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To illustrate the approach using the difference between neighboring candle prices: Export intraday OHLC candles and check the difference between close and open, as well as between open and previous close. c_minus_o is the price difference between close and open of the same candle o_minus_c is the price difference between open and the close of the previous ...


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There are many (hundreds?) of ways to get historical equity data online, both free and paid. Check out the "What data sources are available online?" megathread: What data sources are available online? I have my own data service I just started, https://tendollardata.com, that I really do think is worth checking. I write out why in that thread (https:...


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Robert Shiller at Yale has it monthly back to 1870 (obviously backfilling before the actual existence of SPX itself). This is the data used to compute the famous/infamous CAPE.... http://www.econ.yale.edu/~shiller/data.htm (Just add the dividends to price to give you TR).


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Axibase Time Series Database is a non-relational alternative with a built-in schema for tick, EOD, and reference data. Querying statistics in ATSD by common criteria such as symbol, date range, strike price etc. should be much faster than reading from the input files since the order of records in files is not guaranteed and one generally needs to read the ...


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I find aggregates to be of limited use if the query engine is fast at scale. There is also an issue of out-of-order trades. If aggregates are calculated and persisted right after the period rolls over, you would need to re-calculate them in case missing or corrected trades are present in the official exchange Last Sale log which might be released next day. ...


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