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.

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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.

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