57
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....
22
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their ftp files are often out of date, ...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 ...
19
Bloomberg Open Symbology has this list. Look in the Common Stock precanned file. This will have a bit more data than you probably need as it has a separate entry and unique id for each place an equity is traded. However it is probably the highest quality list available for free anywhere.
As for filtering ETFs are broken out in a separate file (Equity_ETP) ...
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.
...
12
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 ...
12
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 ...
12
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
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
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
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
You can download all stocks on the three exchanges listed in your question from the NASDAQ website: http://www.nasdaq.com/screening/company-list.aspx.
It looks like removing those entries with an industry of "N/A" will eliminate ETFs and other funds from the list.
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
The stockSymbols function in the R package TTR pulls the data from nasdaq.com that @bellamyj mentioned. It also attempts to convert the symbols to a format acceptable to Yahoo Finance.
That said, I'm not certain how to filter this list for only common stocks. There are 1275 securities with "n/a" Sector or Industry, leaving ~5000. Perhaps the remaining ...
8
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 ...
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 ...
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
There is a third option -- use the ZOO packages for time-series objects. You will have the benefit of index and time-series indexes.
Per Ulrich's comment -- XTS is the way to go!
7
I would recommend Marc Wildi's work on signal extraction.
7
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 ...
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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