Questions tagged [quote]

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Question about swaption premium quote on the bloomberg terminal

This is my first question here and I hope that my question is appropriate. I have some data about swaptions that are from the bloomberg terminal and basically I am performing a risk-neutral ...
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4 votes
0 answers
63 views

Level 1 NBBO - what is going on?

Looking at some level 1 quotes data (QRM) on the bloomberg terminal for a DAX index option. Why is there always a 1 lot quote for 450 just popping in every other tick? Seems like there is a single MM ...
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  • 93
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1 answer
70 views

Which spread to use to analyse CDS data from Markit

So I am currently doing some analysis on CDS Data and I am using Markit to extract this data. However, I am a bit confused regarding the quotation standards here. I want to investigate the ...
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1 vote
0 answers
86 views

sofr/sonia/estr floating rate notes

I wonder if there is an agreed market convention on a discount margin formula for the new style frn's with overnight-compounded rates paid in arrears i.e. sofr/sonia/estr/etc frn's? This question is ...
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1 vote
2 answers
252 views

Is there any source that describes Wall Street quotation conventions for fixed income securities (e.g. corporate bonds)?

For instance, high yield corporate bonds tend to be quoted by price and investment grade tends to be quoted by yield. Is there any source that describes such quoting conventions, or corporate bonds ...
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  • 1,080
3 votes
1 answer
333 views

Yield of a Bond

If we have a coupon bearing Bond and want to calculate it's Yield then what is the standard practice to determine the ...
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  • 615
3 votes
2 answers
2k views

Interpolation of FX Vol Surface from non-uniform strike vs tenor grid

TL;DR I'm trying to fit a vol surface to market FX options quotes in order to build a local vol model to price with. Unlike listed options that typically have a nice rectangular grid of strikes and ...
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  • 2,856
1 vote
2 answers
576 views

Clean vs dirty price for bonds

Why the clean price is mostly quoted in the US bond markets and the dirty price is mostly quoted in the European bond markets?
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2 votes
1 answer
176 views

Futures vs. spot forecasting

If i have the belief that the futures lead the spot for price discovery, and I am able to forecast the future prices, given this forecast, what would be the best way to back out this number such that ...
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  • 183
1 vote
2 answers
132 views

Option quotes or trades: Which one is more informative?

Suppose I have quote data as well as real transaction of option contracts? I was wondering if the informational content is the same. On the first hand, quotes show the intention of seller/buyers on ...
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  • 1,346
2 votes
1 answer
6k views

CDS Quote Conversion - Quoted vs Par

Just to be on the same page, let me start with some nomenclature: Par Spread = Coupon for which the CDS has NPV=0, assuming a piece-wise constant hazard curve (considered in conjunction with all ...
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  • 1,132
0 votes
0 answers
176 views

OHLC inconsistencies in bloomberg

This may be clear to a practitioner, but consider the following rows of OHLC points: 55.20 56.50 55.35 55.45 (low > open) 53.30 53.30 53.20 53.325 (close > high) These are taken from ...
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  • 503
2 votes
1 answer
2k 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: ...
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  • 220
0 votes
1 answer
154 views

Comparing values of indicator between different stocks

I would like to ask whether there is a good way of analysing stock indicators that have no value limitations. For indicators like RSI we have a closed range ( 0 - 100 ) but in case of indicators like ...
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0 votes
1 answer
210 views

1 minute data: Japan, Australia and India stocks

Where I can find 1 minute historical market data for Japan, Australia and India stocks markets?
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3 votes
4 answers
3k views

How are OHLC bars made from bid, ask, and last trade prices?

This seems like a very basic question, but the Internet does not seem to know, so: If you have a stream of bid, ask, and last trade prices, how do you convert those into periodic open/high/low/close ...
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  • 133
0 votes
1 answer
317 views

Logarithmic price defined as the midpoint of the log bid and ask : Simple Clarification

Guys I would like a simple clarification. The paper by McMillan and Speight (2012) at the data section, defines the logarithmic price as the midpoint of the logarithmic bid and ask. Is that translates ...
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0 votes
2 answers
3k views

Corporate bond quote convention

I'm not a quant practitioner, but a student so this may be a very simple question. I was of the understanding corporate US bonds were quoted 1/8 increments and US treasuries in 1/32 increments. Such ...
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2 votes
2 answers
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 ...
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  • 121
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1 answer
60 views

What are the technical events that fluctuate quoted asset (e.g. forex) prices? How does it relate to the purchase of currency contracts?

This is a generic question about the quotations of assets but for the sake of reducing ambiguity, let's consider the EUR/USD exchange rate. If the answer varies for other asset classes, please note ...
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  • 11
0 votes
2 answers
371 views

Downloading most recent stock prices

I would like to download (from Google) the most recent prices for a series of stocks. I have created a portfolio at Google and I can click on "Download to Spreadsheet". That works. But I would ...
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1 vote
0 answers
1k views

Downloading Quotes in CSV format from Yahoo Finance - Beta symbol?

By using http://finance.yahoo.com/d/quotes.csv?s=STOCKNAME&f=I am able to download a CSV file, does anyone know what the symbol for beta is? It should go after <...
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8 votes
3 answers
1k views

Papers and algorithms on bidding schemes for best order execution?

I'm building an automated option trading bot that executes common options multi-leg strategies (straddles, spreads) and I want to learn the best way to execute my orders. As you know, the bid-ask ...
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  • 131
1 vote
2 answers
251 views

Quotes and Transactions Streams from Exchange

I have possibility of taking 2 types of real time streams from some exchange: bid-ask quotes (fresh quotes from order book) transaction log (transactions matched by exchange) I'm curious what ...
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  • 490
10 votes
2 answers
10k views

Why FX Vanilla Options are quoted in volatility

I've been curious why vanilla options are quoted (and traded) in terms of volatility. Considering that every financial institution has its own options pricing model, volatility as an input would cause ...
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  • 101
2 votes
1 answer
2k views

In Yahoo! Finance, what determines the number of decimals for a stock/index quote?

In Yahoo! Finance, we see the following quotes among others: ...
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  • 123
7 votes
0 answers
2k views

Commerical delayed stock quote feed that is redistributable?

I'm looking for a commercial delayed quote feed that will allow us to distribute delayed US stock market quotes to the public (ie. that will allow us to display US delayed quotes on the Internet). We ...
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