Questions tagged [tick-data]

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23 views

Obtain order level data for German stocks

in the context of my dissertation I am working on high frequency trading and would like to investigate its effects on the German stock market. For this purpose I will need the order activities of a ...
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34 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 ...
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55 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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58 views

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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49 views

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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15 views

Do volume/dollar bar series always have less observations than time (bar) series?

Traditionally, financial returns are derived from prices that have been sampled based on constant time intervals. These are known as time bars, and a series of returns based on time bars are what we ...
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1answer
44 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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18 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 ...
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2answers
83 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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1answer
60 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 ...
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1answer
56 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) ...
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51 views

API for Real-time and historical Stocks Tick Data

I am looking for a reliable API (e.g. Bloomberg, but available for individuals) where I can get stock tick data up to the minute, both historical and real-time. Obviously I am willing to pay for the ...
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313 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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1answer
63 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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1answer
46 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....
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30 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 ...
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4answers
102 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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1answer
132 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 dedicated to ...
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1answer
72 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: ...
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29 views

Calculation based on tick data of all contracts

In our system, we need to do calculation based on tick data from different contracts. However, in one tick, the timestamp of contracts are slightly different (sometimes big diff, but let's ignore this ...
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135 views

Where I can log in Thomson Reuters Tick History (TRTH) for free?

I would like to do the research about microstructure and would like to collect the tick by tick data collected in Thomson Reuters Tick History.
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1answer
128 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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883 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: ...
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4answers
167 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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0answers
429 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 ...
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1answer
666 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 ...
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1answer
95 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 ...
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2answers
2k 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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1answer
78 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 ...
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0answers
159 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 ...
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2answers
371 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 ...
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2answers
482 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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5answers
3k 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 ...
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2answers
5k 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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170 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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1answer
136 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?
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3answers
128 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? ...
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1answer
90 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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59 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 ...
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1answer
724 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 ...
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4answers
9k 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
43 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 ...
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1answer
285 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 wasn'...
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0answers
80 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 ...
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3answers
114 views

Find the tick increment value of an equity

Is there any resource containing the tick increment values of NASDAQ/NYSE equities (.0001, ...
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1answer
165 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 ...
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2answers
305 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 ...
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1answer
485 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:...
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2answers
135 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 ...
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1answer
672 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 ...