11

We use Node for reporting but not as part of our main signal generating trading system. To be honest the answer will almost certainly be yes for every common programming technology as it just takes one person to use it somewhere to make the answer yes. Just look at OCaml, before Jane street, most techno logiest on the street had never heard of it and now ...


11

whether someone looking at a tick data vendor should be evaluating the underlying quality of the data in addition to e.g. price and API capabilities. Absolutely, you should evaluate the quality of the data. Even as of today (2021), there's plenty of data integrity issues that get passed on from a vendor to you, and make material differences to your use case....


9

Question 1. Actually, the assumption of trade data format is that you have timestamp, size and price (not bid/ask) of trade. Sometimes, trades(ticks) are included to Level 1 data (also called BBO) which assumes bid and ask information. However, bars are constructed on trades, not quotes. Question 2. Yes, T value is derived from equation 3. The process is ...


8

OpenTSDB is good for large-scale time series storage. metrilyx/opentsdb-pandas and wiktorski/opentsdb_pandas seems to provide the interface with pandas. OpenTSDB and HBase rough performance test | MoreDevs provides a benchmark, may not exactly match your requirements but you can try.


7

In any finite sample, it is always possible for the Zhou estimator to return a negative number, even though we know the unobservable parameter being estimated is non-negative. This is a well known issue in the academic literature. There are several approaches to dealing with this problem: 1) Ignore it. (I don't like this one). It is particularly nefarious ...


7

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 with scripting, you can directly download the tick data yourself. The URL pattern is http://www.dukascopy.com/datafeed/{currency}/{year}/{month}/{day}/{hour}...


7

As someone who has contributed to literature, I am purposefully vague with the use of mid price. Not that I don't define it but that it is difficult to state which definition is the best in which context. Here are an example of a few definitions of mid price: Last Trade: The physical price at which the most recent trade physically took place. This is ...


6

Cloud9Trader uses Node.js on the back end and JavaScript across its technology stack, including for writing the trading algorithms themselves. https://www.cloud9trader.com


5

I think the best choice for technical analysis with node is node-talib, a wrapper around TA-Lib. We're using it for some projects and it works ok so far. Here's a list of the indicators you get out of the box: AD Chaikin A/D Line ADOSC Chaikin A/D Oscillator ADX Average Directional Movement Index ADXR ...


5

Each vendor has their own symbology universe and each exchange, market, or country may have their own standard identifiers. To date the majority of identifiers have also been dynamic, i.e. when a company renames, merges, relocates, the identifier may change. Some symbology systems operate on different levels of granularity whereby prices can be filtered to ...


5

It turns out that the Bloomberg Terminal QR function, when adjusting the timezone from Exchange/UTC to your timezone, will convert the time but not the day. Trades displayed via IntradayTickRequest API are correct in UTC time, trades displayed via Bloomberg Terminal QR may be incorrect due to failure to adjust the stated date for timezone adjustments.


5

check this out Arctic. It's a Man AHL developed Mango DB for store their financial time series. Claimed to be really good. But i haven't try myself.


5

Outside of ETFs, corporate bond markets are driven by institutional flows. Over the course of a single day, multiple dealers will send multiple "runs" messages to their institutional clients. These "runs" contain markets on corporate bonds. The information from these is text scraped and stored. You can buy this information from someone like Bloomberg or ...


4

I use Yhang Zhang measure for intraday volatility for timeseries with a rolling 5 or 10 day window. I wrote a C++ and vba implementation which I'm happy to share if you wish. Takes olhc data and gives an 'estimate' of the volatility. For intraday trading (gamma hedging), I found it is a fairly good estimator of the days range. But I would caution on whether ...


4

I tried out Alphavantage a while ago. I was looking at it as a source of data for US and Canadian stocks. They use IEX for US stock data. There are a few other international symbols that do work because they seem to pass-through the request to Yahoo (or other free sources) and return that data back to you. I think they may also use that as a fall-back if ...


3

I am using NodeJS for a similar project. There's not a ton of packages on NPM for finance and stocks, so I wrote my own, that might help you get started: Fetching historical stock data, including intraday: https://www.npmjs.org/package/node-activetick Charting, analysing, forecasting the data: https://www.npmjs.org/package/timeseries-analysis You can use ...


3

We use node.js at alta5. The event-driven, non-blocking I/O model performs well in data-intensive real-time applications like a trading platform. http://alta5.com/


3

Here's the SPX & DAX data in CSV format (you can open in Excel): http://real-chart.finance.yahoo.com/table.csv?s=%5EGDAXI&d=11&e=1&f=2014&g=d&a=10&b=26&c=1990&ignore=.csv http://real-chart.finance.yahoo.com/table.csv?s=%5EGSPC&d=11&e=1&f=2014&g=d&a=0&b=3&c=1950&ignore=.csv and this ...


3

To construct best bid/ask from ITCH you must build a book incrementally from the messages in the data. Every message, except for system oriented messages, and non-displayed Trades, represent an order or an action on an order. Process the data, build a book, and you will naturally be left with the best bid/ask at the top of each side.


3

I have a little experience with this. First, NASDAQ has shared a dataset with researchers that flags whether an HFT participated in each trade or not but not the actual MPID - probably less granular than what you want. You generally need a professor to "cosign" your request, write a brief project proposal, and sign an NDA to get it. They also have shared ...


3

Market participant ID data is extremely unlikely to be available without the collaboration of regulators and the exchange itself, as it is a closely guarded information. Even "anonymized" data with no reference to a specific firm could reveal private information to informed market participants. If obtained at all, it is likely to come with draconian ...


3

Simply put, no, you won't find this. The most basic one-port ITCH feed with no redistribution rights runs \$750/mo. Historical ITCH data which is useful for backtesting is \$1,000/mo. with a 12 month initial minimum contract. Fees for distributors are much, much more expensive (all costs can be found on the NASDAQ OMX website), and the restrictions on ...


3

You could try just the basics: Inversion of bid ask spread (if bid_px >= ask_px) Unusual prints far out (if bid_px - eps_ticks <= trade_px <= ask_px + eps_ticks) Time sequencing (if event_time[0] >= event_time[1], 0 for most recent) Max values (if volume == 2^64-1) There's very few papers out there and I believe all of them are outdated anyway. ...


3

But I am confused about what high/low and open/last mean? The high (low) is the highest (lowest) trade price that occurred within the minute. The open price is the price of the first trade that occurred within the minute. The close price, also known as the last price, is the price of the last trade that occurred within the minute. The concept of open-high-...


3

I would highly suggest Quandl as a great place to start: https://www.quandl.com/tools/excel Has a lot capabilities for stock look ups and works really well once you've gained some familiarities with it. Can really build out a powerful sheet if you don't need tick data or anything like that.


3

If you don't have strict low latency requirements and don't care if the provider is conflating tick data, then I would recommend using a broker's market data feed. Many electronic brokers offer access to connect to streaming market data alongside their other services. This will be the cheapest option in terms of cost, and will also likely be the easiest to ...


3

Cheap, accurate, fast: choose two. IQFeed is the cheapest broker-neutral feed that I know of for this and they have reasonable accuracy. Otherwise, brokers often package in a data feed for free. QuantHouse's feed etc. are about 2 orders of magnitude more expensive.


3

Try Quandl - should be enough to get this for free, I believe.


3

Data that includes the names of the parties is definitely not freely available, only exchanges would have it and they will share it only with their regulators. Regarding data without names, that is called tick-data as LocalVolatility states. To the best of my knowledge, you need to pay for this data.


3

There is an open source hedge fund project which is implementing the ideas contained in the book and which has a github where you can see their code implementation of tick bars. Personally I always find it extremely enlightening to see code rather than mathematical symbolism, and maybe this will be the same for you. On the linked pages there are also links ...


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