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Questions tagged [tick-data]

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

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Tick bid greater than tick ask (negative spread)?

I am parsing tick data using a Perl script and have come across instances where the BID is greater than the ASK for a given tick. Should I assume this is an error in the tick data (as published) and ...
skeetastax's user avatar
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2 answers
197 views
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Tick data - detection of price moving away

I was wondering if there are any industry methods for detecting short term rapid price movements with L1 tick data for equities. Ideally should be robust/general enough to work for a wide range of ...
des224's user avatar
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In what "time" should we work in when handling high frequency data with latency?

I am wanting to know if there is any standard approach for the following situation: We receive trade and order book data over a connection from an exchange and are interested in downsampling this into ...
QMath's user avatar
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Calculating PIN or PIN-like factor without having intraday / tick data

I am looking for a method of estimating PIN (probability of informed trading) for US equities without having access to intraday / tick data, but using daily OHLC instead. I imagine its impossible but ...
helloimgeorgia's user avatar
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2 answers
139 views

how to make this time series reguarly spaced

in the picture below we have in the first coloumn the day of the month, in the second coloumn the time in millisecond in epoch time(elapsed from 1 january 1970), third coloumn the stock price and in ...
XY0's user avatar
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negligibility of the increments of the efficient price process with respect to the first differences of the noise sequence

In high-frequency data the price process Y is contaminated by noise . We do not observe $X_t$ but the process $Y_t = X_t +u_t$ where $X_t$ is the efficient price process and $u_t$ is the ...
XY0's user avatar
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1 vote
3 answers
232 views

Interpreting tick by tick stock data

I downloaded data regarding the YUM stock traded on the New York Stock Exchange in the year 2014. Basically in this dataset, we have 4 columns: the first column is the day the second column is the ...
XY0's user avatar
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Where can I get free FX options chain data [duplicate]

Basically title. Can either be through an API or easily downloadable as a CSV file. Every source I find either have options chain data but not for FX, has historical FX data but not an actual chain ...
Xerium's user avatar
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2 answers
278 views

Tick data-why the ask price and ask volume are 0, but the trade price exists and the trade price is still big? How to understand this?

How to understand the trade price and volume exists when ask price and volume are 0 but bid ones exist? I can't understand what happens under such condition? And also why sometimes bid price is higher ...
LuckyBBB's user avatar
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2 answers
147 views

From OHCLV dataset to Tick Chart

We are all familiar with time-based candlestick charts, such as 1 Minut, 15 Minuts, 1 Hour and so on. The dataset is more or less something similar: ...
Bruce Ecurb's user avatar
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277 views

Is there a common way that level 2 and time & sales data are analyzed together?

Let's say that for a single asset, we have a data stream from which we receive both level 2 order book updates (price level/quantity updates) as well as time & sales updates (grouped recent trades)...
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Notation in Advances in Finance ML for time interval

I was reading Prof. Lopez book Advances in Finance ML and he uses a notation I could not understand. In 4.2 (Overlapping Outcomes) he says: In Chapter 3 we assigned a label $y_i$ to an observed ...
Code Pope's user avatar
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1 answer
427 views

How are order book and trade data consolidated/distilled into a more(?) tractable form for modeling?

Let's say that there's some asset traded on an exchange and that, for this asset, I have access to a snapshot of the limit order book (price level and quantity for bids and offers) and subsequent ...
QMath's user avatar
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1 vote
2 answers
757 views

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 ...
crogg01's user avatar
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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 ...
dopller's user avatar
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0 answers
104 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 ...
des224's user avatar
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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 ...
des224's user avatar
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1 vote
1 answer
362 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 ...
koyamashinji's user avatar
1 vote
0 answers
250 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, ...
May Flower's user avatar
8 votes
1 answer
638 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 ...
Scott's user avatar
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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 ...
Parzival's user avatar
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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. ...
user22662's user avatar
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2 answers
110 views

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: ...
skeetastax's user avatar
1 vote
1 answer
74 views

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 ...
Xavier Hou's user avatar
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2 answers
486 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, ...
DiveIntoML's user avatar
1 vote
0 answers
373 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 ...
davidtgq's user avatar
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1 vote
2 answers
94 views

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.
Lex's user avatar
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1 vote
1 answer
63 views

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 ...
Bob hhhuh's user avatar
1 vote
1 answer
2k 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 ...
Gorlomi's user avatar
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2 votes
0 answers
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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)....
danabb's user avatar
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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 ...
Kagaratsch's user avatar
0 votes
1 answer
127 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 ...
apocalypsis's user avatar
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0 answers
21 views

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 ...
Samar Pratap Singh's user avatar
1 vote
2 answers
183 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 ...
eztam's user avatar
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0 votes
1 answer
200 views

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 ...
develarist's user avatar
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0 votes
1 answer
205 views

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) ...
Fra92's user avatar
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4 votes
2 answers
436 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 ...
ContinentalMath's user avatar
0 votes
1 answer
867 views

Information driven bars - exploding threshold level

It'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 Learning', using equations: $...
the_dude's user avatar
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1 answer
111 views

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....
Rbdm's user avatar
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0 answers
183 views

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 ...
olivia's user avatar
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0 votes
4 answers
124 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? ...
xyzt's user avatar
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3 votes
1 answer
421 views

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 ...
ABK's user avatar
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3 votes
1 answer
181 views

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: ...
SimAzz's user avatar
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1 vote
1 answer
280 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 ...
ABK's user avatar
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1 vote
0 answers
2k views

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: ...
Molasar's user avatar
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0 votes
4 answers
743 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 ...
amin msh's user avatar
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4 votes
0 answers
983 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 ...
Jacques Joubert's user avatar
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 ...
boniface316's user avatar
1 vote
1 answer
166 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 ...
Carolina X.'s user avatar
11 votes
3 answers
7k 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{|\...
boniface316's user avatar