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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1k views

Calculation of dividend yield from index returns

For a research project, I need to find or calculate dividend yield for all the index of major countries in the world (e.g: s&p500,DAX,CAC40 and so on), and I am struggling a bit with it. I cannot ...
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1answer
196 views

1 minute data: Japan, Australia and India stocks

Where I can find 1 minute historical market data for Japan, Australia and India stocks markets?
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1answer
47 views

Filtering “anomalous” time and sales prints

I'm building an algorithm which uses a live market data feed to updates its P&L and other metrics. I've been noticing that sometimes in the time and sales there are anomalous prints - prices many ...
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3answers
3k views

Is there any public data to get OIS for differal time (1d, 1W, 1M, …, 10Y)?

I want to get data of Overnight Index Swap, also known as OIS rate, there is any public why to get this always from yesterday? For example, I want to get EFFR(Effective Federal Funds Rate), I can get ...
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1answer
78 views

Live data for: Bond Yield and Dollar Index

Im looking for live data feed of Bond Yield and DXY. I like to use it in R. Thanks!
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1answer
108 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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1answer
64 views

Expirations of WTI options

Where can I find expiration dates of WTI options like this: http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_product_calendar_options.html But I need dates in 2012-2016 years. ...
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0answers
83 views

Missing sequence numbers in TAQ Quote data

I am looking at NYSE sample TAQ Quote data for Apple stock (link at the bottom of the post) and I have noticed large discontinuities in the data intervals. For example, these two are two succesive ...
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1answer
2k views

Why were Fama/French Momentum Factors discontinued in 2016?

Is there a reason or some reference somewhere why the Fama/French Momentum Factors (WML) were discontinued at June 30, 2016, see e.g. here: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/...
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1answer
390 views

Derivation (or proof) of commonly used formula showing relationship between time and smoothing factor in exponential smoothing

I am using simple exponential smoothing on historical market prices. There is a commonly held view (among market practitioners), that there is a simple relation between the period over which the data ...
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2answers
454 views

How to download historical composition of a Stock Index with monthly prices

for a Quantitative project in Asset Management, I need to obtain for each year -on a long period (20 years) - the different historical constituents and their prices on a monthly basis for a given ...
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1answer
45 views

Public Company Competitors?

Where can I input a stock ticker and get back a list of the top 3-5 competitors of the stock? E.g. if I input F, I get GM, etc. It would be great if this could also give me data for delisted stocks.
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Is there any research available on profile of the market participants in different markets?

I know markets are by large anonymous, is there any current research or data sources publicly available across different exchanges and/or investment instruments on the profiles of their investors? I ...
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1answer
221 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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1answer
2k views

Where can I get historical P/E ratio data of american stock?

I'm looking for P/E ratio of IBM or APPL (American nasdaq stock(?)) for past few years but I can not find it even I searched it ...
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1answer
76 views

Why is Yahoo finance's historical prices so high

Why is Yahoo finance's historical prices so high. For example, IBM's prices in the 70s are in the $300 range. I know that there are some errors in this data, but this a trend in many of their charts. ...
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1answer
5k views

How do I value a private company's market cap?

How can I estimate a private company's market cap? What records do I need to consider and how would I go about it?
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34 views

“Adj Close” data could be different in different data range?

I use python DataReader for getting past stock data. I heard that Adj Close data could be different each other if data range is ...
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4answers
1k views

Alternative to Bloomberg Excel Add-In for EOD Stock Prices

Is there a more cost-effective alternative to Bloomberg Excel Add-In? 90% of the time I only use Bloomberg to download security (hundreds of U.S. and international stocks) historical price data. The ...
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1answer
188 views

FX Price aggregation method

Lets say we are receiving tradable FX market depth(bid/ask prices and amounts for each level) from several Liquidity Providers and we want to aggregate the market depths in to a single bigger market ...
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1answer
56 views

European Financials Index

I am looking for the returns of an European financial index as it is the Dow Jones U.S. Financials Index (DJUSFN) for the US. Do you know if such an index exists and if it is available on yahoo ...
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1answer
134 views

S&P 500 list for free with exits?

Is there any free source for S&P 500 historical data with exits for the last 10 -20 years? I can get free data from Yahoo, but it only has the currently traded tickers and NaN values before the ...
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3answers
4k views

Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution?

Are there any free data of DAX or DAX future in 1-second or 1-minute time resolution ? I would be happy to buy them but everywhere prices starts from 1k $ (minimum value of order), 2016 alone would be ...
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1answer
406 views

Yahoo: Downloading Stock data from symbols with a period (.)

Hi: I'm using R to start learning about quantitative finance. I'm good at R, just learning finance. Some stocks on the TSX have periods in their names, usually indicating that it's a class B share, ...
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4answers
2k views

How are OHLC bars made from bid, ask, and last trade prices?

This seems like a very basic question, but the Internet does not seem to know, so: If you have a stream of bid, ask, and last trade prices, how do you convert those into periodic open/high/low/close ...
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1answer
182 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 ...
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1answer
1k views

Website tracking list of companies delisted on NYSE exchange

I want to find the list of comapanies delisted on NYSE exchange and the companies which will be delisted, is there any website which tracks it on a real time basis?
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0answers
1k views

Free Data Source for Credit Spreads?

Credit spreads are a key economic indicator. They are the difference between yields on corporate and government debt. They are a measure of confidence in the private sector, they provide insight into ...
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0answers
76 views

API to query ME, BE/ME, P/E etc. accounting data per stock symbol

We don't have access to: Bloomberg Thomson Reuters CRSP COMPUSTAT And we are trying to replicate FF-1992, so we can have stocks returns via yahoo finance, like: http://investexcel.net/multiple-...
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1answer
671 views

Information disseminated by the Securities Information Processor (SIP)

I'm trying to better understand what information is disseminated by the SIP. In essence, if somewhere were to observe the SIP only what would he see?
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1answer
455 views

DAX historical data H1 interval [duplicate]

I need pure DAX historical data on H1 interval (open, high, low, close). I can download data e.g from Dukascopy but this is DEU index (CFD for DAX) not DAX. Where I can find good data (not CFD for ...
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1answer
222 views

Why are Yahoo's “Adj closed” data changing over time?

I downloaded MSFT historical data from Yahoo Finance a year ago and re-downloaded it today again. I turns our the two datasets are different. E.g., today I got Adj Close of MSFT for ...
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1answer
167 views

Why does the market follow a Fibonacci retracement? [closed]

the question is in the title and why is it that the market follows a cycle? By cycle, I mean that the market is going up since 8 years and that we think that, most likely, the market is gonna go ...
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2answers
1k views

Which tool is best for drawing candle stick plot?

I'm considering to develop a visualization tool, in which the candle stick plot is a big part. I've seen people doing this using Python's matplotlib, Qt and PyQt. There are also several tools out ...
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4answers
12k views

How reliable is data from CSI Market?

I am finishing up a reference guide for my graduate students on key financial ratios. Would like to include S&P 500 current metrics in my guide. But need to know how reliable is this company CSI ...
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1answer
722 views

pandas pull 500 stocks through data reader

Is it possible to pull 500 stocks from yahoo finance through the pandas data reader at once? I need to grab large chunks of adj close prices for different tickers. I can pull like 10-20 at a time and ...
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1answer
4k views

Is NASDAQ file “nasdaqtraded.txt” a list of all common stocks traded on NYSE, NASDAQ and AMEX?

A prior post had stated how to get a list of all common stocks traded on NYSE, NASDAQ and AMEX - via NASDAQ site at ftp.nasdaqtrader.com in ...
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1answer
33 views

Where can I find statistical data about legal lawsuits against commercial and investment banks?

I am searching international statistical data about legal lawsuits against banks over allegations on on money laundering, tax fraud, suspicious transaction, financial markets prices manipulation, ...
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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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2answers
747 views

Interpreting description of a particular (momentum-based) data processing technique

I'm attempting to prepare data in the same manner as section 2 of this paper. I'm finding it a bit of a struggle. Could someone check (/improve upon) my interpretation regarding the 2 sections I have ...
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1answer
749 views

Which data to use with the Fama French 5 factors model & q factor model

I'm working on my thesis in asset pricing, particularly on 'Fama French 5 factors model & q factor model'. May I know why I have to work with the FBRIT and DEADUK securities list for the UK market ...
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2answers
141 views

Obtain prices for list of stocks

I have a spreadsheet with a large number of ticker symbols. Is there any site that can get the current or past (either works) price for each of these stocks in one fell swoop? Paste in the list of ...
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1answer
423 views

Is there a website with text-only (quick downloads) of stock data (symbol, price, etc.)? [duplicate]

Is there a website that provides a .csv file of every U.S. stock or a text-only web page of U.S. stocks (e.g., symbol, last trading price, price-to-earnings ratio etc.)? If there is no free one, what ...
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2answers
1k views

How to organize historical data including delisted

Working with delisted or bought-out companies poses some difficulties in how to organize price data for backtesting. I've been backtesting some investment algorithms on free data from Yahoo! where I ...
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1answer
80 views

Free Data Sets for VaR calculations

I am trying to do some work on VaR and Expected Shortfall with the help of Generalized Pareto Distributions. Can someone please guide me to some dataset of financial data, preferably something like a ...
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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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1answer
93 views

Julia: Passing arguments to quandl function through the map() function

I am new to julia, and I am trying to use "map()" to apply the function "quandl" on an array of (n x 1) stock tickers. (http://quandljl.readthedocs.io/en/latest/get_data.html) However, I wish to pass ...
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1answer
1k views

FX volatility quotation

I am attempting to calibrate my SV(heston) model to market data. My intention is to minimize the difference between market IVs and my model's IVs. I use Bloomberg to get the data, however fx options ...
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2answers
130 views

Model which fully incorporate OHLC data (higl ald low also)

OHLC data are one of the most popular kind of data available. Are there models which could incorporate all the information provided by OHLC - regular 1-minute frequency data for example ? Usually only ...
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2answers
416 views

What is the definition of a 10-day low? [closed]

Or for that matter a [n]-day low? (As it relates to market data/trading). When does a [n]-day low get disrupted and you have to begin tallying again?

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