102 votes

Building Financial Data Time Series Database from scratch

I am going to recommend something that I have no doubt will get people completely up in arms and probably get people to attack me. It happened in the past and I lost many points on StackOverflow as ...
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  • 1,787
44 votes

Where to get long time historical intraday data?

You are not clear if you want the S&P500 index (SPY), OPRA Options or the Futures. Having spent a lot of time exploring vendors, here is a summary to help you (in alphabetical order): AlgoSeek....
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  • 571
34 votes

Building Financial Data Time Series Database from scratch

All of the answers above (unfortunately highly upvoted at this point) are missing the point. You shouldn't pick a DBMS or storage solution by general performance benchmarks, you should pick it by use ...
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  • 5,052
23 votes

Where can I get historical fundamental data for multiple companies in a single CSV file?

A friend of mine has created a free source for fundamental financial company data of US listed stocks. All of the data is easily available from https://simfin.com/. Feel free to check it out and send ...
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  • 365
20 votes
Accepted

What happened to the French franc value in August 1969?

That was the devaluation of the French franc on 8 August, 1969 (by 12.5% in terms of par value), decided by President Pompidou and his finance minister Giscard d'Estaing. In those days, exchange ...
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  • 9,077
17 votes
Accepted

What's the most efficient way to store options and time series data for backtesting?

If the only purpose is to backtest with the data, the primary (in some cases, only) access pattern is to seek to a start time and read all of the data serially through to an end time. Then, there is a ...
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  • 1,626
15 votes

Building Financial Data Time Series Database from scratch

The standard answer is going to be that for time series, you want a column store database. These are optimized for range queries (ie: give me everything between two timestamps) because crucially, they ...
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15 votes

Building Financial Data Time Series Database from scratch

Interesting debate and Not to wake sleeping dogs, the world has moved quite a bit in the 1.5 years, and the data space has exploded. I would like to recommend some ...
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13 votes
Accepted

Data for the Tulip mania

I don't see anyplace obvious. My quick reading of Garber's original paper is that he greatly drew on work by Ernst Krelage which I've linked below. The Appendix I of Thompson (2007) describes in ...
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  • 6,334
13 votes

Why quants think that the risk-neutral measure should not be used for financial forecasting?

There is a deeper issue. Frequentist distributions are not probability distributions because they are designed to be minimax distributions rather than actual distributions. This ignores all of the ...
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  • 4,092
12 votes

Where to get long time historical intraday data?

You can get minutely as-traded prices for all US securities on Quantopian, for free. You can't download the original data, but you can query it, analyze it, and do your research within a hosted ...
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  • 341
12 votes
Accepted

Is Yahoo! Finance data good or bad now?

What has changed The API is gone. The new downloads need 1st to parse the Yahoo Finance page to find a hidden crumb and use it as the key for data retrieval over a 2nd URL. The adjusted close is ...
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  • 618
11 votes
Accepted

How to make a trading universe of liquid futures contracts

Systematically finding most liquid futures instruments Can we put together a better list than the academic articles? Yes! The lists in existing publications [1, 2] are great, but fall slightly short ...
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  • 1,626
9 votes

Where to get long time historical intraday data?

Thomson Reuters Tick History. Reasons you might want to use it: 1) It has just about everything you could possibly imagine, going back a long way, and more. 2) The API is (mostly) straightforward ...
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9 votes
Accepted

Where to get price data on Credit Default Swaps?

Markit Pricing Data is a prime source for cds data (not free).
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  • 712
9 votes

Why quants think that the risk-neutral measure should not be used for financial forecasting?

In their book "Counterparty Credit Risk, Collateral and Funding" D. Brigo, M. Morini and A. Pallavicini start with a dialogue between a Physics PhD graduate and an experienced practitioner of ...
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8 votes
Accepted

How can I export intraday frequency data from Bloomberg and (how) is this procedure different than for lower frequencies?

None of the previous answers have mentioned the fact that Bloomberg supports an API with support for all the main languages (C, C++, Java, Python, Perl -- and even Node and Haskell support on ...
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8 votes

Why are Quantquote historical trades different vom ActiveTick historical trades

Let me guess, you fell for one of the fake Quantquote reviews and decided to purchase their buggy data? The reason for the missing quotes is Quantquote data is more of a snap-shot of market activity. ...
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8 votes

Why quants think that the risk-neutral measure should not be used for financial forecasting?

Perhaps a case of views based upon theoretical possibilities rather than empirical realities? In theory, $P$ and $Q$ can be extremely different $P$ is the real world, actual probability measure. $Q$ ...
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  • 6,334
8 votes
Accepted

YFinance incoherent daily and hourly values

When you sample stock market data, you really need to understand what source(s) and rules are being used, and any adjustments applied to the data. Different rules might also exist for different ...
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  • 1,252
7 votes

Where can I get historical fundamental data for multiple companies in a single CSV file?

You can find dataset you need on QUANDL (although some data service is for paying, it is a good data source and not expensive); there are a lot of fundamentals data, surely all you need and you ...
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  • 2,438
7 votes

Where can I get historical fundamental data for multiple companies in a single CSV file?

I'd just like to share that I work at Quandl and noticed this thread. We now have global fundamentals data that can be downloaded in various formats including CSV. Our Global Select Stock Fundamentals ...
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7 votes

Why are Quantquote historical trades different vom ActiveTick historical trades

This is an old post, but I thought I would offer the following facts: 1) QQ claims to be sited in the Empire State Building, Suite 2100. (https://quantquote.com/contact.php) That is false. They do ...
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7 votes

Where to get price data on Credit Default Swaps?

Better than Markit, you can have a look at https://www.datagrapple.com/ (subscription is free). About 1000 CDS are covered. Daily end-of-day prices (mid of a best bid/offer order book) from Jan 2006 ...
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  • 281
7 votes

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

Dukascopy offers historical tick data. Through their historical data website you can download what you want, but registration is required, and lots of manual clicking. However if you are comfortable ...
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  • 171
7 votes
Accepted

Does using adjusted closing prices constitute a lookahead bias?

To elaborate and emphasize a bit on what @Antoine says, using adjusted prices will be reasonable from a returns point of view, with dividends reinvested. That point, dividend reinvestment, is ...
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  • 14.4k
7 votes
Accepted

How to deal with missing value in a time series stock market data?

Some approaches Use only common points - Exclude all holidays in any index. Reduced sample size Loss of information No 'made up' data (consistency) Fill forward - use previous day as you ...
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  • 1,049
7 votes
Accepted

What are the known flaws and limitations of OptionMetrics data?

OptionMetrics has its flaws but it has been widely used in economics/finance research. Regarding the Constantinides, Jackwerth and Perrakis (2008) paper I am unsure what their concern are. The ...
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  • 6,850
7 votes

Missing data in historical simulation VaR

This issue is incredibly important and I agree there is little practical information about it. To me, the key idea is to find the right matrix completion algorithm that best suits your needs. I work ...
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  • 171
6 votes

Daily option data

Your prayers were heard ;-) The following article gives you all you need, especially the function getOptionQuote() which lets you download option chains for any ...
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  • 26.9k

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