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Why does not index (S&P500, NASDAQ, Dow Jones, etc), use liquidity?

Stock indexes such as SP500, NASDAQ, Dow Jones, etc all try to capture the temperature of the market. If the market cap of the companies in the market increase, the index increase. But, imagine a ...
Orvar Korvar's user avatar
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How is the continuous order and market book merged together at market close?

This question is specifically about how NASDAQ merges the two order books at market close in order to match orders, but I am guessing the same concepts apply to other on close/opening auction markets. ...
Alex's user avatar
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1 vote
1 answer
111 views

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 ...
user2845840's user avatar
0 votes
1 answer
129 views

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 "...
Sinbad The Sailor's user avatar
1 vote
1 answer
142 views

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 ...
Eugen's user avatar
  • 113
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0 answers
23 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 ...
piravi's user avatar
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0 answers
38 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 ...
MoneyBall's user avatar
  • 101
-1 votes
1 answer
89 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/...
user1424739's user avatar
0 votes
3 answers
2k 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 ...
Kevin Roche's user avatar
2 votes
1 answer
231 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 ...
Sergei Rodionov's user avatar
-2 votes
2 answers
967 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.
Thomas Ash's user avatar
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1 answer
77 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, ...
Flux's user avatar
  • 531
2 votes
0 answers
69 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 ...
Simon Nicholls's user avatar
0 votes
1 answer
66 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 ?
moshevi's user avatar
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1 answer
119 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 ...
Abby Cough's user avatar
1 vote
1 answer
121 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 ...
user6570767's user avatar
3 votes
1 answer
101 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 ...
moshevi's user avatar
  • 135
0 votes
1 answer
296 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....
Arvind's user avatar
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0 votes
1 answer
60 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?
Vykta Wakandigara's user avatar
2 votes
2 answers
128 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 ...
Sanjeev's user avatar
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1 vote
1 answer
270 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 [email protected] on the Ask. Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
user997112's user avatar
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 ...
Jen's user avatar
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0 votes
0 answers
103 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?
Jean's user avatar
  • 551
3 votes
0 answers
277 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 ...
dukeyue1212's user avatar
2 votes
3 answers
130 views

Find the tick increment value of an equity

Is there any resource containing the tick increment values of NASDAQ/NYSE equities (.0001, ...
Pedro Lobito's user avatar
2 votes
1 answer
59 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?
g_puffo's user avatar
  • 415
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 ...
Elrond's user avatar
  • 390
1 vote
0 answers
90 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 ...
Ali Baba's user avatar
2 votes
1 answer
173 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 ...
Peter Mel's user avatar
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2 votes
0 answers
178 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 ...
bberak's user avatar
  • 121
5 votes
2 answers
419 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 ...
Kristijonas Lukas Bukauskas's user avatar
1 vote
1 answer
86 views

Listed companies on NASDAQ

Where can I find a list of listed companies on NASDAQ from 2000 to 2014?
HeadOverFeet's user avatar
2 votes
0 answers
39 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 ...
Palace Chan's user avatar
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0 votes
2 answers
314 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
user2933161's user avatar
1 vote
1 answer
367 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?
Dave's user avatar
  • 113
5 votes
1 answer
610 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 ...
user16631's user avatar
0 votes
1 answer
245 views

Difference between Tick data and NASDAQ ITCH VIEW [closed]

Could any one explain the difference
Riser's user avatar
  • 41
6 votes
8 answers
16k 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 ...
adrCoder's user avatar
  • 265
6 votes
5 answers
996 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 ...
NeoNosliw's user avatar
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?
Chris's user avatar
  • 131
3 votes
2 answers
617 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 ...
Tontho's user avatar
  • 31
3 votes
4 answers
1k 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 ...
CharlesM's user avatar
  • 493
4 votes
1 answer
219 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 ...
Lee Schmidt's user avatar
7 votes
2 answers
5k 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. ...
Lee Schmidt's user avatar