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61

NASDAQ makes this information available via FTP and they update it every night. Log into ftp.nasdaqtrader.com anonymously. Look in the directory SymbolDirectory. You'll notice two files: nasdaqlisted.txt and otherlisted.txt. These two files will give you the entire list of tradeable symbols, where they are listed, their name/description, and an indicator as ...


24

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.com : Intraday data back to 2007 for US Equities, Futures and Options. So you can get S&P 500 data. Intraday they have tick, 1 sec, 1 min and 5 min OHLC bars....


23

Don't use them. I have used them for years because I couldn't find another source that would provide all stocks in all US exchanges -- till now. But first, about eoddata: their data is very often missing elements, e.g., on any given day the SP500 index data my not be in their data set, even for a normal trading day their ftp files are often out of date, ...


21

Here are some pointers. First of all: What you list as a Reuters RIC, RSF.ANY.AAPL.OQ, is not really a RIC, only the AAPL.OQ is. The initial part is some stuff which is essentially site specific and tells me that you are working on a site that has a legacy RTIC infrastructure (some Reuters/TIBCO technology which is quite old these days and for all ...


14

Slightly ugly bash one-liner for a sorted JSON array: echo "[\"$(echo -n "$(echo -en "$(curl -s --compressed 'ftp://ftp.nasdaqtrader.com/SymbolDirectory/nasdaqlisted.txt' | tail -n+2 | head -n-1 | perl -pe 's/ //g' | tr '|' ' ' | awk '{printf $1" "} {print $4}')\n$(curl -s --compressed 'ftp://ftp.nasdaqtrader.com/SymbolDirectory/otherlisted.txt' | tail -n+2 ...


14

From my experience, EODData is pretty much that you get what you pay for. Its not a very sophisticated product. They email you the files you subscribe to, and thats that. I have had an issue before of where the emails didn't go through anymore and I never heard anything from them. On Quality, I can't make a claim on its accuracy. It seems good. I find issue ...


14

That information is available in the SEC's EDGAR database, though there can be many flavors of "shares outstanding". It is reported quarterly in a company's 10-Q/K, sometimes on a weighted-average basis. If you don't want to get it manually, a service like Bloomberg will let you access the historical levels quite easily, or you can parse the EDGAR XML feeds. ...


13

Don't use them. Their data is very spotty. They offer "minute by minute" data on commodities markets and forex which should be technically 24hrs yet it usually starts from 9 or 11 o clock and the "minutes" end around 3 or 4. I emailed their support alias asking why this was the case. I also copied and pasted the opening and closing times of the exchanges and ...


11

Equity returns have persistent negative skewness and excess kurtosis[1] over longer periods. So yes you're right: a majority of the daily returns is positive and small and a minority of the returns is negative and larger. This can be quite extreme, for example Black Monday. I don't have the data right now but you can get returns on major indices freely. [1]...


11

I really wouldn't implement time series on my own unless I had a good reason to. AQR uses pandas, almost everyone in R using zoo or xts. I never like multiple parallel arrays, if it breaks everything is broken, plus it gets uglier as you increment data. If you are doing something in C++, why not have an array of structs for each object where you have ...


11

No - clearly you've not seen the licensing agreements the exchanges force you to sign (one way or the other). Generally such firms and individuals have greater utility from the money they'll make working with the data than risking going to jail. Market data is a 5bn / yr business. You're pushing the proverbial up-hill. Anyway, you can get financial index ...


10

If you are serious about performance and flexibility, you have to take a look at data.table package in R. Here is the crantastic review. It is lighting fast! I think this is the best package addressing performance and memory issues.


10

You can pull a list of all stocks easily. See this question. You can get nasdaqlisted.txt and otherlisted.txt from here. nasdaqlisted.txt is clearly Tape C. otherlisted.txt contains an Exchange column which can be used to determine Tape A or B. If it is N it's listed at NYSE and therefore Tape A, otherwise it's Tape B. Also, NYSE publishes a symbol list ...


10

There are so many different data providers, and they all end up using slightly different definitions. For Google, it looks like they use Deutsche Börse (Google) as a data source. I can't tell what Yahoo Deutschland is using. I think your real question, though, is why the different data providers have different answers to the same questions. The answers ...


9

Don't use eoddata unless you absolutely have to. I purchased long history of global index and forex prices. There are hundreds and hundreds of incorrectly missing or completely wrong prices. For example (big problem with forex), the price is coming along in the 10s, then spkes up to the 1000's for a few days before dropping back down. Repeat over and ...


9

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 kind of ladder pricing. So if you cannot get rid of either Bloomberg or Thomson Reuters completely then you may not save as much as you expected. Technology ...


8

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. I can confirm the wildly swinging price spikes other users have identified, plus data gaps, plus the same stock listed on multiple exchanges, plus entire ...


8

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 GitHub), on all the relevant operating systems: Windows, Linux, OS X, Solaris. This includes support for tick data which is stored in a rolling window (ie from ...


8

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/


8

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 detail how he constructs his time series. I think you'll have to get your hands dirty, get into the weeds of these papers. This is probably a good thing, as the ...


8

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. But there are a few other solid underlying principles that are applied in financial industry. These are pieces of information that are not necessarily "...


8

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 and large, mid and small cap representation across 26 Emerging Markets (EM) countries. With 14,752 constituents, the index is comprehensive, covering ...


7

While noble, unfortunately, this type of effort is not very practical. Mostly because market data is a major source of revenue for the market centers and is never simply given away, at least not in intraday form. A few things to consider: Becoming a market data distributor is both costly and entails entering into agreements with each market center. If we ...


7

Yes, there is in fact a whole literature on this subject coming from the field of non-linear dynamics-- it is known as the method of surrogates. The idea is essentially to come up with a "scrambled" version of your original data set that preserves many of the basic statistical properties, though perhaps not the serial dependence structure which might be ...


7

I would recommend Marc Wildi's work on signal extraction.


7

I have used eoddata for an analysis of open interest with a history of 10 years daily data. Since it was the only source, i can't comment on the data quality. What I comment on is that the interesting data could be extracted efficiently from the source files (which will give you a csv per day for the data of an exchange).


7

The difference is usually explained by the way the end-providers (Google, Yahoo) aggregate the data they get from their vendors getting prices from same exchange, but from different trading platforms different adjustments and corrections during post trading period missing corporate actions or dividends and many more. If you have a discrepancy in a price ...


7

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 that are reported inside the spread. I believe you will find that the Lee-Ready algorithm will outperform the naive midpoint reference approach suggested by @...


7

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 IPython notebook on the website. Once you register, go to https://www.quantopian.com/research and check the get_pricing() demo notebook. Disclosure: I work at ...


7

Markit Pricing Data is a prime source for cds data (not free).


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