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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58 views

Getting real-time stock market data in one file

There are lots of services which provide stock market data on ticket-by-ticker basis, so to get the 1-min data for each US stock I will need to perform a few thousand requests each minute. Is there ...
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179 views

Yahoo finance continuous futures historical data

How is Yahoo Finance's continuous futures historical data calculated? Are these front-month numbers?
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42 views

Futures Historical Tick Size

I understand for some futures contracts, tick size does change from time to time. Does anyone know where to get historical tick size changes?
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46 views

CFTC COT reports

Beginner question. As I understand it (vaguely), the COT report contains information on activities (eg. long/short position held) for specific futures contracts. Take, for instance, COT for 13874A, ...
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28 views

Are the correlations of multivariate stock prices preserved when converted to multivariate returns?

If data for multiple stock prices has a specific correlation matrix, is the correlation matrix preserved when those prices are converted to multivariate log-differenced returns?
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Is there an API for retrieving up-to-date intraday 1 minute bar data by Date AND Time ranges?

I'm looking for an API that has an endpoint for fetching 1min bar data by Time in at least a minute of precision as opposed to just by date.
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Real-time stock data/15 mins quotes for US stock exchanges? [duplicate]

I am trying to figure of if there are free sources or inexpensive sources to get this type of data. I see sites using BATS data, but BATS seems to have been bought out by CBOE and doesn't seem to have ...
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1answer
44 views

Calibration data selection - basic rules

Hey I found following rules for selecting data for calibration (source: "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options" by ...
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2answers
680 views

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 ...
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54 views

Using a rolling mean or median to fill missing values

I have some 1-minute bar data. The first datapoint has time t0 and the last one t1. 99.5% of the data between the first timestamp and the last timestamp is there and 0.5% is missing (NaN values). I ...
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1answer
62 views

Working with 1 minute bar returns - do I throw out the first return of the day?

I am doing some academic work and using 1 minute bar data. I am wondering if when calculating the return time series, do I need to throw out the first return of the day because it is the return ...
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37 views

Commodities API data source [duplicate]

I'm trying to get commodity historical information via API. I found this https://www.alphavantage.co/documentation/ which does somewhat provide some data for stocks and others but not commodities and ...
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60 views

How to estimate traded volume at each tick, given the quotes and the volume at the bid and ask?

I have some data which contains Bid and Ask prices as well as the number of units at the Bid and Ask. Since I'm just messing around and I don't have price of a trade, I will use mid price. But what's ...
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491 views

Did AlphaVantage drop the swedish stock exchange?

I have used AlphaVantage in the past to get data for the Stockholm Stock Exchange: I don't remember exactly the symbol I used, but it was something along the line of OMX:ABB or STO:ABB (for, say, ABB)....
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1answer
109 views

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-...
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1answer
111 views

Free or cheap data source for the current European Options prices?

Is there a free or cheap (<15$/month) data source for the current (not historical) for European Options? Something like Yahoo Finance option page, with option chain contract prices. It's ok if it's ...
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60 views

Is one Level 2 data subscription sufficient?

I am subscribed to Level 2 data from a single exchange. There are more exchanges offering Level 2 data subscription. However, with my single subscription I can see ask and bid sizes from all routing ...
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1answer
76 views

aggregate and convert tick-by-tick using fx data

I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
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25 views

Why would this price data have lots of spikes above the trend line?

I am completely new to quant finance, so I apologise if this is a ridiculous question. Here is a picture of a snippet of some price data from the security 'NYSEARCA: SPY' (which is SPDR S&P 500 ...
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489 views

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 ...
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20 views

Does Alpha Vantage provides real-time data for free? [duplicate]

I tried a python script with alpha vantage API. But it was not giving the real-time price for GOOG, though the time was Monday, 11am ET. Does it really provides the data for free. If not, please ...
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110 views

Downloading time series of market caps (Python)

I know that is possible to download the market capitalisation os stocks using the "pandas_datareader" library: data.get_quote_yahoo. However, this command gives me ...
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2answers
117 views

Historical data for global stocks

Where are companies like finnhub.io or finance portals getting their data from? Do they fetch the historical stock quotes from the exchanges directly? If so, the have to collect the data from a lot ...
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2answers
395 views

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?
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1answer
69 views

Extract time and sales from the level 2

I need data to test some mathematical models. So far I have the level 2 over 120 layers, but I can't pay for the time and sales. Is it possible to extract the time and sales from the level 2? By ...
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1answer
46 views

round lots in algorithmic trading

In an automated strategy, is one restricted to buying round lots of 100 shares ? If so, 100 shares of google would be on the order of 100K. Is it possible to tell the broker that you don't want to buy ...
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2answers
387 views

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 ...
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2answers
2k views

How to get a Daily Market Cap using Python

I'm looking for a way of getting free historical daily market caps ? I can get todays Market cap from yahoo but need old market caps also.. thanks for the help. ps: I don't have Bloomberg and school ...
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1answer
92 views

Balance Sheet and income statement inconsistency across tickers

I assumed the SEC filings for balance sheet or income statement should follow a standard format across companies. If that is the case, why is some important fields absent for certain companies? For ...
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2answers
351 views

How could Renaissance Technologies have near real-time prices on corporate bonds and other debt? [closed]

Julie Segal, What Renaissance Technologies has that you don't..., Institutional Investor, October 17, 2017. Does this just mean they are aggregating data from vendors like MarketAxess? Or is ...
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1answer
85 views

Historical energy market data for European power Futures and Options?

I have been trying hard to find some historical futures and options electricity data for EEX offerings. I need the data for a model I am writing, however I have not found any free resources so far. It ...
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0answers
47 views

How to tell if Level I volume is net bid or ask side?

Ordinary stock data not only consists of closing prices, but also gross volume traded in the security by end-of-day. It is always reported in absolute terms even though there could have been more ...
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537 views

Download historical MSCI/GICS Sector Index data

Similar to Where do I get historic performance data of the MSCI World Growth/Value index, I'm looking for historical data for the MSCI Sector Indexes (Energy, Material, Industrials, Financials and so ...
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1answer
110 views

How to deal with unreliable data sources?

I'm building a little system for myself that helps me make trade decisions, essentially downloading daily OHLC prices for a few hundred stocks once a day, running various sizes of crossing averages on ...
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93 views

Is Morningstar data reliable?

Wondering if Morningstar financial statement data reliable? For example it doesn't have the Balance Sheet statement for BHP, while Marketwatch has it. Same for Renault SA the Balance Sheet is ...
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0answers
16 views

Database with revenue information for USA companies

I am going to start a project with an US company. I do not really trust them. I want to know if they are a "real" company. In some European countries you can consult some (often paid) databases and ...
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1answer
66 views

TS Database performance issue

I've just found out about this forum while searching for answers for an InfluxDB performance "issue". I'm using it to store financial tick data (7 fields per row), query it and process it into candles....
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1answer
464 views

Why is the treasury yield on Yahoo finance different from that on U.S. Department of Treasury?

The 13 Week Treasury Yield on Yahoo Finance is ...
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56 views

How to calculate technical indicator using tick data cross the night?

The tick data shortly before the close in yesterday have different statistics and charasterices compared to the tick data shortly after the open in today. Then, how I calculate the indicators using ...
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4answers
222 views

Where to get the stock universe?

Is there any way to reliably get a full list of symbols (in whatever format), for multiple exchanges (e.g. NYSE, NASDAQ, LSE, JPX, HKEX and so on). Additional info (like sector, or symbols of listed ...
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36 views

What is the difference between quotes and candles?

Actually I have a software development task to develop a little web app that could analyze some liquid stocks quotes considering OHLC values. So I'm researching some OpenAPI where I have found a ...
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1answer
293 views

Orderbook db structure

I am currently saving a sub 1 sec snapshot of an orderbook to my SQL db. However I have quite the trouble on figuring out the architecture of this DB What I'm currently doing is saving a table with ...
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1answer
92 views

Discrepancy in stock volume values for different intervals for the same day on Yahoo Finance

everyone. Probably, someone else before me noticed that peculiar behaviour but I have not found any thread with a relevant title. Anyway, here is the case. I have attached a screenshot which displays ...
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1answer
167 views

Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x in the section dedicated to ...
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2answers
112 views

getting russell 3000 membership historically

Hi All: Does any know of there is any code somewhere for obtaining the russell 3000 constituents for 2017, 2018 and 2019. If not, then is there a company that sells it ? I imagine russell does but I ...
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1answer
141 views

Where can I find data about Options for Europe (entire dataset)?

I need to get data about the entire dataset (i.e. all) of options for European countries. Where can I do that? For example, if I had to do it for US options, I would just use WRDS (to which I have ...
3
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1answer
116 views

TeaFile discrete logic - how to write [closed]

I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file. Let's take this example: ...
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46 views

Does anyone have any pproximate idea what it would cost to get a FIX and OUCH connection from NASDAQ

I would like to know how much the exchange fees would be to connect and place orders directly with NASDAQ using one of their third party suppliers or directly. I took a look at the pricing page but it ...
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1answer
165 views

The similarity between a bond's quoted bid price and its clean price?

Is the Best Quoted Bid Price the same as the Clean Price for bonds? I understand that the Clean Price is the Dirty Price less Accrued Interests, however, I am a bit confused of why the Bid Price = ...
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1answer
163 views

OHLC prices after filtering

Assume we have minute-bars of OHLC stock prices. Then, applying Kalman filter to those prices separately, we can remove a measurement noise and obtain the estimates of the states of the price ...

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