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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) ...
Alexandr  Proskurin's user avatar
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 ...
databento's user avatar
  • 2,488
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 ...
Tony's user avatar
  • 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 ...
Attack68's user avatar
  • 10.3k
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.
JOHN's user avatar
  • 423
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 ...
Steve-o's user avatar
  • 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 "...
RWP - Down by the Bay's user avatar
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 ...
Delta_Fore's user avatar
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 ...
TraderPatrick's user avatar
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. ...
elleciel's user avatar
  • 239
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 ...
jharonfe's user avatar
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 ...
sgdata's user avatar
  • 176
3 votes
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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 ...
madilyn's user avatar
  • 5,240
3 votes
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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
rupweb's user avatar
  • 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.
Joel Alcedo's user avatar
3 votes

10 years intraday for a single stock

Try Quandl - should be enough to get this for free, I believe.
eSurfsnake's user avatar
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 ...
Bob Jansen's user avatar
  • 8,552
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 ...
babelproofreader's user avatar
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‚Äźdelays in the reporting of trades and quote updates. Because of the speed of light, the timestamps of data from ...
chrisaycock's user avatar
  • 9,817
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.
Judo's user avatar
  • 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). ...
joaoavf's user avatar
  • 146
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....
lehalle's user avatar
  • 12.1k
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....
Martin Seeler's user avatar
2 votes
Accepted

Why NYSE is not included in TAQ data for NASDAQ listed companies?

There's a very simple explanation. The NYSE trading floor only deals in NYSE-listed stocks. NYSE have other venues (such as Arca) that allow you to trade listings from other exchanges. The ...
Richard at NorgateData's user avatar
2 votes
Accepted

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 ...
Cameron Pfiffer's user avatar
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.
user25064's user avatar
  • 1,077
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 ...
misantroop's user avatar
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, <...
Pedro Lobito's user avatar
2 votes
Accepted

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
Giladbi's user avatar
  • 172
2 votes

How to store tick data for diffferent time frames?

Create a separate DB for each time horizon you need in your research.
LazyCat's user avatar
  • 1,551

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