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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 ...
lehalle's user avatar
  • 12.3k
5 votes
Accepted

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 ...
Malick's user avatar
  • 2,582
5 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 ...
lehalle's user avatar
  • 12.3k
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 ...
Alex Norcliffe's user avatar
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, ...
Brian from QuantRocket's user avatar
4 votes
Accepted

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 ...
Yannick's user avatar
  • 138
4 votes
Accepted

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 ...
Pleb's user avatar
  • 4,486
3 votes
Accepted

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 ...
amdopt's user avatar
  • 4,348
3 votes
Accepted

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 ...
Enrico Schumann's user avatar
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.
Quant In Spe's user avatar
2 votes

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

Have a look at the TFX R package.
user189035's user avatar
2 votes
Accepted

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.
Judo's user avatar
  • 266
2 votes
Accepted

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 ...
user37317's user avatar
  • 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 ...
mirik's user avatar
  • 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 ...
Richard Hardy's user avatar
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 ...
Pleb's user avatar
  • 4,486
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 ...
deftfyodor's user avatar
2 votes

Historical data for quantitative research and trading?

I bought data recently using intrinio.com. Solid quality and not too pricy.
Max van Leeuwen's user avatar
1 vote

Mechanism for Tick Rule for Trade Classification

In an order-by-order depth-of-book feed, the trade direction is based on the taking order. If an incoming BUY order is immediately matched with a standing SELL order, the direction is BUY. Things get ...
Sergei Rodionov's user avatar
1 vote
Accepted

Finding option price using intraday data

Why not? You can back out implied vol from the times you do have for the underlier price and then use that to price the options for the times you do not have. (This is assuming you are taking about ...
kurtosis's user avatar
  • 2,910
1 vote
Accepted

Do corporate events happen intraday?

All the events that affect shares outstanding happen overnight.
LazyCat's user avatar
  • 1,551
1 vote

Downloading Historical Data from Finam.ru

You need to specify smaller timesteps, otherwise this is just some error in Russian. Use https://pypi.org/project/finam-export/
Holi's user avatar
  • 111
1 vote

Historical SPX Intraday data with volume

Last time I checked, algoseek has that kind of data. Their S&P 500 Trades and Quotes+minute bar data set contains OHLC, FINRA volume and etc. You can find a sample of their dataset here
Mike Williams's user avatar
1 vote

Extract time and sales from the level 2

if sales are executed limit orders, then they wouldnt appear in the limit order book, but the message book. The message book contains executed transactions and cancellations. If you cant obtain the ...
develarist's user avatar
  • 3,040
1 vote

Where to get historical intraday stock data?

You asked why someone would want option data rather than stock data. Option price data is derived from the trading activity of people trading options. If you want to simulate an options trading ...
ontic's user avatar
  • 85
1 vote
Accepted

sort of asked before but would be good to get updated sources of tick data

I think it probably depends on how you define “reasonably priced”. Data from Bloomberg and Refinitiv are a little bit over expensive, but they are for sure options. As to quantquote, I doubt if they ...
Mike Williams's user avatar
1 vote
Accepted

What steps are for a specific Day Trading Pattern

Suppose such a generic pattern exists and its publicly known so that some kind soul will publish it on Stackexchange for all to profit. How long do you think that pattern will persist? Developing ...
Attack68's user avatar
  • 10.8k
1 vote

Intraday option price data European stocks and indices

https://www.quandl.com and https://www.tickdata.com/ have really comprehensive market data both intraday and end of day data. They have data for both America Exchanges and European Exchanges plus ...
Alifeleti Etuate's user avatar
1 vote

trading equities on options feed/microstructure data

I am sure that some people do this. Generally, there is some evidence that informed traders choose to trade in the option markets first (Easley et.al, 1998). This is especially true if an informed ...
Freddorick's user avatar
1 vote
Accepted

Combine EWMA or ARCH model with estimator other than squared returns

There are papers about improving *ARCH models by using other estimators than the classic squared returns estimator. Here are some links: In the paper How Useful are the Various Volatility Estimators ...
flxh's user avatar
  • 197

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