11
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Tick Imbalance Bars - Advances in Financial Machine Learning
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) ...
11
votes
Accepted
Does the Integrity of Tick Data Vary by Vendor?
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 ...
- 2,705
8
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 ...
- 181
7
votes
definition of mid price in literature
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 ...
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5
votes
How could Renaissance Technologies have near real-time prices on corporate bonds and other debt?
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 "...
4
votes
Alpha vantage API Not working for NSE while the same query is giving output for NYSE stocks
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 ...
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3
votes
Where can someone get free (or very cheap) high frequency tick forex data?
Take a look as well at TickStory Lite.
IIRC, you should be able to pull tick level FX transactions back to 2003 for free. I used this several months ago, so not sure if anything has changed.
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3
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Where can someone get free (or very cheap) high frequency tick forex data?
You might get something from Integral's True FX
- 1,156
3
votes
Where can I get a dependable data stream of stock prices?
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.
...
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3
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Where can I get a dependable data stream of stock prices?
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 ...
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3
votes
10 years intraday for a single stock
Try Quandl - should be enough to get this for free, I believe.
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3
votes
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Data Sources for Timestamps of Individual Trades
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 ...
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3
votes
Tick Imbalance Bars - clarification on T index
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 ...
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3
votes
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Cleaning of high-frequency data
The authors explain the reason later:
It is used to reduce the impact of time‐delays in the reporting of trades and quote updates.
Because of the speed of light, the timestamps of data from ...
- 9,887
3
votes
Tick data - detection of price moving away
First: there is no magic, you will not easily get a predictor that will tell you "wait for 10 minutes before continuing to buy".
They are somehow two regimes at high frequency (see Huang, W.,...
- 12.6k
2
votes
Accepted
Where can I download intraday series for DAX and S&P500 Index?
For the SPX, First Rate Data - SPX intraday has about 15 years of 1-minute intraday data.
- 266
2
votes
Accepted
Source for real-time tick data (stock price, etc.) updated every second?
For FX feed: Oanda's RestV20 API attends your needs pretty well. You can get live tick data for free by opening a practice account (it is pretty simple, doesn't need credit card or ID verification). ...
- 146
2
votes
Find the tick increment value of an equity
http://tsp.finra.org/finra_org/ticksizepilot/TSPilotSecurities.txt
The relevant field being "Tick_Size_Pilot_Program_Group", Gx or C categorization. There is no formula to determine this as this rule ...
- 191
2
votes
Find the tick increment value of an equity
The way I managed to solve this was by scrapping the broker website and compile a list containing Symbol, Primary Exchange, <...
- 141
2
votes
Alpha vantage API Not working for NSE while the same query is giving output for NYSE stocks
Try NSE:[Stock Symbol] in the URL
Example:
NSE:TITAN
NSE:TATASTEEL
Also replace demo apikey with your APIKey
...
- 21
2
votes
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Accurate closing and opening prices
Tldr: Any broker can give you after-hours trading, but consolidated data probably works fine.
This is actually something of a tricky question - it's often not clear when a data provider is using ...
- 116
2
votes
How to store tick data for diffferent time frames?
Create a separate DB for each time horizon you need in your research.
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2
votes
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Given only Bid Ask and quantity Data, how do I determine whether the security price has gone up or down?
if only bid ask data is given as indicated, your using of mid price is best and common option
- 172
2
votes
10 years intraday for a single stock
In other words, what you are looking for is a Tick data. It needs resources to catch this data and so it won't be available for free but its available on demand from some websites. I refer you two of ...
- 63
2
votes
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10 years intraday for a single stock
You dont need to buy data if you need any stock from NYSE or NASDAQ. There are plenty options available as your tick time is not so small(1 hr).
1. As suggested by @ eSurfsnake you can try pulling ...
- 141
2
votes
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Create Tick Bars with R
I don't use quantmod, but you can aggregate the data using R's tapply.
Assume you have your tick data, and these are sorted in ...
- 3,661
2
votes
Tick Imbalance Bars - Advances in Financial Machine Learning
Question 1: Only tick data works for this method of bar generation, which means you actually need to provide the successful transactions. Bid and ask won't work.
Question 2: T value is generated at ...
2
votes
Accepted
OHLC prices after filtering
how about preprocessing the data and create mid_price = (H+L)/2 and range = H-L. And your Kalman filter apply to mid_price and range. Then you will not have the problem as you described
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2
votes
How to connect Bloomberg's xbbp api to "Bloomberg Anywhere"
I guess that is really best ask on the help desk F1 F1.
You can only access BBG on a MAC via the Citrix plug-in and https://bba.bloomberg.net.
This will not ...
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2
votes
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Mechanism for Tick Rule for Trade Classification
This is a quantifiable way to infer some understanding of the trade direction under very short time horizons (market microstructure). There exists a couple of other trade direction algorithms, which ...
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