11
votes
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 ...
- 2,318
9
votes
What time series database can be used with Python and Pandas?
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 | ...
- 246
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
Accepted
Negative high frequency intraday volatility - Zhou estimator
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 ...
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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 ...
- 8,902
6
votes
Accepted
Is node.js being used in systematic trading software?
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 ...
- 176
5
votes
Which database to choose for storing and aggregating finance data?
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.
- 413
5
votes
Mapping symbols between tickers, Reuters RICs and Bloomberg tickers
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 ...
- 153
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
How to calculate historical intraday volatility?
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 ...
- 163
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 ...
- 171
3
votes
Real-time Tick Filtering
You could try just the basics:
Inversion of bid ask spread (if bid_px >= ask_px)
Unusual prints far out (...
- 5,231
3
votes
Accepted
How to interpret minute by minute ticker data
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 ...
- 5,231
3
votes
Accepted
Obtain prices for list of stocks
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 ...
- 176
3
votes
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 ...
- 61
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.
...
- 240
3
votes
Accepted
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 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.
- 141
3
votes
10 years intraday for a single stock
Try Quandl - should be enough to get this for free, I believe.
- 415
3
votes
Accepted
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 ...
- 8,436
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 ...
- 2,149
3
votes
Accepted
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 ...
- 9,767
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
Which database to choose for storing and aggregating finance data?
As @Nicholas said in a comment KX/KDB+ is popular in finance for this purpose. Direct message passing and local aggregation on the machine may be the best method in this case IMO.
- 1,047
2
votes
What time series database can be used with Python and Pandas?
There is a times series DBMS (InfiniFlux) that can be easily used with Python.
The database is not open source but it does provide a free version for evaluation, too. So you can try whether the DBMS ...
- 21
2
votes
Logistic Regression of tick data
The code you posted is wrong since you do not model the time series behavior of the up/down process (ie if you have 10 up move and consequently 10 down move it is not the same as the opposite ie 10 ...
- 2,542
2
votes
Accepted
netfonds.no - High Frequency Data
I did not know this provider, but had a look.
for daily data, the url seems to be http://www.netfonds.no/quotes/paperhistory.php?paper=GOOG.O&csv_format=txt
for market depth: http://www.netfonds....
- 11.4k
2
votes
Which database to choose for storing and aggregating finance data?
There are many different databases out there, all specialized for different use cases. The main parts you should consider are:
Using a time series database, since they can handle timestamped data (e....
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