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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34 views

How to determine incorporated funds from the CFI

I am making a model for the acquisition of financial instruments, and it is sometimes important (for legal or tax reasons) to be able to determine whether an investment fund is incorporated (SICAV or ...
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1answer
562 views

OpenGamma's Strata - Computational Overhead

I've been looking at the open-source library Strata (maintained by OpenGamma), which is written in Java. Now, upon inspection of the FX Forward Pricer and Payment Pricer I noticed two things: All ...
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3answers
220 views

What are the impacts of the discontinuation of benchmark Interest Rates?

I was wondering what the impacts of Interest Rates benchmarks (LIBOR/EURIBOR) discontinuation might be on the Quants side ? Do you know if there are articles/discussions providing an analysis grid of ...
4
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1answer
223 views

I am looking for a list of all companies worldwide with their annual revenue

I am trying to find a list of all publicly traded companies worldwide along with their annual revenue. I can get the list of stock symbols but is there a way to get their annual revenue without ...
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2answers
193 views

Seeking papers that deal with stock market analysis

I am sure there are a lot of papers that are related to stock market analysis.. but I haven't been able to find ones that fit my needs most. I want to read papers, replicate their analysis, and use ...
4
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2answers
1k views

List competitors for a given stock?

Where can I find a reasonably-priced or free API, database or CSV which contains a list of competitors for a given stock symbol? For example, I want to find competitors for various symbols, like GOOG,...
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66 views
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1answer
94 views

Subset selection to identify independent variables that impact the market?

Given a lot of market-related features (~100 independent variables such as emerging market, developed market, s&p 500, tech sector returns, etc), I need to select a subset of them that are ideally ...
3
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2answers
1k views

Test .mql4 (meta trader 4 editor) when the fx market offline

I am coding some simple .mql4 program, you know, the fx market is offline on weekend, and the market will be not shown in Meta trader 4 platform. I wanna test my program in meta trader 4 on weekend. ...
3
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2answers
580 views

Does using adjusted closing prices constitute a lookahead bias?

One of my machine learning project involves the use of adjusted close prices (from Yahoo Finance, for better or worse) to determine the label – if a stock's adjusted close price increases by more than ...
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1answer
303 views

(Self studying) Finding data on Bloomberg

I apologize for asking this very simple question, but I was reading through this chart for the first time, and I would like to know where on Bloomberg can I find data like these, since I have to price ...
2
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1answer
746 views

SPX options data from the CBOE data shop

I would like to explore some listed options trade ideas on the SPX (and maybe later on its components too), and naturally I would need historical data to backtest those ideas. In my quest for a ...
2
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1answer
826 views

How to download only amex and nyse data from CRSP?

I am a beginner and I have a very elementary question, but I don't know where to find the answer! I am downloading the CRSP monthly stock files for 20 years. I ...
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1answer
186 views

dividend paid on FTSE100 time series data

I need dividend paid on FTSE100 for last 10 years. I want to calculate the dividend-price ratio for FTSE100 as a time series data. I would really appreciate if anybody can give me a clue about finding ...
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5answers
7k views

Where to find historical stock news and other events?

So, I am working on a strategy that has pin-pointed some very interesting events in the form of extremely low volatility. The phenomena spans the past few years and a wide variety of symbols. Now, to ...
2
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1answer
2k views

Linear interpolation Discount factors

I am not sure how to perform a linear interpolation between discount fators for swap quotes. Lets say I have the following market quotes: ...
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1answer
296 views

Where can I find historical data for Europe listed ETFs?

I'm currently working on building a portfolio optimization tool for European ETFs such as: (SYMBOL/ISIN/description) IQQF / IE00B0M63730 / iShares MSCI AC Far East ex-Japan UCITS ETF EXW1 / ...
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1answer
134 views

Can any tell me how the VIX spike in Feb 2018, might have been caused my manipulation of $SPX options or VX Futures? [closed]

Looking for ways to back track evidence of manipulation in the trading or SPX options, ES Futures, or VX Futures to cause the spike that destroyed the vol ETFs (XIV, and SVXY), and caused small ...
2
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1answer
91 views

Information available to traders

I am not a trader myself but am trying to educate myself about trading. I notice that in most articles and videos about technical trading, an illustrative graph is displayed showing the latest price ...
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0answers
43 views

Transform 24hr cumulative volume to sampled periods

I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price. The time is the time at which the data was received from the exchange, price is the last price ...
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2answers
117 views

What is the convention for option tickers on S&P 500 and VIX?

Can you please explain what are all possible versions of S&P 500 option tickers and VIX option tickers? My options historical data is from 2006 to 2013 and I can see something like VIXAB, VIXAC, ....
3
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1answer
1k views

Close and Adjusted Close in Interactive Brokers API and Yahoo Finance

On Interactive Broker's TWS API manual, there are several historical data types to choose from. Which IB TWS data type's Close value corresponds to Close Adjusted ...
2
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1answer
2k views

Daily S&P500 close in JSON?

Does anyone know of a publicly available dataset for S&P500 index published daily in json format? Took a look at quandl but nothing for free. Google searches bring back a whole host of unhelpful ...
4
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1answer
139 views

Is the Fama-French website data free of the serious selection bias pre-1962 where it's tilted toward big historically successful firms?

Fama and French use data starting in 1963 in both 1) "Common risk factors in the returns on stocks and bonds" (1993) and 2) "The cross-section of expected stock returns" (1992) and mention in (2) ...
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2answers
1k views

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 ...
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3answers
140 views

Given only Bid Ask and quantity Data, how do I determine whether the security price has gone up or down?

Given Bid Ask Hang Seng Index Future Data, how can I determine whether the current index future price has gone up or down relative to the last price? ...
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0answers
104 views

FTSE 350 sector index historical data

Does anyone know where I can find (at least 10 years worth of) end of day historical (op, hi, lo, cl) data for the FTSE 350 Sector Indices?. I need the data for ...
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1answer
175 views

Interest rate models

I'm studying by myself how to model interest rates. Is there any database in which I can find accurate data for indices like Libor, Euribor, Eonia etc?
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68 views

Is there a mathematical way of showing the slowing down of economic markets?

I'm currently taking a introductory mathematical finance course in university and recently on the news (BBC, etc), it states that the economic markets are shown to be slowing down for the next few ...
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1answer
668 views

Where to get historical IV rank & IV percentile data?

I thought my broker (Interactive Brokers) was offering this but looks like what they actually supply is IV / with historical realized volatility. I also checked Quandl but as this is not data for ...
2
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0answers
124 views

Why is limit price order been executed with a worse price?

recently I was trying to analysis the message data from NASDAQ ITCH data, but I find a problem with a type of message called "Executed With Price Message". For example, first there is an Add Order ...
2
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1answer
609 views

Calibration by monte carlo, should I fix my seed?

I am calibrating a 3-parameter stochastic model to options market data via Monte Carlo simulation. Let the parameter set be denoted by $\bar{\theta}$. (this is not a simple Black-Scholes type model, ...
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1answer
107 views

Open stock information database?

I know I can get stock prices from Yahoo Finance or Quandl, but does anyone know where to get stock information? i.e., industry, country, sedol, primary exchange Cheers, Steve
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1answer
110 views

Extract data from Wall Street - Programming [duplicate]

I want to extract data from the wall street. I am a programmer in Django/Python, and I need the best source for price date, fundamental data. I wanted to extract it directly from google finance, but ...
4
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0answers
800 views

Application of time series analysis to Bitcoin prices [closed]

Various exchanges allow for the trading of Bitcoins. The price of Bitcoin was very volatile since the inception of the system, today it is 391.76 USD: I wonder whether time series analysis tools from ...
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1answer
1k views

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 ...
2
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1answer
999 views

Getting international fundamental stock market data

I am thinking of building some custom stock screening tool. For this I need fundamental data (parts of balance sheet, earnings statements, cash flow statement if available, probably some minimal ...
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0answers
64 views

BSE India best data source for foreigners (Bloomberg terminal?)

I'm looking for a best possible data source for BSE India realtime L2 data (at least 5 levels of book) equities only (F&O welcome, but not needed). I have an access to bloomberg terminal, have ...
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1answer
332 views

Why NYSE is not included in TAQ data for NASDAQ listed companies?

I am using TAQ data to see from which exchanges bids (or asks) are coming. I have got this for AAPL (Apple company, listed in NASDAQ) for a sample day: ...
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2answers
85 views

Locked/crossed prices in US equities

I'm trying to build a consolidated LOB from several direct feeds. However, there are many instances in which for a given stock, the bid price in one venue equals or crosses the ask price in a ...
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1answer
173 views

ITCH feed, price executed at different to original order?

I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for 100@105.2 on the Ask. Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
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1answer
1k views

Daily value weighted return and equally weighted size adjusted

For an event study, can anyone explain me the daily value weighted return for a benchmark and the equally weighted return size adjusted for measuring the EARs and how to calculate both weights? ...
0
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1answer
35 views

Help finding free Japanese Government bond data

Hey so I'm looking to use Japanese bond rates for the 3-month, 5-year, and 10 year government bonds going back 20 years or so. Unfortunately I'm presenting this in a context where I have to use free (...
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0answers
44 views

How can we track historical valuations of factor portfolios in emerging markets (in terms of P/B or P/E e.g.)?

We can analyze factor investment approaches (momentum, low vol, quality, dividend, ...) for example by looking at the corresponding MSCI indices. Doing so we can read of today's valuations (P/E, ...
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0answers
64 views

where to find real time data non-delayed of N225 and AXJO

I found marketindex.com real time data for the Austrial market index AXJO. Is there a similar website for the Nikkei Index N225? On all websites it is always 20 minutes delayed, such as yahoo finance....
0
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1answer
185 views

Pegged orders vs Cancel/Replace

Anyone with real experience between these two types? Trying to use Pegged orders for an hft strategy (on forex) and wanted to know if someone could tell me advantages / disadvantages to use them ...
3
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0answers
102 views

Electricity Prices: Change of measure in practice

I'm working on a model of electricity prices. I have empirical data $X(t)$ and managed to find a reasonable fit given by a Levy process $\hat{X}(t)$. I understand in theory what a risk-neutral ...
4
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3answers
611 views

Executions deep in the Limit Order Book?

I have some Level III (message level) data for equities and I have found several cases in which I register the execution of a Limit Order at a price "worse" than the best bid or ask. For example, ...
1
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1answer
109 views

Historical overnight stock data

We are looking for historical overnight stock data of large US stocks and it's main indexes for a thesis project. While some websites offer partial data, such as nasdaq offering the last 100 trades, ...
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2answers
297 views

How do I get a list of all ETFs / REITs?

I am currently doing a research which will need ETF and REITs' historical data back in early 2000s. The problem is I do not know what symbols existed back in then, unlike indices like S&P and DOW,...

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