Questions tagged [tick-data]

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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 ...
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241 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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0answers
720 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 ...
2
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305 views

Simple EOD computations for tick data

As part of End-Of-Day calculations once a particular market/exchange has closed for all the tickers traded on that market one may typically compute the following properties: OHLC Bid/Ask Price (mean, ...
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16 views

Wald-Wolfowitz runs test on different time frames

I have developed an indicator that employs the Wald-Wolfowitz (W-W) runs test on log-returns, i.e., $r_t =\log(P_t)-\log(P_{t-1})$, for various time frames for intra-day futures. Log-returns are ...
1
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141 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 ...
1
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0answers
109 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 ...
1
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76 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 ...
1
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0answers
370 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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57 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 ...
0
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0answers
580 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
68 views

real time tick data source

Hello 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 ...