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The problem is that the models (closed sourced or open source) only get you part of the way. For example, (to name just a few items) a stock option pricing mod

The problem is that the models (closed sourced or open source) only get you part of the way. For example, (to name just a few items) a stock option pricing model is useless without - holiday calendars - ex dividend dates - interest rate curves - real-time stock prices - corporate actions database Are there open source and free sources of the above? For the first two, sort of, for the remainder, no. And I'm sure I'm forgetting a number of other inputs.

HolyLampshade 2y ago
You can limp into a fair bit of the corpact data via open source/free channels, but reliable sources are definitely expensive. Not to mention the real-time data which is, quite simply, catastrophically expensive. And that’s assuming the least sophisticated (retail) implementation of this stuff.
openrisk 2y ago
Any data requirement in the above list that is public knowledge can be solved (in principle), but it takes coordination between parties that are not used to collaborative/coopetitive behavior. There is also the bit of data cleaning work that is costly - somebody must be paid to design and operate it, but again with modern tech solutions its likely that this could become immaterial. Yet there is broader challenge beyond concrete applications: the financial industry is 100% an information processing industry but is largely inconsequential and absent in the development of modern digital technology.
solatic 2y ago
I can't see the financial industry getting behind FOSS, but there's very much a missed opportunity for Data API companies. Let trading firms pay standard rates to get access to high-resolution, realtime data; the secret sauce in each firm then becomes what kind of trading algorithm you write to make the most profit off that data. Ensuring that everyone has potential access to the same underlying data helps dissuade claims that profits are made from insider trading. There should be all kinds of data for all kinds of domains available when you fork over a little money for an API key.
drexlspivey 2y ago
Yes the US treasury has an open API to get the yield curve from and yahoo finance has a free stock price API
- brewmarche 2y ago
  That’s not the correct curve to use for pricing in general. You’d infer discount factors from overnight indexed swaps (OIS) instead as the overnight rate (ESTR, SOFR, SONIA, etc.) is what is used for collateralisation typically. To create such a discount curve you need OIS swap rates.

HolyLampshade 2y ago

You can limp into a fair bit of the corpact data via open source/free channels, but reliable sources are definitely expensive. Not to mention the real-time data which is, quite simply, catastrophically expensive. And that’s assuming the least sophisticated (retail) implementation of this stuff.

openrisk 2y ago

Any data requirement in the above list that is public knowledge can be solved (in principle), but it takes coordination between parties that are not used to collaborative/coopetitive behavior. There is also the bit of data cleaning work that is costly - somebody must be paid to design and operate it, but again with modern tech solutions its likely that this could become immaterial. Yet there is broader challenge beyond concrete applications: the financial industry is 100% an information processing industry but is largely inconsequential and absent in the development of modern digital technology.

solatic 2y ago

I can't see the financial industry getting behind FOSS, but there's very much a missed opportunity for Data API companies. Let trading firms pay standard rates to get access to high-resolution, realtime data; the secret sauce in each firm then becomes what kind of trading algorithm you write to make the most profit off that data. Ensuring that everyone has potential access to the same underlying data helps dissuade claims that profits are made from insider trading. There should be all kinds of data for all kinds of domains available when you fork over a little money for an API key.

drexlspivey 2y ago

Yes the US treasury has an open API to get the yield curve from and yahoo finance has a free stock price API

brewmarche 2y ago
That’s not the correct curve to use for pricing in general. You’d infer discount factors from overnight indexed swaps (OIS) instead as the overnight rate (ESTR, SOFR, SONIA, etc.) is what is used for collateralisation typically. To create such a discount curve you need OIS swap rates.