Open Market Data
Most financial analysis is based on historical data so understanding where to get it and what to do with it is important. For many years data was either not available or it was locked away behind online pay-walls. Luckily for uswe are in the midst of an open source data movement. Open market data is market data which isfreely available to everyone to use and republish as they wish, without restrictions from copyright, patents or other mechanisms of control. This page highlights some of the best sources of open source data which can be used for algorithmic trading, quantitative finance, and machine learning.If you know of any more sources, please mention them in the comments below.
Open Source Data Provider
Useful blog posts and tutorials with code
Quandl.comis the Google of data. Quandlhas proprietary andopen source data coveringmany topics including economics, countries, demographics, companies, marketprices, and housing data.
- Building a data dashboard in Excel using the Quandl plugin (Video, Blog.Quandl.com)
- Using Quandl open source data in R (Blog.Quandl.com)
- How to download futures data from Quandl (QuantStart.com)
- How to performregression analysis toQuandl data sets(StuartReid.co.za)
- How to integrate Quandl data sets into Quantopian trading strategies(Quantopian.com)
- Pre-processing Quandl data for time series analysis (QuantAtRisk.com)
- Applied VaR decomposition using Quandl data(QuantAtRisk.com)
- How to get an N-asset portfolio covariance matrix using Quandl data(QuantAtRisk.com)
Yahoo Finance isa web site whichprovides financial information includingstock quotes, stock exchange rates, corporate press releases and financial reports
- Extracting stock prices from Yahoo! Finance using Python (SimplyPython.Wordpress.com)
- Direct scraping Yahoo! Finance data using Python(SimplyPython.Wordpress.com)
- How to download S&P 500 tickers and data using Python and Yahoo! (TheAlgoEngineer.com)
- Onthe quality of historical stock prices from Yahoo Finance (TheSystematicInvestor.com)
- The basics of statistical mean reversion testing - uses Yahoo Finance (QuantStart.com)
- Forecasting financial time series - uses Yahoo Finance (QuantStart.com)
- Guide to using GetSymbolsExtra in QuantMod for Yahoo data (TheSystematicInvestor.com)
In addition to these two sources the following sources also provide a lot of meaningful market data:Amazon Web Services Dataprovidesdatawhich can be seamlessly integrated into AWS cloud-based applications;The World Bankprovides free and open access to data about development in countries around the globe;Google Financeoffers similar information to Yahoo Finance and has some cool features for portfolios; theUCI machine learning dataprovides useful data sets for testing machine learning algorithms on different types of problems;MLDataalso provides open source machine learning data sets for testing different algorithms, andDataBiboffers asearchable directory of research open source data repositories. That said, many of these data-sets are aggregated on Quandl.com for convenience.
