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Financial markets data

Share prices and equity indices

Find the equity and enter GP <GO>  (graph price) and the alter the parameters for frequency, date range, and metric. The frequency option shows the available options for inter-day data.  Right click on the graph to cut and paste the data into Excel, or go to the Actions tab and select table and then you can copy/paste the data. For more flexibilty use GPM<GO> to plot up to 20 securities, indices or other time series such as RPI in one line chart.  Alternatively use the Excel add-in for downloading.  
To screen for equities use EQS <GO>  you can create and save list of securities to follow and back-test your selection strategy.

S&P Capital IQ Pro
You can simply save stock price/s and index data from a graph but for bigger downloads use the Excel add-in. For the add-in go to go to My Capital IQ > Downloads. (There is no Mac version but the CIQ add-ins are installed on PCs in the Finance Suite.) 
To find companies that match your criteria - go to screening > Companies. The saved results list can be used in the Excel add-in.

Center for Research in Security Prices - CRSP (via WRDS)
CRSP provides security price, return and volume data for the NYSE, AMEX and Nasdaq stock markets. For example, NYSE stock data goes back to 1925. And there are seven groups of securities for which index data are calculated.

Compustat fundamentals and market data - USA and Canada (via WRDS)
Compustat has monthly market history back to 1962 for over 80,000 active and inactive publicly traded companies.  

Datastream (via Eikon)
Use Datastream  for downloading long time-series and larger quantities of data.
It is particularly useful to locate historic constituent lists that are not available on other resources.

Find your equity and a price chart is shown on the tearsheet. To download go to the Tab > Price and charts where there are a range of options. Pick Price history, set the parameters and update. At the top right use the Excel icon to download. For large quantitty dowloads use the Datastream add-in.
To screen for equities use the Equity Advanced Screening App. 

European Short Data (via WRDS)
Implemented after the previous global financial crisis to increase market transparency, this data encompasses all significant short positions reported by institutional investors under the EU236 rule. WRDS scrape the participating markets reporting websites quarterly to collect the data. 
Coverage: Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Iceland, Ireland, Italy, Luxembourg, Netherlands, Norway, Poland, Spain, Sweden, UK. 

The price summary gives a good overview of price trends and volatility. Go to the price history and use the cog icon to modify settings. Download using the green icon top right.

LSPD – UK (via WRDS)
The London Share Price Database (LSPD) is a unique, comprehensive database of UK stock returns covering over 9,000 UK shares from 1955 to date. 

Mergent Online
Find the company and go to the Equity pricing tab and change Chart to Report. Alter the date range and frequency. Click on the Excel download to export.

NYSE Trade and Quote (TAQ) database
The TAQ 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.
Millisecond Trade and Quote - "Daily Product". 2003 – to present, updated daily. Trade and Quote - "Monthly Product". 1993 - 2014

OTC Markets – via WRDS
OTC (Over the Counter) end of day prices available on the 10K securities that trade on the OTCQX, OTCQB and OTC Pink Marketplaces. Starts 2011-09-0.

Russell U. S. Equity Indexes North America
The series cover: 1) Monthly Contribution to Return - Analysis of each sector and industry contributing to the overall return of a Russell Index (Comparable to Comp Index Prices). 2) Monthly Index Holdings - Russell Indexes for each closing day (Comparable to Comp Index Constituent History). 3) Monthly Sector Weights - Sector weight history (All Indexes) Data commences 2008-08.

SPDJI – S&P Dow Jones Indices – via WRDS
Supplies Dow Jones daily and monthly index averages and total returns.