44 votes

Where to get long time historical intraday data?

You are not clear if you want the S&P500 index (SPY), OPRA Options or the Futures. Having spent a lot of time exploring vendors, here is a summary to help you (in alphabetical order): AlgoSeek....
user avatar
  • 571
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 ...
user avatar
  • 1,626
16 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&...
user avatar
13 votes
Accepted

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 ...
user avatar
  • 6,334
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 ...
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....
user avatar
  • 321
11 votes
Accepted

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 ...
user avatar
  • 1,626
9 votes

Market Data Sources Bloomberg Vs Reuter

There are a few things to consider: Price On average Thomson Reuters is known to be less costly than Bloomberg. One thing to consider when looking to save money is that most vendors will use some ...
user avatar
  • 191
9 votes
Accepted

Difference between the two Bloomberg codes

UW = NASDAQ Global Select Market US = US Composite source : http://bsym.bloomberg.com/sym/pages/pricing_source.xls see also : http://bsym.bloomberg.com/sym/
user avatar
  • 236
9 votes

Where to get long time historical intraday data?

Thomson Reuters Tick History. Reasons you might want to use it: 1) It has just about everything you could possibly imagine, going back a long way, and more. 2) The API is (mostly) straightforward ...
user avatar
9 votes
Accepted

Where to get price data on Credit Default Swaps?

Markit Pricing Data is a prime source for cds data (not free).
user avatar
  • 712
8 votes

Is "eoddata" a good data source?

I am an Oracle Database Administrator. I subscribe to EODdata for daily minute-tick price data. When I upload their datasets into my database I run consistency checks before the data is finalized. ...
user avatar
  • 81
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 ...
user avatar
8 votes
Accepted

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 ...
user avatar
  • 10.9k
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 ...
user avatar
7 votes

Algorithm to detect the aggressor side of a trade

The most commonly-known approach to this is described in Inferring trade direction from intraday data (1991) by Lee and Ready. You will find that the non-trivial part has to do with classifying trades ...
user avatar
  • 5,052
7 votes
Accepted

Latency and Delays across Exchanges

The round-trip latency from point A to a matching engine at point B can be thought of being comprised of two components: $RTT_{total,A \rightarrow B} = RTT_{network\_transit,A \rightarrow B} + MPL_{...
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 ...
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 ...
user avatar
  • 5,628
7 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 ...
user avatar
  • 171
7 votes
Accepted

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 ...
user avatar
  • 13.8k
7 votes
Accepted

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 ...
user avatar
  • 14.4k
7 votes
Accepted

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 ...
user avatar
  • 1,049
7 votes
Accepted

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 ...
user avatar
  • 6,860
7 votes
Accepted

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 ...
user avatar
  • 5,628
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 ...
user avatar
  • 1,626
6 votes

Efficient Markets Paradox

Making money is not the only reasonable objective to trading. Another common reason is to manage/reallocate risk. For example, this is exactly the objective of liability-driven-investors, such as ...
user avatar
  • 463
6 votes
Accepted

Seasonal patterns in financial markets (weekday effects)

You can find a good overview here: Seasonal Anomalies by Ziemba, W.; Dzahabarov, C. Abstract: This chapter is a survey of seasonal anomalies. Ziemba has been involved in the re- search and ...
user avatar
  • 26.9k
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 ...
user avatar
6 votes
Accepted

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 ...
user avatar
  • 4,092

Only top scored, non community-wiki answers of a minimum length are eligible