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Market-data includes all questions relative to data acquisition for the different financial products. It can also include questions about how market data are computed.

24 votes
20 answers
27k views

Is "eoddata" a good data source?

Not sure if this is a relevant question for site, but I am looking to move to www.eoddata.com as my data source. If anyone has used it, can you tell me how the data quality is ? I am currently pars …
silencer's user avatar
  • 1,563
3 votes
1 answer
3k views

Do you know any data source for historical VWAP data?

I am looking for historical VWAP pricing data for north american equities. I haven't been able to find a free/cheap data source. Do you guys know of one ? Also, is there a way to proxy for an equities …
silencer's user avatar
  • 1,563
8 votes
3 answers
1k views

How to account for jumps in intraday data when calculating beta?

I am calculating betas on intraday trade data at 15-minute intervals. For simplicity sake, let's assume I am modeling \begin{equation} Y = \beta * X + c \end{equation} where $Y$ is the return of XLF …
silencer's user avatar
  • 1,563