7
votes
Accepted
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 ...
- 739
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 ...
- 11.4k
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 ...
- 151
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 ...
- 2,542
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 ...
- 11.4k
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 ...
- 367
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 ...
- 128
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, ...
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 ...
- 4,156
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 ...
- 4,690
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 ...
- 3,176
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.
- 187
2
votes
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 ...
- 2,218
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 ...
- 239
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.
- 266
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 ...
- 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 ...
- 2,632
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 ...
- 4,156
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 ...
- 221
2
votes
Historical data for quantitative research and trading?
I bought data recently using intrinio.com. Solid quality and not too pricy.
- 142
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 ...
- 2,970
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 ...
- 136
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 ...
- 8,842
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 ...
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 ...
- 197
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 ...
- 5,949
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.
- 11
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 ...
- 392
1
vote
Bloomberg-alternatives for intraday stock price data?
https://algoseek.com/ is an option if you are looking for historical intraday stock data in the US market. You can easily download their samples and the dataset you need on their Explore Data page.
- 136
Only top scored, non community-wiki answers of a minimum length are eligible