Market data content

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:

• 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:

• Intraday: the time interval is less then 1 day. Data delay is important when using

for day-trading. There are several ways to get it for free. Some trading systems

with built in charting capabilities (Oanda, Thinkorswim) do not charge you even

for the real time intraday data but this is usually a commercial service of

independent data vendors. See also chapter "Getting intraday market data

(commercial)".

• EOD (End of day): this contains daily data and it is mostly provided for free. We

have already found EOD data sources for 27 countries, forex, commodities and

more. Chartoasis.com's free technical analysis software is specialized at using this

kind of data with fast and easy data import. See also chapter "Getting free EOD

data".

• Order book: The order book contains the best offers of buyers and sellers.

Analyzing order book is reasonable because changes in the order book usually

precede changes in the price. There are 2 types of order books:

• Order book level 1: this contains the best bid / ask offer's price and volume

information along with the price and volume information of the last trade. This

data can be seen in most trading systems but it is hard to get such data for

analysis. For personal analysis / custom use it is available at Yahoo! Finance for

free. See also chapter "Getting free order book level 1 data"

• Order book level 2: this contains the best 5 / 10 bid / ask offer's data and the

last trade. It can be seen inside trading systems, but for personal analysis it is quite hard to access – it can be obtaine

stream with some programming. (It is a

order book level 2 data (commercial)".

Language and country is important from the aspect of data importing, because local

settings can influence the data format, like the format of date or the field separator (in .csv

files decimal separator can be '.' and ',' according to local customs which makes necessary

using different field separator - using ';' instead of ',' when decimal separator is ',').

There are softwares that recognize these differences automatically (like the tool of

Chartoasis.com); others (like Amibroker, or Excel) need human instructions for importing

data from file.

Data can be in the form o

• Text file, where fields

tabulator (.tdp)

• Text file, formatted

• HTML file

• XLS file

• Data stream