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Questions tagged [tick-data]

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

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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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127 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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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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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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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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266 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)...
QMath's user avatar
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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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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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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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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 answer
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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
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233 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
612 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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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
71 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
427 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
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357 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
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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.
Lex's user avatar
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1 answer
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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 ...
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
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1k 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)....
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
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1 answer
121 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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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
175 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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1 answer
195 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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1 answer
202 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
433 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
846 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
105 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
174 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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4 answers
122 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
398 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
174 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
266 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
732 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
942 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
156 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
6k 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
1 vote
1 answer
154 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 ...
user3433489's user avatar
1 vote
0 answers
177 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 ...
Bouarfa Mahi's user avatar