed]

I have been using Google finance for many months to pull intraday and daily data. Today I tried to use it and got redirected. For example, the following URIs returned text data that could be parsed: ...

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