Questions tagged [nasdaq]
The nasdaq tag has no usage guidance.
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Why do better-performing index funds not get a higher weight? [closed]
Most financial advisors recommend to inexperienced investors to put a large part of their investment in broad index funds (e.g. SPY). They will usually reiterate that most actively managed funds ...
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Clarification on the Quote Rule and the Limit Order Display Rule
I am currently reading Market Liquidity by Foucault, Pagano and Röell. In chapter one they describe the limit order book markets and dealer markets.
I am confused about two rules that so called "...
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126
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Order Book during trade halts
I noticed this weird structure of the order book during trade halt of $GCT, August 19th 2022. Stock was halted at the time.
Could someone explain why bid is higher than ask?
Is this just a bug in the ...
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Machine learning on NASDAQ [duplicate]
I want to perform an ML analysis on NASDAQ, based on historical fundamentals.
Suppose I want to take a temporal window of 10 year and quarterly data.
I have a question:
I suppose I should know the ...
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do prior day orders carry over to next day pre market order in Nasdaq?
I am looking at Stefan Jansen's machine learning for trading, specifically, rebuilding Nasdaq order book from Nasdaq itch data. In his jupyter-notebook, he says
Throughout the day, new orders are ...
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Is AAPL on both NYSE and NASDAQ?
https://www.nyse.com/listings_directory/stock
I can find AAPL on the above page.
But I can also see it on NASDAQ.
https://www.nasdaq.com/market-activity/stocks/aapl
https://finance.yahoo.com/quote/...
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3
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Where can I find complete historical lists of companies on major US exchanges for backtesting?
I am backtesting a trading strategy on historical US stock data. I'm currently sourcing data from S&P's Capital IQ. I have no trouble getting stock price data for a specific company. I also have ...
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190
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US Equity Real-time Market Data Feed Pricing
I'm trying to compare the minimum cost of subscribing to primary sources of real-time market data on NYSE and NASDAQ for last sale and level 1 top-of-book quotes.
Use cases are log to files, store ...
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2
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896
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Where can I download a list of all stocks traded on NYSE, AMEX, NASDAQ that includes dividend and dividend yield information [duplicate]
Looking for a site I can download common stock information that includes dividend information as well as price. I see reference to NASDAQ stock screener but I don't see that information there.
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What happened to direct access "electronic day trading" after 1998-2002?
I was looking through book catalogues and databases when I noticed something: most books about direct access "electronic day trading" for retail traders were published between 1998-2002, ...
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Nasdaq and HML factor positive coefficient
I am using the HML factor from Fama French’s website and have always assumed that a negative coefficient indicates that the portfolio has a tilt towards growth stocks.
When I however perform a simple ...
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Are NASDAQ open and close time consistent throughout the year? [closed]
The NASDAQ open trading time is 09:30 AM which currently is 13:30 UTC.
After DST is over does it stay the same? meaning does it become 14:30 UTC ?
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109
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Do NASDAQ and Russell 2000, 3000 Indices have total return indexes for gross and net? What are they labeled?
Do NASDAQ and Russell 2000, 3000 Indices have total return indexes for gross and net? What are they labeled? I know the S&P has a gross TR index with the ticker SPTR and net SPNTR, so I'm ...
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118
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IPO data source (NYSE / NASDAQ)
I am trying to get data for results of IPOs that took place on NYSE and NASDAQ in 2015-2020. My minimal need is:
Date of IPO completion
Company name or ticker (better yet, both)
Total US$ amount ...
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101
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Time of Nasdaq daily close price
On the Nasdaq website It Is stated that the market closes at 4:00pm.
However I have historic intraday minute prices and I can see that that are minutes with prices after 4:00 PM (I am assuming its ...
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294
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"J" message type in Nasdaq ITCH Totalview sample file
I am trying to parse the uncompressed file 10302018.NASDAQ_ITCH50 (from ftp://emi.nasdaq.com/ITCH/10302018.NASDAQ_ITCH50.gz).
There is a strange message type "J". The spec (https://www.nasdaqtrader....
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Where can I download for free the entire price history of the nasdaq composite and s&p500 indices? [duplicate]
I would like the entire price history of both these indices at an end-of-day level, not intra day. Is there an R api that I can use for such an exercise?
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2
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127
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For AAPL, How do You find how much volume typically trades on NASDAQ vs other exchanges?
Thank you for the knowledge shared on this site
wanted to ask this question below, in case someone kindly knows the answer
AAPL is listed on NASDAQ, but it is also traded on other exchanges like ...
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231
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ITCH feed, price executed at different to original order?
I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for [email protected] 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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Obtaining the Data and Calculating the actual Fama-French Factors for top NDXT companies
I am very new to the world of finance (a statistician) and I would like to run time series regressions for 3 and 5-factor Fama-French model in R but before I do that, I am very puzzled about obtaining ...
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102
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Download historical prices
Is there a place I can download historical stock prices for NYSE/NASDAQ tickers at minute or lower resolution for last year or so?
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258
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reconstruct LOB from NASDAQ ITCH -how to handle market price order
I am trying to reconstruct the limit order book from the NASDAQ Historical TotalView -ITCH data. After I decode the raw data, I can successfully generate whole messages flow from ITCH data. However,in ...
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Find the tick increment value of an equity
Is there any resource containing the tick increment values of NASDAQ/NYSE equities (.0001, ...
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Buying shares of NASDAQ listed companies on the NYSE
Has it always been possible to buy shares of NASDAQ listed companies on the NYSE? If not, what piece of legislation amended that?
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Where can be found the tick size list for stocks traded in NASDAQ and NYSE?
Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual ...
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How to choose the stock exchange to trade a stock?
Let's take an example : Hewlett Packard. The company is listed on both Nasdaq and Nyse. Correct me if I am wrong but as we can trade it on 2 different stock exchanges the price of the stock may ...
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169
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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 ...
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169
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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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Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?
U. S. Securities and Exchange Commission (SEC) defines market maker as:
"A market maker is a firm that stands ready to buy and sell a particular stock on a regular and continuous basis at a publicly ...
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Listed companies on NASDAQ
Where can I find a list of listed companies on NASDAQ from 2000 to 2014?
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Helpful references for fully understanding the mechanics of NASDAQ's auction system?
I've read about this before on their website directly and via this ITG paper.
nasdaq site
itg paper
But I was wondering if there are any other good references I can supplement my understanding ...
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301
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Where can I download the history of dividends for Nasdaq?
I want to download the annual dividends(regular,special and repurchaces) for all stocks at Nasdaq for 5 years. Does anyone know where can I find it?
Thank you
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Percentage of Russell 2000 stocks listed on NYSE and Nasdaq?
Is there a way to find out how many of the Russell 2000 stocks are listed on the NYSE and how many on the Nasdaq?
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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 ...
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8
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List of central index keys (CIK) for NASDAQ and NYSE
I have seen this post : Central Index Key (CIK) of all traded stocks
But I would like to download the CIKs only for NASDAQ stocks, NYSE stocks etc. I searched online but only managed to find CIKs for ...
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Why was NASDAQ(or other index) not fluctuating in 70s and 80s?
Today I have a search of historical NASDAQ back to 70s and noticed the index was slightly increasing in 70s-early 90s and rising up and down in recent decade of years. Why would that happen? The only ...
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Tracking delistings on NASDAQ & NYSE
Does anyone know of a webpage (or webpages) of current delistings for NASDAQ & NYSE?
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constructing best bid/ask from NASDAQ TotalView-ITCH data
anybody know how to construct a intraday stock price from NASDAQ TotalView-ITCH data?
I would need to know the price in millisecond, so I would need two rows: timestamp (for every millisecond) and ...
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Trader's identity in a limit book
In a limit book like NASDAQ ITCH, can liquidity suppliers know the demand-side identity of a trader prior or after a trade? Knowing this will help me with my theoretical model that I am trying to ...
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How to properly cross-validate when optimizing SVM classification?
I'm using SVM binary classification to predict movement of NASDAQ stock prices. My question is regarding cross-validation. I will divide the training data into V subsets. Training will be performed on ...
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How to account for bid/ask spread when backtesting?
I'm backtesting an algorithm for trading nasdaq stocks, and would like to take into account the spread. I am using historical data from yahoo, which contains:
open, high, low, close, volume, adj. ...
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