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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7 votes
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Negative high frequency intraday volatility - Zhou estimator

In any finite sample, it is always possible for the Zhou estimator to return a negative number, even though we know the unobservable parameter being estimated is non-negative. This is a well known ...
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6 votes
Accepted

Corwin-Schultz estimator of bid-ask spread

If you have access to intraday data, they are better ways to estimate the bid-ask spread. If you have Open, High, Low and Close price on each 5min bin $b$ (or any other interval): the Close of the ...
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  • 10.6k
5 votes
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How to account for intraday seasonality in GARCH model?

The traditional way is to pre-filter the returns thanks to the a relation similar to : $r^{f}_{t} = r_{t} /\phi_{t}$ where $r_{t}$ are the squared log returns, $r^{f}_{t}$ the filtered squared ...
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  • 2,514
5 votes

Where to get historical intraday stock data?

There are a wealth of providers out there. Your best bet is to sign up for Alpaca markets, which then gives you a free API key to use Polygon.io - they have 1-minute bar aggregates going back a decade ...
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4 votes

Intraday data frequency

I think the answer is driven by asking yourself a few questions : If you are a practitioner at what frequency are you able to trade and want to trade ? (you are limited by this so no need to go to ...
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4 votes
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Bloomberg-alternatives for intraday stock price data?

Complete intraday data history can be obtained through the Thomson Reuters DataScope Tick History (TRDTH) archive: http://thomsonreuters.com/tick-history You may ask them for a trial subscription.
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  • 5,649
4 votes
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Information available to traders

Unmatched buyers and sellers prices are called bid/ask offers. What you are referring to is the order book. Yes, this is something you can see in real time if you subscribe to it with your broker (L2 ...
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  • 118
4 votes

Historical SPX Intraday data with volume

If you have an Interactive Brokers account, you can get historical intraday index data, including SPX, through their API. Many developers find using the Interactive Brokers API to be a challenge, ...
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4 votes

Why should we rather work with volume time?

There is a good and a bad point in using volume-time in place of calendar-time: on the one hand, you obtain a more "regular" time series but on the other hand, you cannot synchronize two ...
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  • 10.6k
4 votes
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Historical intraday dataset with penny stocks with a gap-up of 10% or above

Often no pre-made dataset exists when you have such specific requirements. Therefore, you have to find your own data by searching for penny-stocks that matches your criteria. This can be done via a ...
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  • 3,763
3 votes

Free access to official real-time and intraday data for exchanges

+1 for "feeling like the data is out there to be parsed for free". lol If data is just for toys, do: http://www.dxfeed.com/historical-tick-data/ They offer (free) tick data for May 6 2010 (flash ...
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  • 208
3 votes

Where can I download intraday series for DAX and S&P500 Index?

Here's the SPX & DAX data in CSV format (you can open in Excel): http://real-chart.finance.yahoo.com/table.csv?s=%5EGDAXI&d=11&e=1&f=2014&g=d&a=10&b=26&c=1990&...
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  • 211
3 votes
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Calculating intraday returns from imperfect data in R

Create a new price series that has a value for every minute, e.g. by carrying the last observation forward. Then compute returns from this new price series. (There are simpler approaches for this ...
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3 votes
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Time of Nasdaq daily close price

Neither. Nasdaq publishes a close price at 4:01:30 p.m. ET known as the Nasdaq Official Close Price ("NOCP"). Nasdaq also amends this price up to 5:15 p.m. ET if any trades that were used ...
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  • 3,780
3 votes

Historical data for quantitative research and trading?

I bought data recently using intrinio.com. Solid quality and not too pricy.
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3 votes

Historical data for quantitative research and trading?

I work for the Dutch Central Bank and we use Refinitiv for forecasting purposes. Can't comment on the quality of the live feed but the data quality itself is definitely solid.
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2 votes

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

The answer to your question probably depends on the type of the security you want to query the data from, their vendor (not Bloomberg, the original vendor) and your license with Bloomberg. I don't ...
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  • 10.9k
2 votes

Where can I find a list of market-moving news announcements for different asset classes?

How about: Barnhart, Scott W. "The effects of macroeconomic announcements on commodity prices." American Journal of Agricultural Economics 71.2 (1989): 389-403. This article analyzes the immediate ...
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  • 227
2 votes

Where and how can I get FX intraday data for use it in R?

Have a look at the TFX R package.
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2 votes

Events effect on intraday volatility and large outliers

There are various alternatives to your problem: If you think that Normal distribution is not appropriate then you can use other distributions like t-distribution, skewed t-distribution, generalized ...
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  • 2,158
2 votes

Intraday Data - Stylized Facts?

Stationarity. The distribution of returns is non-stationary. Moreover, standard deviation of returns is not constant over time. Symmetry. The distribution of returns is approximately symmetric with ...
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  • 5,062
2 votes
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Where can I download intraday series for DAX and S&P500 Index?

For the SPX, First Rate Data - SPX intraday has about 15 years of 1-minute intraday data.
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  • 256
2 votes
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Where to find sample intraday data? One to two days or more

Check out Quandl's collection of intraday data from AlgoSeek: https://www.quandl.com/vendors/as These are historical trade-based minute bars showing OHLCV for stocks. If you click on each database ...
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  • 239
2 votes

Where to get historical intraday stock data?

There is a demo ticks dataset for S&P500: https://github.com/Jackal08/financial-data-structures/blob/master/raw_tick_data/ES_Trades.csv.zip It has 5.5kk entries for 20 days of the year 2013. The ...
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  • 145
2 votes

Why a model like GARCH is only good for daily volatility and not for intraday volatilities?

The main difference between GARCH and realized GARCH models applied on daily or intradily data might be not the time period but rather the data availability and its use. A GARCH model uses very little ...
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2 votes
Accepted

Mechanism for Tick Rule for Trade Classification

This is a quantifiable way to infer some understanding of the trade direction under very short time horizons (market microstructure). There exists a couple of other trade direction algorithms, which ...
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  • 3,763
2 votes

What causes the gap between ETF prices and intraday NAVs?

This definitely happens in the real world, in fact it is the basis for the very popular trade called ETF arbitrage. There are many reasons that this happens, the primary being that you haven't ...
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1 vote

Historical data on EUA Futures (Intraday, 15 minutes) from 2008

Have a look at Tick Data. They sell trade (and optionally quote) data for a lot of different instruments including the EUA futures. Their pricing is 125 USD for a one year tick history and you need to ...
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1 vote

Where to find sample intraday data? One to two days or more

Tick Data has some sample equity data with bid/ask. First go to the Tick Data equities web site: https://www.tickdata.com/equity-data/ Then find the Sample Data link.
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