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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1answer
799 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 ...
3
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1answer
269 views

What is the benefit of having proximity to the Bloomberg datacenter?

I own and operate a datacenter adjacent to Bloombergs Datacenter in Orangeburg NY. We have had a couple of trading firms come to us due to our proximity to Bloomberg to receive "data" from them ...
3
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3answers
250 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 ...
3
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1answer
167 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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0answers
90 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 ...
3
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0answers
2k views

Historical S&P 500 Stock Weights [closed]

I'm looking for histocial weights of S&P 500 constituents. I have access to a Bloomberg terminal. Any thoughts on how/where I might calculate/find these data? P.S. I'm looking for as much data as ...
2
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2answers
114 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.
2
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3answers
12k views

Is there a Bloomberg field for a bonds (upcoming) coupon dates?

For a specific bond I need to calculate the time until each of the upcoming cash flow payments (for obvious reasons). So I wondered if there is a field (bulk data) that gives me all the dates of the ...
2
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4answers
14k views

Are PX_BID and PX_ASK on Bloomberg closing bid/ask? or are they daily averaged?

Bloomberg provides PX_BID and PX_ASK on a daily basis, but it's not clear exactly where these numbers come from. Are they closing bid and ask prices, or are they averaged over the entire day? For ...
2
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3answers
128 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 ...
2
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1answer
482 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, ...
2
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1answer
1k 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/...
2
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1answer
186 views

Looking for analysis of NASDAQ suit?

I may have every particular detail of this wrong, including the exchange, but years ago, maybe as long as 20, there was a successful suit against NASDAQ based on research by academics showing their ...
2
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1answer
816 views

Is an ISIN unique per company (or what else is)?

Example: Tencent Holdings Ltd. KYG875721634 (Hongkong) in HKD US88032Q1094 (OTC) in USD An important factor of my stock picking is the market capitalization. Both listings have a similar (but not ...
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 ...
2
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1answer
676 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 ...
2
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1answer
1k views

Is Reuters Instrument Code (RIC) case-sensitive?

Someone in my organization claims that RIC codes are case-sensitive. So for example: SPXi201420000.U does not refer to the same instrument as ...
2
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1answer
241 views

Where can I buy historic raw order by order data for Euronext market?

I cannot find any vendor that sell the full depth order by order data historically. I called Euronext and for some sick reason they "have the data" but "do not sell it". Do you guys know where I can ...
2
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2answers
445 views

Credit risk data

I am trying to get historical data for credit risk and do some analysis on it as a school project. I thought CDX index might be a good proxy for typical credit risk data, but I am not sure. Typically ...
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.
2
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2answers
817 views

what data sources are useful for obtaining financial statement data of listed companies NYSE and NASDAQ?

Exactly, I need balance sheet, income statement, cash flow statement, stock market, bankruptcy situation, fraud situation and corporate governance data of companies in USA. Thanks beforehand,
2
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1answer
112 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 ...
2
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1answer
31 views

Pull IDX stocks with alphavantage?

How do I pull data for stocks on the indonesian stock exchange (https://www.idx.co.id/en-us/market-data/stocks-data/list-of-stocks/) with alphavantage? What is the symbol I should pass? I've tried for ...
2
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1answer
118 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 ...
2
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1answer
6k 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: ...
2
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1answer
1k 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 ...
2
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1answer
1k 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 ...
2
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2answers
648 views

Reliable stockmarket holiday, open and close time dataset/api?

Is there a reliable machine readable source of stock market holiday calendars? I found this source: https://eresearch.fidelity.com/eresearch/markets_sectors/global/holidayCalendar.jhtml I could ...
2
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1answer
544 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 ...
2
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2answers
2k views

Free access to official real-time and intraday data for exchanges [duplicate]

Where can I obtain all official real-time and intraday data for exchanges — NASDAQ, NYSE, AMEX, OTC, CME, etc? I feel like the raw data is out there to be consumed and parsed at no cost (except the ...
2
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2answers
412 views

Normalization of Market Data in Time Series Correlation

Suppose we have 2 time series of market data, one for each security and we want to correlate between these 2 securities. My question is How do we handle gaps of missing data in the time series? ...
2
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2answers
895 views

definition for “the viscosity” in financial market data series

I am willing to calculate and monitor the evolution of extreme-viscosity in the financial markets data series. Wikipedia says "Put simply, the less viscous the fluid is, the greater its ease of ...
2
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1answer
85 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 ...
2
votes
1answer
99 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): $w_a = w_b=0.5$...
2
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1answer
204 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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1answer
928 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: ...
2
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1answer
527 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
369 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
votes
1answer
57 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 ...
2
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3answers
2k views

accuracy of Yahoo Finance stock data (Python module)

I am using the yahoo finance python module: https://pypi.python.org/pypi/yahoo-finance I am using it for a project and would like to see if anybody else uses data from this source and can vouch for ...
2
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2answers
1k views

Where and how can I get FX intraday data for use it in R?

I need FX data (the most accurate possible) for use in R. Right now I have developed a script in Java to download the CSV file (from Oanda) and use this file to read it in R, but I think that is a ...
2
votes
1answer
145 views

What is the cheapest way to connect to Nasdaq for market data and trading *electronically*?

I would like to connect to Nasdaq to execute some simple automated strategies. I am NOT a big bank or hedge fund, so paying a high monthly fee is impractical. Is there a way for a small startup or ...
2
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1answer
230 views

Information on Weather Derivatives

I am looking for relevant information on the organization of the Weather Derivatives market. How is it organized? How information is shared? Where can we find historical database? I am aware of the ...
2
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2answers
2k views

Correct Alphabet (Google) market cap calculation?

Given the definition: ...
2
votes
1answer
317 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 ...
2
votes
1answer
137 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 ...
2
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2answers
637 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 ...
2
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1answer
365 views

Determination of Quote / Trade Ratio

What is the common criteria used to count a quote or trade in reference to the quote/trade ratio? Criteria: If it beats the best bid or offer. If it adds size to the best bid or offer. What if the ...
2
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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 ...
2
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3answers
259 views

Industry convention to track trading performance against market indices?

I come from a programming background and not am no quant by career so this is probably a newbie question for you guys. I have written some code to pull daily closing values for market indices (DOW/...