New answers tagged market-data
1
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.
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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.
0
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....
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For ICE, all the settlement times are in one document, which is here: https://www.theice.com/publicdocs/futures/Designated_Settlement_Periods_Volume_Thresholds.pdf
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 ...
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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. :)
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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 ...
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It turns out Polygon.io 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.
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Barchart.com 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.]
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