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....
- 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 ...
- 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&...
- 9,574
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 ...
- 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 ...
- 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....
- 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 ...
- 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 ...
- 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/
- 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 ...
- 729
9
votes
Accepted
Where to get price data on Credit Default Swaps?
Markit Pricing Data is a prime source for cds data (not free).
- 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. ...
- 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 ...
- 4,824
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 ...
- 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 ...
- 71
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 ...
- 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_{...
- 5,337
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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 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 ...
- 2,845
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 ...
- 4,092
Only top scored, non community-wiki answers of a minimum length are eligible