Bloomberg Terminal
Bloomberg Terminal is a real-time financial market data platform used widely by investment professionals.
The Hanlon Lab maintains two physical lab spaces in Babbio: Hanlon I on the fourth floor and Hanlon II on the first floor. In both labs, Bloomberg Terminal is installed on any computers with a color-coded keyboard and a "BLOOMBERG" sticker on the monitor.
To create a Bloomberg account, launch the Bloomberg Terminal application and follow the "Create a New Login" prompts with your stevens.edu email.
WRDS
Wharton Research Data Services (WRDS) is a data research service for business schools maintained by Wharton at UPenn. WRDS provides access to Compustat, CRSP, and other business research databases to which we're subscribed.
To register for a WRDS account, use your stevens.edu email address at the WRDS registration page.
Please allow 1-3 business days for approval. If there are any issues with your account's approval, one of Stevens' WRDS admins will contact you.
If you already have a WRDS account, you can log in and see available datasets on the WRDS homepage.
S&P Capital IQ
S&P Capital IQ is a data and analytics platform that offers extensive data on public company financials and industry insights across sectors including Financial Institutions, Insurance, Energy, Real Estate, and more.
To request access to Capital IQ, submit a Request Resources form on the Hanlon Lab's website.
If you already have a Capital IQ account, you can log in and see available datasets on the Capital IQ homepage.
LSEG Tick History
LSEG (formerly Refinitiv, Thomson Reuters) Tick History is a historical market data service, offering global intraday time and sales, quotes and market depth content dating back to January 1996. More info can be found on the Tick History factsheet.
From our LSEG Tick History subscriptions, we can pull:
- Tick History Time & Sales: individual trades and quotes (or more precisely, quote changes)
- Tick History Intraday Summaries: open/high/low/close/volume for an interval from 1s, 5s, 1m, 5m, 10m, 15m, 1h
- Elektron Timeseries: open/high/low/close/volume on a daily basis
- Tick History Market Depth: best 10 bids and best 10 asks, for NYSE-listed securities only (the other three only have the best bid/ask)
TH Times & Sales data files can be very large, TB/year for actively traded symbols, so students generally request no more than a few days of Time & Sales data. TH Market Depth data can also be quite large for actively traded symbols.
Options data is available only by chain or by individual contract. Chain data for actively traded symbols can be very large, even for summary data and particularly across longer date ranges.
We have access to a variety of other data products through Tick History (index constituents, corporate actions, etc) but the four above are used most often by researchers and students.
When we request data for a symbol from Tick History, we request it using an instrument code called a RIC. RICs can be looked up using LSEG's RIC Search. Students and faculty don't need to look up RICs to request data: ticker symbols and descriptive names are sufficient.
Stevens users can access sample files and data dictionaries on OneDrive. Timestamps are ISO 8601.
To request data, complete a Request Resources form on the Hanlon Lab's website with details about your request (symbols, date ranges, etc). Students should use their faculty advisor as the approver; faculty can self-approve or directly email HFSL staff.
Kaiko
Kaiko is a comprehensive cryptocurrency market data product, offering global insights across spot and derivatives markets.
We subscribe to Kaiko's centralized market data product through their REST API. We don't subscribe to their decentralized exchange product, so we have access to data from centralized exchanges like Coinbase and not from decentralized exchanges like Uniswap.
Kaiko has an unauthenticated Reference Data API which can be used to answer questions about what exchanges/instruments are available.
Stevens users can access sample files on OneDrive. Timestamps in the Kaiko data are Unix timestamps.
To request data, complete a Request Resources form on the Hanlon Lab's website with details about your request (which instruments from which exchanges, date ranges, etc). Students should use their faculty advisor as the approver; faculty can self-approve or directly email HFSL staff.
LSEG Machine Readable News
LSEG (formerly Refinitiv, Thomson Reuters) Machine Readable News provides structured, textual news headlines, stories and metadata from Reuters, with historical archives dating back to 1996.
The Lab receives the news data as raw JSON files which are parsed and loaded to a SQL database accessible from the Stevens network. Documentation can be accessed on OneDrive using a Stevens account. To request access to the database or the raw JSON files (>200 GB), complete a Request Resources form on the Hanlon Lab's website. Students should use their faculty advisor as the approver; faculty can self-approve or directly email HFSL staff.
When using the SQL database, to identify a news record in the table item_data as being related to a particular stock or company, join to the table data_subject by item_id and filter by data_subject.subject using codes beginning with "R:" or "P:". You can use "R:" codes to filter by RIC, for example "R:AAPL.O" or "R:AAPL.*" for Apple. You can use "P:" codes to filter by PermID, for example "P:4295905573" for Apple. In PostgreSQL:
SELECT news.item_id, news.first_created, sbj.subject, news.headline, news.body
FROM item_data news
INNER JOIN data_subject sbj ON news.item_id = sbj.item_id
WHERE
news.first_created BETWEEN '2021-10-18 00:00:00 America/New_York' AND '2021-10-18 23:59:59 America/New_York'
AND news.item_language = 'en'
AND (
sbj.subject LIKE 'R:AAPL.%' OR
sbj.subject = 'P:4295905573'
)
ORDER BY first_created ASC
LIMIT 1000;The same concept would work to filter the raw JSON data.
I/B/E/S Estimates
I/B/E/S Estimates is the standard for analyst detail, consensus, comparable actual, aggregates data, and company guidance data. I/B/E/S (Institutional Brokers' Estimate System) gathers and compiles the different estimates made by stock analysts on the future earnings for publicly traded companies.
The Lab receives the I/B/E/S data as raw fixed-width files which are parsed and loaded to a SQL database accessible from the Stevens network. IBES documentation can be accessed on OneDrive using a Stevens account. To request access to the database or the raw fixed-width files (>500 GB), complete a Request Resources form on the Hanlon Lab's website. Students should use their faculty advisor as the approver; faculty can self-approve or directly email HFSL staff.