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Public Data from the Exchanges, Part 3

Jeff

Published: 2010/05/31Posted in: Financials, Insider Information, Options, Short Selling, Stocks

Today we review the data available from three New York exhanges with restrictive linking policies: NSX, NYSE, and NASDAQ. NSX and NYSE do not permit linking directly to any part of their web sites without prior written permission. NASDAQ permits linking only to their front page without other authorization.

The National Stock Exchange (http://www.nsx.com) has a policy which prohibits any and all hypertext linking to their web site without prior written consent. They don’t have a lot of data series publicly available at this point, but you can find their daily short interest archives on their web site without registration. With free registration, they also provide some volume and pricing historical information on ETFs traded on their exchange.
NASDAQ prohibits linking to any of its pages (other than its front page) without prior written permission, but they offer a tremendous wealth of data, including:
- Quotes, both real-time and historical (up to 10 years)
- After-hours and pre-market quotes (realtime)
- Options quotes
- Analyst estimates
- News
- Technical indicators (with StockConsultant)
- News
- Financial variables from SEC 10-K (past four years) and 10-Q (past year) in XBRL
- Short sale information, updated twice monthly
- Institutional and insider trading information
- Competitor information
- Transcripts from earnings calls, conference calls, and the like
NASDAQ also operates an anonymous ftp site on which it files data per regulatory requirements (short selling and threshold securities) and for other purposes at ftp://ftp.nasdaqtrader.com/. Sometimes it is hard to access it, perhaps due to high demand.
The New York Stock Exchange sells detailed market data through their web site, NYSE Technologies (http://www.nyxdata.com/), but they do make some information available for free on their main corporate web site (http://www.nyse.com/), including:
- Summary information for listed securities
- SEC filings, with an increasing number of tables in spreadsheet format

NYSE also operates an anonymous FTP site for regulatory compliance and other purposes at ftp://ftp.nyxdata.com/. It contains short sale information for ARCA securities and other data. Access to it is a bit patchy during some times of the day, perhaps due to high demand.

Stay tuned for part four in this series: data from OTC exchanges.

Public Data from the Exchanges, Part 2

Jeff

Published: 2010/05/18Posted in: Options, Short Selling, Stocks

This is the second installment in a series on data publicly available from the exchanges.

The Chicago Board of Options Exchange (CBOE) provides a market for stocks and futures as well as options and other derivatives. Like NASDAQ, at present, it does not permit its web site users to link to any page on their main web site other than its front page without prior written authorization. The URLs below were active at the time of this article and are provided for informational purposes only.
- CBOE Equity Option Volume Archive; http://www.cboe.com/data/AvgDailyVolArchive.aspx; monthly summary volume information for individual equities, including put/call volume
- CBOE Daily Market Statistics; http://www.cboe.com/data/mktstat3.aspx; daily summary reports for the CBOE, including index put/call volume and other information
- CBOE Futures Exchange Daily Market Statistics; http://www.cboe.com/data/CFE/CFEMktStat.aspx; daily summary information on futures trading on the CBOE
- CBOE Volume & Put/Call Ratios; http://www.cboe.com/data/PutCallRatio.aspx; convenient CSV files summarizing volume information found elsewhere on their site
- The Chicago Stock Exchange offers some good information, including
  - Free real-time book data (with a non-disclosure agreement)
  - Historical monthly short-sale information from June 2007 to the present
  - Threshold security history
  - Historical volume information
  - Historical execution quality information

Public Data from the Exchanges, Part 1

Jeff

Published: 2010/05/15Posted in: Short Selling, Stocks

There are several well-known stock exchanges, all of which sell some data and make some available at no cost. These include:

FINRA, the Financial Industry Regulatory Authority, a quasi-governmental organization that provides a degree of self-regulation to the exchanges. It operates an exchange-like system called the Alternative Display Facility (ADF). Although it permits placing orders and reporting trades, no trades are actually executed on ADF. Some public FINRA datasets of note are:
- The list of members.
- A summary of ADF trading activity
BATS, the third-largest exchange in the U.S., after NYSE and NASDAQ.
- They provide streaming real-time market book data for free to members of the exchange. Their website also allows viewing individual securities’ market books, which are also available on Yahoo! Finance. One trick which is especially entertaining is to set up a spreadsheet that models the short-term supply and demand curves using the market book and watch for inefficiencies. (The intersection of two weighted least squares linear regressions produces a reasonable model) . Of course, you can also see inefficiencies in the market book without a spreadsheet…. If you’re going to try to capitalize on them (a short-term arbitrage technique), keep in mind a few things:
  1. Not all of the the information required to precisely determine ideal prices is in the book.
  2. You never know exactly when one of your competitors’ market orders will obliterate half the book (or which half).
  3. It’s best to have the freshest data possible.
  4. Especially if the book is small, it may be possible for a trader to place and cancel an order for the purpose of biasing the apparent supply-demand break-even point, i.e. high-balling or low-balling.
  5. There are additional factors which may introduce risk, not all of which can be anticipated in advance.
- They also offer free daily short sale information covering the most recent month.