Finding Short-History Trades and Quotes from Netfonds
Summary
The document describes how to locate listed symbols and retrieve trade and bid/ask records from Netfonds. It identifies exchange codes for several markets and explains that the records are organized by date and symbol. Example rows show trade timestamps, prices, quantities, and quote prices with displayed depth. The author notes that the available history is limited to the past 11 business days and that timestamps appear to use a clock offset from the US market open.
The source has practical limits for research: the author could not retrieve Nasdaq data, was unsure which exchange codes were available, and did not establish whether every trade is included. The notes also say records may not account for corporate actions such as splits, mergers, or dividends. The examples therefore illustrate a way to obtain short-window intraday data, but do not establish comprehensive coverage, data accuracy, or suitability for backtesting without further validation.
Key ideas
- Netfonds listings can be used to identify symbols available for download.
- The described data includes trade records and bid/ask quotes with displayed depth.
- The source reportedly provides only the past 11 business days of data.
- The author flags uncertain trade coverage, missing Nasdaq downloads, and unadjusted corporate actions.
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Full text
# Netfonds.no: Continuing to understand how to get high frequency data # Netfonds.no: Continuing to understand how to get high frequency data I first found out about netfonds about a year ago but I hadn't ever really gotten around to actually pulling data from there. I spent a little time today figuring out a way to pull data and here is what I found. Obviously there is no free, flawless high frequency database available and this is the best thing I have ever seen. Ideally I would have someone who speaks Norwegian validate this but google translate will have to be the stand in for lack of a better option. #### Exchange codes: `NASDAQ: O` `NYSE: N` `AMEX: A` `BATS: BTSE` this is Bats Europe so only euro stocks availible Using these codes, you can access all of the currently traded symbols using this link: #### Exchange listings: http://www.netfonds.no/quotes/kurs.php?exchange=A§ors= - This link will show you all of the available symbols that are currently being traded and are available for download. Using those symbols you can pull 1S bid/ask and trade data. #### Link to grab trades: `http://hopey.netfonds.no/posdump.php?date=[YYYMMDD]&paper=[SymbolFromExchange].[ExchangeCode]&csv_format=csv` Sample: SPY time,price,quantity,source,buyer,seller,initiator 20160706T153000,207.83,600,Auto trade,,, 20160706T153000,207.84,100,Auto trade,,, 20160706T153000,207.835,100,Auto trade,,, 20160706T153000,207.82,100,Auto trade,,, #### Link to grab bid/ask: `http://hopey.netfonds.no/posdump.php?date=[YYYMMDD]&paper=[SymbolFromExchange].[ExchangeCode]&csv_format=csv` Sample: SPY time,bid,bid_depth,bid_depth_total,offer,offer_depth,offer_depth_total 20160706T011205,208.52,6400,6400,208.57,2600,2600 20160706T011257,208.54,6400,6400,208.6,3200,3200 20160706T011307,208.54,6400,6400,208.59,200,200 20160706T011316,208.57,3000,3000,208.59,200,200 #### Notes: - These links will not work unless you enter the proper information. They will provide data for the past 11 business days. - US Market open is 0930, and open marked on Netfonds is 1530. Subtraction to get time would be even easier than having to mess with tz conversion in pandas or something like that. - Only the first four columns are available from trade dump. - Data doesn't appear to be adjusted for splits, mergers or dividends. - The trade dump doesn't seem like it is every trade, I assume it is just the trades accepted by the exchange that did't have to be adjusted or messed with. #### Questions - It appears that there is no pull for bid/ask or trades for symbols on NASDAQ, I was unable to get any of them to download. Is there something else that needs to be included to get that data? - Can you pull futures contracts or options from here, would be interested to figure out how to get those. -What are all of the exchange codes available. Is there a way to pull a list of them or get more than the ones I have listed above?
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.