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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 ...
databento's user avatar
  • 2,488
15 votes

Without Bloomberg, how can retail investors know how many shares have been shorted daily?

There are two different data items. "Short volume" (generally available daily) measures the number of shares that have been shorted in the given period of time, while "short interest&...
Dimitri Vulis's user avatar
13 votes
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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 ...
Matthew Gunn's user avatar
  • 6,944
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 ...
Dan Dunn's user avatar
  • 341
11 votes

Why don't data sources use ISIN instead of symbol?

As a complement to the answer by Enrico, the ISIN identifies a financial instrument in a unique way. Tradition is, of course a reason and many codes, such as the CUSIP code in the US, predate the ISIN....
fralau's user avatar
  • 321
11 votes
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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 ...
databento's user avatar
  • 2,488
8 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 ...
Tony's user avatar
  • 181
8 votes

Cap/Floor ATM Rate

The question is 1 year-old old but I will answer it anyway. The ATM level (ATMF: at the money forward to be more precise) is the one giving you the same price for call and put, or in this case, the ...
byouness's user avatar
  • 2,210
8 votes
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Where can I get the actual info about how many stocks are there in markets all over the world?

Per the factsheet for MSCI ACWI All Cap Index (as of May 31, 2019): The MSCI ACWI All Cap Index captures large, mid, small and micro cap representation across 23 Developed Markets (DM) countries ...
Helin's user avatar
  • 11.7k
7 votes

Is "eoddata" a good data source?

I saw a lot of "DON'T USE THEM" messages so I think the OP might benefit from a little more comprehensive answer that puts things in perspective. Firstly, understand that no data source is perfect. I ...
user2040657's user avatar
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 ...
mic's user avatar
  • 281
7 votes

How do I get a good mid-price?

Ask minus bid has nothing to do with the mid price - it is the spread. Generally you see a collection of bid/offer orders resting on different price levels. In the simplest case, you just see one bid ...
Chris Taylor's user avatar
  • 5,911
7 votes
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Calibration by monte carlo, should I fix my seed?

It is not cheating. It allows you to make your results (e.g. prices, calibrated parameters) 'reproducible' which is good. However, fixing the seed can hide convergence issues. When the variance of ...
Quantuple's user avatar
  • 14.6k
7 votes
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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 ...
Brian B's user avatar
  • 14.9k
7 votes
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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 ...
user25064's user avatar
  • 1,077
7 votes
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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 ...
phdstudent's user avatar
  • 8,306
7 votes
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Interpolation of FX Vol Surface from non-uniform strike vs tenor grid

I tried something along these lines in Quantlib python a few weeks ago. Slightly more simple compared to your approach I think: start with a standard delta quote convention for FX vols (10D puts, 25D ...
user35980's user avatar
  • 1,386
7 votes

Interpolation of FX Vol Surface from non-uniform strike vs tenor grid

In the end I found that fitting a SABR smile to each tenor (borrowing a result from this answer) was sufficient to build a local vol surface that was smooth and well-behaved enough to build a variance ...
StackG's user avatar
  • 3,016
7 votes
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ICE futures settlement prices change with zero volume and zero OI

These contracts follow standard ICE procedures for calculating settlement prices, which can be found in section 2.4.6 of this document. A high-level overview of the procedure is -- An 'anchor' expiry ...
Chris Taylor's user avatar
  • 5,911
7 votes
Accepted

What are the proper ways to do order book downsampling?

Two chief reasons for subsampling or using a different event space are (i) computational or spatial tractability and (ii) denoising/signal extraction. Sergei's response seems to focus on the first ...
databento's user avatar
  • 2,488
6 votes
Accepted

Why were Fama/French Momentum Factors discontinued in 2016?

To preface, just a minor quibble: French still tracks the momentum anomaly elsewhere on his library, under "Sorts involving Prior Returns"; it's just no longer part of the core FF framework ...
David Addison's user avatar
6 votes
Accepted

Is there any public data to get OIS for differal time (1d, 1W, 1M, ..., 10Y)?

So you can get depo and swap rates from markit daily, at links like this: http://www.markit.com/news/InterestRates_<cncy>_<yyyymmdd>.zip i.e. http://...
will's user avatar
  • 2,571
6 votes

Which data sources are available for cryptocurrencies?

As mentioned in other answers, Coinmarketcap and Bitcoincharts are two options. The data they provide is also available from Quandl too. The only issue is, that data has daily frequency and is only ...
Tanmay's user avatar
  • 261
6 votes
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Implying risk-free rates using Put/Call parity

Once upon a time, all option contracts ceased trading on the third Friday of every month. There was no after hours trading for the underlying. When the exchanges closed, everything was done. This ...
Dave Harris's user avatar
  • 4,299
6 votes
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Is an ISIN unique per company (or what else is)?

Not really. The ISIN identifies a financial instrument, regardless of the market on which it is traded. The same company can issue several financial instruments (e.g. equity, bonds, etc.). In ...
fralau's user avatar
  • 321
6 votes
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Using AlphaVantage For Japan/Shanghai/Hong Kong/Shenzhen stock exchange data?

All of the examples just got tested. They all work for me with my API key. Just swap in your API key below, and you should be all set. For Tokyo: Sony: https://www.alphavantage.co/query?function=...
amdopt's user avatar
  • 4,338
5 votes

Mapping symbols between tickers, Reuters RICs and Bloomberg tickers

Each vendor has their own symbology universe and each exchange, market, or country may have their own standard identifiers. To date the majority of identifiers have also been dynamic, i.e. when a ...
Steve-o's user avatar
  • 153
5 votes
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How to organize historical data including delisted

The problem you describe isn't trivial. Mainly because once you have it solved for all current known cases someone will figure out a way to do something different and mess up your system. Here are ...
drobertson's user avatar
  • 1,882
5 votes

Which data sources are available for cryptocurrencies?

I have found that Bitcoincharts has trade level data from a number of exchanges going back quite far. It can be downloaded at: https://api.bitcoincharts.com/v1/csv/
snth's user avatar
  • 486
5 votes

Implying risk-free rates using Put/Call parity

Elaborating on my comment: consider a 100 point in the money collar, one day before expiration. You are effectively claiming the price of this is 99.5. But if you call the pit and get a two way ...
dm63's user avatar
  • 17.1k

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