Questions tagged [nasdaq]

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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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0 votes
0 answers
36 views

Time and Sales Data Source

What data service offers a "single source of truth" (with transactions from all major exchanges) for a given stock's time and sales data? I currently have 2 sources and they do not agree: ...
  • 113
0 votes
0 answers
22 views

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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0 answers
54 views

Lazypredict using Multiple Tickers

I am trying to use multiple tickers close prices , create some technical indicators and run lazy predict to get multiple results of Machine Learning performance models. I have cleaned the data somehow....
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0 answers
26 views

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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-2 votes
1 answer
66 views

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/...
0 votes
3 answers
612 views

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 ...
2 votes
1 answer
139 views

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 ...
-2 votes
2 answers
645 views

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.
0 votes
1 answer
73 views

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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2 votes
0 answers
61 views

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 ...
0 votes
1 answer
58 views

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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1 answer
103 views

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 ...
1 vote
1 answer
99 views

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 ...
3 votes
1 answer
95 views

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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0 votes
1 answer
259 views

"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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0 votes
1 answer
57 views

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?
2 votes
2 answers
118 views

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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-1 votes
1 answer
187 views

ITCH feed, price executed at different to original order?

I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for 100@105.2 on the Ask. Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
2 votes
1 answer
2k views

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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0 votes
0 answers
101 views

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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3 votes
0 answers
215 views

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 ...
2 votes
3 answers
125 views

Find the tick increment value of an equity

Is there any resource containing the tick increment values of NASDAQ/NYSE equities (.0001, ...
2 votes
1 answer
56 views

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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4 votes
1 answer
4k views

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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1 vote
0 answers
87 views

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 ...
2 votes
1 answer
164 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 ...
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2 votes
0 answers
162 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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5 votes
2 answers
375 views

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 ...
1 vote
1 answer
84 views

Listed companies on NASDAQ

Where can I find a list of listed companies on NASDAQ from 2000 to 2014?
2 votes
0 answers
38 views

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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0 votes
2 answers
287 views

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
1 vote
1 answer
319 views

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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5 votes
1 answer
493 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 ...
0 votes
1 answer
217 views

Difference between Tick data and NASDAQ ITCH VIEW [closed]

Could any one explain the difference
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6 votes
8 answers
15k views

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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6 votes
5 answers
931 views

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 ...
3 votes
2 answers
6k views

Tracking delistings on NASDAQ & NYSE

Does anyone know of a webpage (or webpages) of current delistings for NASDAQ & NYSE?
3 votes
2 answers
596 views

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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3 votes
4 answers
985 views

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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4 votes
1 answer
213 views

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 ...
7 votes
2 answers
4k views

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. ...