New answers tagged


These data are reported on SEC Form 8-K and are available from Sharadar. The QuantRocket documentation shows how to use the data and the available event codes.


Algoseek is the source, interval aggregations available for bulk snapshots. Hope it helps. Many Others can provide this as well, request a timely flat file snapshot. That kind of data can get pricey; not sure how much of a factor that is to you. Xignite is another source capable of generating such flat files for you.


For CME group, you might want to pay attention the methodology. There is pre-liminary and final numbers provided for settlement: The disclaimer on the data from the source is: Disclaimer: Files are published periodically, initially as preliminary settlement prices, which are subject to change until final settlement prices are posted at approximately 6:00 p.m....


For ICE, all the settlement times are in one document, which is here: On your Bloomberg data, how do you know if you have closing or settlement prices? This is determined by the user's settings in GFUT --- you can choose either last trade or settlement to be ...


I suggest looking at press releases from exchanges. I'm not aware of any centralized repository of data on changes in tick size. On the upside, they don't happen very often. :)


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 surface worked nicely. I also fitted a Heston model to it, and the two surfaces do look fairly similar. Here is the final code and the fits generated (the long ...


It turns out provides the endpoint I'm looking for for $199/month, they just hadn't indicated in their docs that in addition to date ranges, one can also use timestamp ranges to find ticks intraday within specific intraday ranges.

1 has such an API. It is not free (but I am not aware of any intraday data for free, except when sandboxed [on Quantopian, e.g.]

Top 50 recent answers are included