How to Get (Almost) Free Tick Data

/
How to Get (Almost) Free Tick Data

Access to high quality, cost effective market data is a continuing problem for retail traders. I was recently told about the ongoing efforts of the startup brokerage “Alpaca”. The gentleman I spoke with said the API gave access to the tick data of thousands of stocks everyday and without cost.

I thought it was too good to be true but recently I took a little bit of time to investigate.

Read More

Synthetic ETF Data Generation (Part-2) - Gaussian Mixture Models

/
Synthetic ETF Data Generation (Part-2) - Gaussian Mixture Models

This post is a summary of a more detailed Jupyter (IPython) notebook where I demonstrate a method of using Python, Scikit-Learn and Gaussian Mixture Models to generate realistic looking return series. In this post we will compare real ETF returns versus synthetic realizations.

Read More

Exploring Our Scraped Options Data Bid-Ask Spreads

/
Exploring Our Scraped Options Data Bid-Ask Spreads

Post Outline

  • The Objective
  • The Data
  • Basic Data Analysis
  • Bid-Ask Spread Analysis
    • How Do Aggregate Bid-Ask Spreads Vary with Days To Expiration?
    • How Do Bid-Ask Spreads Vary with Volume?
    • How Do Bid-Ask Spreads Vary with Volatility?
  • Summary Conclusions
Read More