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Chartoasis: Book of market data
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INDEX
1 Introduction
1.1 READ THIS
2 Types of market data
2.1 Market data content
2.2 Language and country
2.3 Form of data
3 Errors in market data
3.1 What is an error in the market data?
3.2 Timestamps and dates
3.3 Minimum, maximum, open and close values
3.4 Trading volume
3.5 Connection between tick by tick, intraday, EOD and weekly data
4 Using market data with care
4.1 The observed security
4.2 Data update
4.3 Errors in market data
4.4 Data content
4.4.1 Split correction example
4.4.2 Dividend correction example
5 Getting market data
5.1 Getting free EOD data
5.1.1 Yahoo! Finance free market data download help
5.1.2 Yahoo! Finance UK free market data download help
5.1.3 Google Finance free market data download help
5.1.4 RTS (Russian Trading System) free market data download help
5.1.5 Stooq.com free market data download help
5.1.6 Nseindia.com free market data download help
5.2 Getting tick by tick data / transaction list (commercial)
5.3 Getting free order book level 1 data
5.4 Getting order book level 2 data (commercial)
5.5 Getting intraday market data (commercial)
6 Epilogue
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SAMPLE CONTENT
2 Types of market data
Market data are different in many ways. Let's talk about the categorization by content, language & country, and the form of data!
2.1 Market data content
If you have ever made any security transaction, you can imagine how many kinds of data may exist. To find a way to get a certain kind of data go to chapter "Getting market data". We have already met the following market data types:
We have already met the following market data types:
Transaction list / tick by tick data: this contains the price and volume information
of each trade that has been made for an equity within the trading system. There is a
timestamp for each record. You can see a bit of this kind of information in your
trading system or you can get it from a data vendor (we found some free providers,
too.) See also chapter "Getting tick by tick data / transaction list (commercial)".
"Open, close, min, max, volume" data: it can be derived from the tick by tick data
by specifying a time interval, i.e. the 5 minute opening price is the price of the first trade within a 5 minute interval, the closing price is the last one, the volume is the sum of the trade volumes over the 5 minutes etc. There are two main types of this kind of data:
. . . . . . . . .
_________________________
If you wanna readmore the book, you can download the book in digital version from link below :
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by Kelemen Szabolcs
_________________________
INDEX
1 Introduction
1.1 READ THIS
2 Types of market data
2.1 Market data content
2.2 Language and country
2.3 Form of data
3 Errors in market data
3.1 What is an error in the market data?
3.2 Timestamps and dates
3.3 Minimum, maximum, open and close values
3.4 Trading volume
3.5 Connection between tick by tick, intraday, EOD and weekly data
4 Using market data with care
4.1 The observed security
4.2 Data update
4.3 Errors in market data
4.4 Data content
4.4.1 Split correction example
4.4.2 Dividend correction example
5 Getting market data
5.1 Getting free EOD data
5.1.1 Yahoo! Finance free market data download help
5.1.2 Yahoo! Finance UK free market data download help
5.1.3 Google Finance free market data download help
5.1.4 RTS (Russian Trading System) free market data download help
5.1.5 Stooq.com free market data download help
5.1.6 Nseindia.com free market data download help
5.2 Getting tick by tick data / transaction list (commercial)
5.3 Getting free order book level 1 data
5.4 Getting order book level 2 data (commercial)
5.5 Getting intraday market data (commercial)
6 Epilogue
_________________________
SAMPLE CONTENT
2 Types of market data
Market data are different in many ways. Let's talk about the categorization by content, language & country, and the form of data!
2.1 Market data content
If you have ever made any security transaction, you can imagine how many kinds of data may exist. To find a way to get a certain kind of data go to chapter "Getting market data". We have already met the following market data types:
We have already met the following market data types:
Transaction list / tick by tick data: this contains the price and volume information
of each trade that has been made for an equity within the trading system. There is a
timestamp for each record. You can see a bit of this kind of information in your
trading system or you can get it from a data vendor (we found some free providers,
too.) See also chapter "Getting tick by tick data / transaction list (commercial)".
"Open, close, min, max, volume" data: it can be derived from the tick by tick data
by specifying a time interval, i.e. the 5 minute opening price is the price of the first trade within a 5 minute interval, the closing price is the last one, the volume is the sum of the trade volumes over the 5 minutes etc. There are two main types of this kind of data:
. . . . . . . . .
_________________________
If you wanna readmore the book, you can download the book in digital version from link below :
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