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Questions tagged [tick-data]

The tag has no usage guidance.

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34 views

Free 1 Minute FX Data from www.dukascopy.com

Can somebody help me to figure out how to specify the url to download 1 (Bid and Ask) Minute FX data directly? For Tick data, it somewhat looks like this: http://www.dukascopy.com/datafeed/AUDCAD/...
5
votes
2answers
98 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. ...
0
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3answers
135 views

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 ...
2
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1answer
248 views

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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0answers
64 views

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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0answers
28 views

What is Bid in BBO when there are no buy orders for a certain ticker?

https://markets.cboe.com/us/equities/market_statistics/execution_quality/definitions/ Cboe records all market center Best Bid and Offer (BBO) values..... every millisecond. ...
0
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0answers
32 views

Data sets - Inter-dealer order flow for OTC products

I am working on my final year dissertation and am looking for any data sets that include interdealer order flow for OTC products such as Government bonds and FX derivatives. Any help would be greatly ...
0
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0answers
17 views

World Indexes Minute Data Feed [duplicate]

I am asking because i have already checked several data services and i cannot find a proper data feed for several World Indexes: DAX (Germany), N225 (Japan), HSI (China), BOVESPA (Brazil), ASX ...
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1answer
98 views

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?
1
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3answers
101 views

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
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1answer
70 views

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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0answers
39 views

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 ...
1
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1answer
329 views

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 ...
4
votes
3answers
1k views

Where can someone get free (or very cheap) high frequency tick forex data?

I am currently working on a large data set (approx 80 million data points over 10 years). I would like another set of data that has one currency in common. Eg, I have EUR/USD and would like USD/CNY or ...
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1answer
37 views

Filtering “anomalous” time and sales prints

I'm building an algorithm which uses a live market data feed to updates its P&L and other metrics. I've been noticing that sometimes in the time and sales there are anomalous prints - prices many ...
1
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1answer
108 views

Aggregating/Simplifying Tick Data

Disclosure: I have 0 background in economics, finance or any directly related field. I have been given multiple sets of supposedly daily tick data (I say supposedly because I could not tell if it ...
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0answers
66 views

Missing sequence numbers in TAQ Quote data

I am looking at NYSE sample TAQ Quote data for Apple stock (link at the bottom of the post) and I have noticed large discontinuities in the data intervals. For example, these two are two succesive ...
2
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3answers
102 views

Find the tick increment value of an equity

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

Accurate closing and opening prices

Where can I find the most accurate closing and opening prices for the S&P500 and other major indices? I have been reading in a book called Machine Learning (author Ernest Chan) that many places ...
0
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2answers
172 views

Where can I get a dependable data stream of stock prices?

I want a dependable stream of second-by-second stock data. I have looked into quantgo, iqFeed and QuantHouse. Quantgo and iqFeed seem decent. QuantHouse with its ultra low latency speeds seems like ...
1
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0answers
268 views

Ticks aggregation into range bar chart

I have ticks data in format: Date, Time, Open, High, Low, Close, Volume. 11/09/2014,17:00:00,2019.00,2019.00,2019.00,2019.00,5 11/09/2014,17:00:00,2020.00,2020.00,2020.00,2020.00,25 11/09/2014,17:00:...
0
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2answers
127 views

Obtain prices for list of stocks

I have a spreadsheet with a large number of ticker symbols. Is there any site that can get the current or past (either works) price for each of these stocks in one fell swoop? Paste in the list of ...
1
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1answer
168 views

How to interpret minute by minute ticker data

The data is in the following format: { Time= 650 Volume=700 Last=89.22 High=89.56 Low=89.20 Open=89.25 } I understand that the time value represents the current minute of the day, market ...
2
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0answers
668 views

Netfonds.no: Continuing to understand how to get high frequency data

I first found out about netfonds about a year ago but I hadn't ever really gotten around to actually pulling data from there. I spent a little time today figuring out a way to pull data and here is ...
1
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1answer
203 views

Why NYSE is not included in TAQ data for NASDAQ listed companies?

I am using TAQ data to see from which exchanges bids (or asks) are coming. I have got this for AAPL (Apple company, listed in NASDAQ) for a sample day: ...
5
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3answers
1k views

Real-time Tick Data API for the Italian Stock Market

I am looking for a service that is able to provide real-time tick data (time&sales) for the contracts traded in the Italian Stock Market (Borsa Italiana). The service should provide data through ...
2
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1answer
2k views

netfonds.no - High Frequency Data

I originally got the idea from Python for Finance. But there are nomerous other examples on how to get high Netfonds (here and here). They don't seem to work any more: http://hopey.netfonds.no/...
4
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4answers
4k views

Which database to choose for storing and aggregating finance data?

I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this: Every tick (or second) data will be grouped by period (1,5,10 minutes; ...
1
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1answer
260 views

Rblpapi millisecond resolution

I'm using Rblapi to get tick data, using the nice getTicks function. Much to my dismay the index is rounded to the second, while milliseconds time stamp could be provided. Tried returnsAs xts, fts(?) ...
9
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2answers
5k views

What time series database can be used with Python and Pandas?

I'm looking for a time series database that can be easily used with Python and Pandas objects such as DataFrame, Panel... But these objects will always contains time series. Ideally I'm looking for ...
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1answer
82 views

How to understand this tickdata `askvolume` and `bidvolume` fields? [closed]

Here is 1 tick: Timestamp,Bid price,Ask price,Bid volume,Ask volume 20151127 00:05:00:592,1.06057,1.06061,1,1.5 Does ask volume 1.5 mean 1.5 million were ...
3
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3answers
1k views

Source for real-time tick data (stock price, etc.) updated every second?

For educational purposes, I'm looking for a source for now's real-time tick data for stock prices, or FOREX, etc., with a 1 second precision. Is there such free data feed? If not, could such data be ...
2
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2answers
351 views

Logistic Regression of tick data

I've been given some data (it's financial tick data) and I want to predict based on some observed variables whether the next move will be up, down or unchanged. So I have been trying to use ...
0
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1answer
155 views

Real-time Tick Filtering

Is anybody aware of any papers regarding tick/quote filtering algorithms. I'm aware of the Olsen stuff, but I'd prefer something with fewer free parameters.
4
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1answer
308 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 ...
2
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2answers
2k views

Bloomberg tick data timezone offset

I am using python to access the Bloomberg Desktop API and am running into issues with the timezone conversion for their tick data. The data they deliver is supposed to be UTC but there is something ...
5
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3answers
679 views

Negative high frequency intraday volatility - Zhou estimator

To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf where he talks about the bias free ...
4
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0answers
559 views

How do I artificially generate intraday ticks data from a given input (Open,High,Low,Close,Volume) using Brownian Bridge method?

How do I artificially generate intraday ticks data from a given input (Open,High,Low,Close,Volume) using Brownian Bridge method? https://en.wikipedia.org/wiki/Brownian_bridge P.S: Brownian Bridge ...
3
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2answers
348 views

Intraday Data - Stylized Facts?

Can someone give an overview or literature on Intraday Data Stylized Facts? In particular for equity market returns or exchange rates.
3
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2answers
9k views

Where can I download intraday series for DAX and S&P500 Index?

Where can I download intraday tick data for DAX and S&P500 index prices? I found only daily closing prices.
0
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0answers
511 views

Which size of constant range bar gives the most persistent chart?

A constant range bar chart is like a candle chart, only the candles don't close after a certain amount of time (i.e. 30 min, 4 hours), but after a certain range (i.e. 5 ticks) has been crossed. So if ...
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1answer
256 views

Should I analyze the tick data day by day?

Let assume that we have one month of tick data which were traded at NYSE. We want to model the price changes as a function of the last p lags of price changes and the last q lags of the time duration ...
7
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5answers
11k views

Is node.js being used in systematic trading software?

I have a project where I would like to track some tick data and create some indicators to follow it. I am thinking of using Node.js for this project, but I would like to know from those in industry if ...
2
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1answer
2k views

Where can i find tick data for futures contracts [duplicate]

Looking for places which can give me historical tick data for free or for the cheapest price. Don't really need it to be live , can be delayed too. What are my options. Mainly looking for tick data ...
1
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0answers
96 views

What is the best way to describe latency?

What are good ways of describe observed tick data latency with a view to flagging when something is systematically wrong? For example, we would want to discount outlier ticks so that we do not alert ...
2
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2answers
413 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 ...
1
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1answer
1k views

Components of an index in a specific date

Objective: Get a list of all the companies that were ever part of an index (e.g.: FTSE100) in a given period of time (scale: years/decades). Method I have in mind: 1) Create an empty list k. 2) Get ...
3
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2answers
636 views

FIX/FAST packet analyzer

I have a network dump of market data in the FIX/FAST format (transported over UDP). Are there standard pieces of software (similar to Wireshark) that will parse and allow for inspection of the key-...
1
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1answer
188 views

Calculating spot level using tick data

What is a proper (or commonly used/accepted) way of calculating some spot value with tick data? At the moment I can think of two options: Take the latest available best bid, latest available best ask ...
3
votes
3answers
653 views

Transaction Data with Participant ID

For my master thesis, I need high-frequency data with the market participant ID or which identifies the trading parties, respectively. I don't need the entire orderbook but just the matched orders ...