Skip to main content

Finding data

NYSE

Access

Content

The database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues. This database is accessible through the WRDS interface. The VU License only covers data from 2007 onwards.

Documentation and manuals

The NYSE website has more details on the available data.

Forex, Futures & Indices

Access

You can request access to the data by sending an email to Research Data Services and providing your Vu-Net-ID. The data can then be accessed from a computer at the VU Campus. The amount of data you need may be large (several Gigabytes). If you need to copy the data be sure to have a storage option which has enough space.

Content

A database with historical intraday data for foreign exchange rates (FOREX), futures contracts for a number of currencies, commodities (eg, oil, rice, sugar, orange juice), and market indices, provided by Disk Trading. The scope of the data is approximately 15 years, depending on the series. The frequency depends on the time period; older data are available in daily frequency, recent data in intra-day. The data are available as plain text files with comma separated values, which can be handled by most applications.

The data is kindly provided by Dr. Charles Bos of the Tinbergen Institute.

Documentation and manuals

More information about the data is available on the Disk Trading website

Thomson Reuters Tick History

Access

You can request access to the data by sending an email to Research Data Services and providing your VUnetID. The data can then be accessed from a computer at the VU Campus. The amount of data you need may be large (many gigabytes). If you need to copy the data be sure to have a storage option which has enough space.

Content

The tick data is available on the following series: Corn, soybean, Wheat, Gold, Silver, Copper, Light Sweet Crude Oil (WTI), Crude Oil Brent, Natural Gas, 10 Year T-Note, 5 year T-Note, 30 Year T-Note, S&P500, Euro Stoxx 50, Dax, Bund, Boble, Schatz and Emini. Both options and futures data are intraday data with frequencies of 1 min and 5 min. The data was originally supplied by Thomson Reuters and covers approximately eight years of data from 2007-2015.