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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2
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0answers
59 views

How does a Broker-Dealer lend shares to other Broker-Dealers?

Is it possible to find out how a OTC Broker-Dealer in thinly-traded equities lends shares for short-sales to other Broker-Dealers. Which platform or process is involved?
3
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2answers
2k views

Free high resolution financial data

As thebonnotgang(1) stopped updating their database, I was wondering if there are some other free sources of high-frequency data available. I found a proper tick data api (ca. 25 day history) hosted ...
2
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0answers
147 views

Get list of all stocks ever listed on NASDAQ

I'm looking to compile a list of all stocks/symbols ever listed on the NASDAQ, not just the currently listed stocks. Alternatively, a list of all delisted stocks would also suffice. Preferably, I'm ...
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5answers
29k views

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
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1answer
342 views

Fx Firm market making

I've been doing market making on forex using the last look feature so far. Now we are moving to do on firm making, but I'm kind of lost. To do firm making we need to post resting orders (currenex ...
2
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0answers
329 views

Data source for a corporate bond yield curve?

Yield curves are a valuable tool for economic analysis. It is particularly interesting to analyse the difference between Government Debt yields and Corporate Debt yields (credit spreads). This gives ...
5
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3answers
5k views

Source for real-time tick data (stock price, etc.) updated every second?

For educational purposes, I'm looking for a source for now's real-time tick data for stock prices, or FOREX, etc., with a 1 second precision. Is there such free data feed? If not, could such data be ...
2
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1answer
368 views

Historical index components (FIGIs) from bloomberg?

In order to run strategy simulations, I am trying to build a database of historical equity data using Bloomberg. I can pull the ticker symbols corresponding to the components of an index at any point ...
0
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1answer
72 views

List of US Indices [duplicate]

I need to do symbology translations between two financial systems. One part of this is to identify a symbol that is an index in one system so that I can prepend a character to it when I send it to the ...
4
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0answers
776 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 ...
3
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3answers
289 views

Why is the value of the VXX ETN always above short-term VIX futures prices?

If the VXX is simply a constant maturity weighted average of the 1st and 2nd month VIX futures prices, then why is its market price always larger than the maximum of the two? (the larger of the two is ...
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0answers
25 views

Sample data of quarterly (annualized) real GDP growth

I am looking for a database that provides me the quarterly (annualized) real GDP growth (quarter t and t-1) of US, Germany and England. For the US data i went here: https://www.philadelphiafed.org/...
1
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1answer
169 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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2answers
66 views

Definitive way of figuring out companies with multiple classes of stocks

Is there a definitive way of mapping tickers to companies for companies with multiple listed tickers? For example, GOOG and GOOGL are both Google (or now Alphabet), or BRK.A and BRK.B are both ...
1
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2answers
59 views

Finding a stock traded at two venues

For a project of mine I need to find a stock that is traded on two venues, e.g. NYSE and NASDAQ, but could be others. So I ...
3
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1answer
187 views

What are some options to execute ML algos against with live data using C#, F# or Python for a retail trader?

I'm a retail algorithmic trader. I've written some algorithms that parse intraday movements and make decisions. I still execute trades manually but eventually I need the ability to execute trades on ...
3
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1answer
92 views

Where can I get alerts for future delisting?

Suppose I have a large universe of US stocks and ETFs (3000). Is there any site where I can get free information for tickers that are delisting ? E.g. recently: (1) on 9/18/2015, Broadcom (BRCM) ...
2
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1answer
162 views

Fed FOMC Target Rate annnouncement machine readable data point

Does anyone know if there is a near-realtime machine-readable feed that reflects the FOMC target rate announcement? The announcement came in today at 2 pm, but I can't find a way to download the ...
1
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1answer
200 views

how are gaps usually handled in market data received with multicast?

Most commonly due to latency reasons, market data is published using multicast protocol. However since multicast is built on top of UDP, it is possible that there could be packet drops. How can the ...
2
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0answers
3k views

How can I use Thomson Reuters Eikon to get a list of large historical companies?

I am trying to use Thomson Reuters Eikon to get a list of historically large companies, for example, what were the 1000 largest companies by market capitalization in 1990? I would like to get lists of ...
5
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3answers
3k views

Sources of index data (MSCI, FTSE, S&P etc.)?

Who are the major suppliers of index data that cover multiple index providers, e.g. MSCI, FTSE, S&P etc? There are a huge number of people sourcing e.g. equity data, but index data is much harder ...
1
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0answers
43 views

Historical UK Gilt 2-year and 5-year data

Data on the Medium (approx. 5-years) and Short (approx. 2-years) futures contract listed on ICE only goes back to 2009. Is anyone able to point me towards where I can get a longer time series, perhaps ...
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0answers
76 views

NZX market depth data

Can someone point into the right direction for NZX market depth data specifically for individuals? I have tried many vendors but seem to be coming up with "institution-only" responses.
2
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1answer
85 views

List of Economic Data for Index Forecast

What econometric symbol list (or tickers) could be used to forecast return of global stock market indexes (S&P500, TSX, CAC40, ...) and their subsectors? I'm aware of the answer to question: ...
3
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3answers
523 views

Latency and Delays across Exchanges

I have recently come across this paper by Battalio et al. "Can Brokers Have it all? On the Relation between Make Take Fees & Limit Order Execution Quality" and realized how little I know about the ...
9
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2answers
6k 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 ...
3
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3answers
8k views

How to record tick data from Google/Yahoo Finance data streams?

Is there any way to record or piggyback with an app, code or excel Google finances' or Yahoo finance's data stream? Ideally, I need tick by tick data, as in every price change of the day. All the ...
3
votes
1answer
130 views

Estimate market risk premium?

There are uncountably many factor models to estimate stock returns, such as CAPM, Fama-French, Carhart-Momentum, APT etc. Which models can estimate the market (index) return? I found only three ...
5
votes
1answer
451 views

Availability of TotalView-ITCH data

I am looking for a cheap (< $500) NASDAQ TotalView-ITCH real-time streaming data feed. Are there any cheap and (relatively) good market vendors out there that offer this? It seems as if the ...
4
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2answers
1k views

Seasonal patterns in financial markets (weekday effects)

What seasonal patterns are there in financial markets? Is my feeling "true" that Mondays are more volatile than e.g. Tuesdays (as information gathered during the weekend can only be turned into an ...
5
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2answers
442 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. ...
4
votes
1answer
71 views

Do Regional Central Banks have API's?

Do Regional Central Banks such as the Federal Reserve and ECB have API's to access their Statistics? I've been searching all day and haven't been able to find them. They seem to provide most of their ...
46
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13answers
108k views

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&...
2
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2answers
3k views

ASX level 2 data via API

Is anybody aware of Java/C++/Python API's available for ASX stock market depth? I'm currently using IB which is ok but has a number of limitations / issues - the one I care most about is the limit of ...
3
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2answers
812 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. ...
4
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2answers
913 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,...
0
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1answer
51 views

Calculating or finding info about the value of a market? for example Cloud Storage [closed]

I am assembling a pitch which will aim towards investors by the end of this year/beginning of next year, and I need to gather information such as how much the Cloud Storage market is worth and how ...
1
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2answers
510 views

Clean EOD global Equities data provider for backtesting investment strategies

I'm trying to find a good source for global equities for EOD data (historical and forward basis), currently using Bloomberg's back office data, but it is very hard to normalize it for corporate ...
3
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0answers
2k views

How can I convert Yahoo Ticker Symbols into ISIN Codes?

I have a list of all Yahoo Ticker Symbols and I want to convert them into ISIN Codes. I have been researching and found out that finance.yahoo in the US does not ...
2
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1answer
136 views

Relationshiop between central bank official currency rates and spot forex

Central banks publish official figures for domestic interest rates, as well as spot currency rates for a few select countries (largest trading partners). To prevent arbitrage, I "expect" that in the ...
6
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1answer
290 views

Opensource marketdata reference data for retail market

I'm not sure if this is the correct place to post this - but here goes: I have been working on a project for the last few years, during which I have come up with a set of components with the ...
1
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0answers
99 views

Calculating Asset Returns

The question pertains to a simple phenomenon. There is gold futures listed on Exchange A and Exchange B. Exchange A and Exchange B overlap times with A and B starting 8 hours later and A and B ...
6
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5answers
2k views

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 ...
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0answers
38 views

Source for Normalized File of ETF Holdings [duplicate]

Does anyone know of a source for a data feed containing ETF Holdings for most ETF firms such as Ishares, Proshares, State Street? I know Bloomberg has this info, but I'm looking for a vendor that can ...
1
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2answers
333 views

How do I find the entity identifier using BSYM?

I am new to BSYM and would like to do an entity-level search (as described here (towards bottom of document). For instance, a search for "APPLE INC" brings up 266 pages. Which one is for the entity? ...
3
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1answer
845 views

Free source of historical ETF units outstanding data?

I am looking for a free source of historical daily data of the number of outstanding units of ETFs and ETNs. On a Bloomberg, this would be "VXX.SO Index HP" or something like that. Does anyone know ...
2
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2answers
791 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 ...
17
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1answer
26k views

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 ...
4
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1answer
5k views

What is the difference between a benchmark yield curve, funding curve and a basis spread curve?

I am trying to understand why these curves are important, and what they are used for in the industry today (if not at all).
2
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0answers
84 views

Charting order depth over time periods

I do a lot of analysis on order flow, tape reading, as it gives insight into what market participants want, or may be willing to do. In comparison, price charts show what happened, and technical ...

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