Questions tagged [tick-data]

Questions related to tick by tick, high-frequency or intraday data.

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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: ...
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Are there open source or academic-only limit order book data sets available?

I am looking for limit order book data for an academic paper that has a snapshot for every change in the orderbook (1st five levels are fine, but more is better) or can be built from ITCH files. Any ...
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crypto HFT architecture

This architecture is designed to minimize latency with the help of busy-spinning and CPU affinity locks(meaning each producer/consumer thread running in only one core), preventing a thread from ...
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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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Put call parity with real time tick data

I am working with some real time options tick data (mainly futures options and index options), and in many cases the quotes are single sided (as seen on bloomberg terminal). I will denote a quote as ...
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1 answer
163 views

Understanding Volume Bars Threshold

I have been reading Advances in Financial Machine Learning by Marcos López de Prado and came across different Bar types, and simulating Volume Bars from execution data myself. My understanding of ...
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147 views

Are there any best practices for designing high frequency trading systems?

I spent some time trying to design some parts of the system, going over the information I found. At the top-level, the system looks like this A "real-time" module that receives market data, ...
8 votes
1 answer
441 views

Does the Integrity of Tick Data Vary by Vendor?

My firm is currently looking at various vendors to purchase historical tick data from. The purpose of this question is not to ask for opinions on the best vendor, but purely on whether there is a ...
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tick data: does this data look wrong? what am I missing?

I can't seem to understand how tick data works. Below is some tick data for a certain security (I got this data from a platform called MetaTrader). At 09:56:28 someone offered to sell at \$9.9. But ...
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OrderId data type is double in tick by tick datafeed

I am going through multicast protocol for tick by tick data of national stock exchange(NSE, India) and the orders are uniquely identified by orderID and they have defined it to be a double datatype. ...
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2 answers
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Is there ever a case where there are multiple ticks (different prices) at the same tick timestamp in Forex?

Say I'm receiving ticks for AUDUSD. The timestamp for Forex tick data seems to go down to a resolution of .001 second (milliseconds). Example: ...
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should I persist the daily/weekly bar data

Suppose a small quant group (4 guys) and the tick data is in hand, shall they persist the historical daily/weekly or even smaller scale like hourly/minutes bars data, or just do the on-demand ...
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2 answers
205 views

Mechanism for Tick Rule for Trade Classification

I see a few papers using the following tick test to classify a trade as buy/sell initiated trades: compare a trade price to the previous differing trade price, if the current price is higher/lower, ...
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237 views

How to merge Trade ticks with Bid_Ask ticks from IB API reqHistoricalTicks, like the Time&Sales window?

reqHistoricalTicks returns data with 1 second precision, so only looking at timestamp is not enough to merge them. But it seems that the Time&Sales window in ...
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Is there an API for retrieving up-to-date intraday 1 minute bar data by Date AND Time ranges?

I'm looking for an API that has an endpoint for fetching 1min bar data by Time in at least a minute of precision as opposed to just by date.
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Is there a noticeable difference in making scatter plots and regression models with tick-data or with candle data?

I am asking this question because I want to research some variables. An example is the RSI where the current RSI is updated every tick. This means that the value of the RSI is fluctuating a lot inside ...
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1 answer
1k views

How to connect Bloomberg's xbbp api to "Bloomberg Anywhere"

Due to COVID's remote work situation I found myself unable to access my physical terminal so I've had to use bloomberg anywhere (bba), the issue I'm having is that when I try to use python's xbbg on ...
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Did AlphaVantage drop the swedish stock exchange?

I have used AlphaVantage in the past to get data for the Stockholm Stock Exchange: I don't remember exactly the symbol I used, but it was something along the line of OMX:ABB or STO:ABB (for, say, ABB)....
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Is one Level 2 data subscription sufficient?

I am subscribed to Level 2 data from a single exchange. There are more exchanges offering Level 2 data subscription. However, with my single subscription I can see ask and bid sizes from all routing ...
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1 answer
98 views

aggregate and convert tick-by-tick using fx data

I have tick-by-tick data of an asset X denominated in EUR and minute-by-minute data on EURUSD. If I wanted to convert my tick-by-tick data to USD would it make sense to just consider every bucket of ...
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Does Alpha Vantage provides real-time data for free? [duplicate]

I tried a python script with alpha vantage API. But it was not giving the real-time price for GOOG, though the time was Monday, 11am ET. Does it really provides the data for free. If not, please ...
1 vote
2 answers
146 views

Historical data for global stocks

Where are companies like finnhub.io or finance portals getting their data from? Do they fetch the historical stock quotes from the exchanges directly? If so, the have to collect the data from a lot ...
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Sampling and cross-validating with tick, volume and dollar bars

Financial data is usually structured with time bars. Other sampling techniques include: tick bars volume bars dollar bars. These are so-called sampling techniques to better identify signals and ...
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Tick by Tick stock data

let's suppose a stock 'X' is quoted in a particular market with a specific bid and ask price. I would like to see for all transactions within a day on stock X: The transaction time (in milliseconds) ...
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4 votes
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382 views

How could Renaissance Technologies have near real-time prices on corporate bonds and other debt? [closed]

Julie Segal, What Renaissance Technologies has that you don't..., Institutional Investor, October 17, 2017. Does this just mean they are aggregating data from vendors like MarketAxess? Or is ...
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1 answer
643 views

Information driven bars - exploding threshold level

enter image description hereit's tough trying to figure this out myself and I after a few hours I thought I'd ask for help: I'm trying to do tick imbalance bars from 'Advances in Financial Machine ...
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TS Database performance issue

I've just found out about this forum while searching for answers for an InfluxDB performance "issue". I'm using it to store financial tick data (7 fields per row), query it and process it into candles....
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How to calculate technical indicator using tick data cross the night?

The tick data shortly before the close in yesterday have different statistics and charasterices compared to the tick data shortly after the open in today. Then, how I calculate the indicators using ...
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114 views

Where can I retreive the end of day fx prices?

I'm developing a reporting tool and I need a data source for end of day price data. For example, it should give me the XAUUSD price at a specific date, say 2019-12-05. Do you know such a data source? ...
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Cleaning of high-frequency data

In the paper "Realized kernels in practice: trades and quotes" by O. E.Bandorff-Nielsen etc. cf. https://onlinelibrary.wiley.com/doi/full/10.1111/j.1368-423X.2008.00275.x in the section dedicated to ...
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TeaFile discrete logic - how to write [closed]

I have been working with TeaFile from discreteLogic and I'm strugling to understand how i can insert data inside a file. Let's take this example: ...
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1 answer
208 views

OHLC prices after filtering

Assume we have minute-bars of OHLC stock prices. Then, applying Kalman filter to those prices separately, we can remove a measurement noise and obtain the estimates of the states of the price ...
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I am getting an Invalid API call from Alpha Vantage TIME_SERIES_DAILY_ADJUSTED for Mexico or Toronto Stocks (with a period). Why?

I have used the following: https://www.alphavantage.co/query?function=SYMBOL_SEARCH&keywords=URBI&apikey=nnnnnnnnn I get back this: ...
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4 answers
597 views

Real-time tick data source

I am looking for a free real time tick by tick data for training and analyzing and plotting forex charts, but I am searching a lot and I couldn't find any good data feed provider. Why there is no ...
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747 views

Information Driven Bars (Advances in Financial Machine Learning)

My team and I are busy coding up a python implementation of the information driven bars (imbalance and run bars) mentioned in Chapter 2 of the text book Advances in Financial Machine Learning. There ...
6 votes
1 answer
1k views

Tick Imbalance Bars - clarification on T index

I have been trying to learn quant related things on my own. I recently picked up a book called "Advances in Financial Machine Learning" by Marcos Lopez De Prado. I am having difficulty understanding ...
1 vote
1 answer
129 views

How do you interpret Level 1 data to a list of transactions/trades?

If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so? Just FYI, it's not a project for school but a problem I ...
11 votes
3 answers
5k views

Tick Imbalance Bars - Advances in Financial Machine Learning

I would really appreciate if any of you can clarify the following questions. I have been struggling to understand it on my own. $b_t=\begin{cases}b_{t-1}, & \text{if}\ \Delta p_t = 0 \\ \frac{|\...
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1 answer
107 views

Data Sources for Timestamps of Individual Trades [duplicate]

Are there any data sources where I can get the timestamps of individual trades/transactions? I'd like them to be at the second level or even the millisecond/nanosecond level. Ideally, the trades would ...
1 vote
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168 views

What is the best source to get 10 milliseconds time-series data for numerical computation?

I am working with 4th order Runge-Kutta method to compute a second order differential equation. For the best accuracy, I need a 10 milliseconds ohlcv time-series data. I know that I can build it ...
3 votes
2 answers
872 views

definition of mid price in literature

In literature, the mid-price is often used along with the terms "fair value", "true value" among others. I take it alot of the times it means the same thing because the mid-price doesnt necessarily ...
5 votes
2 answers
672 views

Create Tick Bars with R

How do I get OHLC bars with tick count (i.e. 500 ticks) instead of time? I prefer quantmod. Currently I have tick data and can already convert to minute bars using xts. ...
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5 answers
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10 years intraday for a single stock

For a personal experiment I need to acquire 10 years worth of data (with time resolution hourly at least) for a single stock. It doesn't really matter which stock, and the data doesn't need to be very ...
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2 answers
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Alpha vantage API Not working for NSE while the same query is giving output for NYSE stocks

Was trying to pull intraday data with free api from alpha vantage but unable to download it; While At the same time I'm able to download daily OHLC data. Also, intraday data query is working for NYSE ...
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Dynamically adjusting the size of a Constant Range Bar (on an intraday fx chart)

Constant Range Bars (CRB) is a type of candlestick charting method that does not draw a new candle every unit of time (like every 1/5/15/30 minutes), but every time the range (high-low) of the ...
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How to store tick data for diffferent time frames?

I collect data every 30 seconds and store it in a DB. Suppose I want to do analysis for 30m,1H,4H and 1 day time frames, what's the best approach to have access to that data for each TF?
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Given only Bid Ask and quantity Data, how do I determine whether the security price has gone up or down?

Given Bid Ask Hang Seng Index Future Data, how can I determine whether the current index future price has gone up or down relative to the last price? ...
2 votes
1 answer
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tick size for US securities

I there a source or way from which I can find out the minimum tick size for US securities at any point in time from 1970 until today? I know that securities above \$1 have \$0.01 tick while those ...
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BSE India best data source for foreigners (Bloomberg terminal?)

I'm looking for a best possible data source for BSE India realtime L2 data (at least 5 levels of book) equities only (F&O welcome, but not needed). I have an access to bloomberg terminal, have ...
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Trade price in high-frequency TAQ data

I am looking at AAPL TAQ high-frequency trade data from NYSE and I have noticed that at several places the trade price (defined in Daily TAQ Client Specification as: "The Trade Price is the monetary ...