Extra Market Data from MOEX for RUSSIA Stocks
Here is the link to kaggle dataset ALGOPACK Extra Market Data (quarterly updates by requests in comments)
Super Candles - 5 minute super candles, 50+ parameters. History since 2020
DESCRIPTION OF THE DATASET
| Class | Metrics | Des (all metrics are calculated over a period of 5 minutes) |
|---|---|---|
| reference | secid | at the instrument |
| reference | ts | date and time |
| trades | pr_open | opening price |
| trades | pr_high | maximum price for the period |
| trades | pr_low | minimum price for the period |
| trades | pr_close | last price for the period |
| trades | pr_vwap | weighted average price |
| trades | pr_change | price change over the period, % |
| trades | trades | number of transactions |
| trades | vol | volume in lots |
| trades | val | volume in rubles |
| trades | disb | ratio of purchases and sales |
| trades | pr_std | standard deviation of price |
| trades | pr_vwap_b | weighted average purchase price |
| trades | pr_vwap_s | weighted average selling price |
| trades | trades_b | number of purchase transactions |
| trades | trades_s | number of transactions for sale |
| trades | vol_b | volume of purchases in lots |
| trades | vol_s | sales volume in lots |
| trades | val_b | volume of purchases in rubles |
| trades | false | sales volume in rubles |
| orders | put_orders | number of placed orders per glass |
| orders | cancel_orders | number of canceled applications |
| orders | put_vol | volume of wafers placed in a glass |
| orders | put_val | volume of wafers placed in a glass (rub) |
| orders | cancel_vol | volume of withdrawn orders |
| orders | cancel_val | volume of withdrawn orders (RUB) |
| orders | put_orders_b | number of submitted orders (purchase) |
| orders | put_orders_s | number of submitted orders (sale) |
| orders | cancel_orders_b | number of canceled orders (purchase) |
| orders | cancel_orders_s | number of canceled orders (sale) |
| orders | put_vol_b | volume of wafers placed in a glass (purchase) |
| orders | put_vol_s | volume of drinks placed in a glass (sale) |
| orders | cancel_vol_b | volume of withdrawn orders (purchase) |
| orders | cancel_vol_s | volume of withdrawn orders (sale) |
| orders | put_val_b | volume of wafers placed in a glass (purchase, rub) |
| orders | put_val_s | volume of wafers placed in a glass (sale, rubles) |
| orders | cancel_val_b | volume of withdrawn orders (purchase, rub) |
| orders | cancel_val_s | volume of withdrawn orders (sale, rub) |
| orders | cancel_vwap_b | Weighted average price of canceled orders (purchase) |
| orders | cancel_vwap_s | Weighted average price of canceled orders (sale) |
| orders | put_vwap_b | Weighted average bid price (purchase) |
| orders | put_vwap_s | Weighted average bid price (sale) |
| orderbook | spread_bbo | spread between best bid and ask price |
| orderbook | spread_lvl10 | spread between the 10th level of bid and ask prices |
| orderbook | spread_1mio | spread of 1 million rubles |
| orderbook | levels_b | number of price levels in the order book (purchase) |
| orderbook | levels_s | number of price levels in the order book (selling) |
| orderbook | vol_b | total volume of orders in the order book at all levels (buy) |
| orderbook | vol_s | total volume of orders in the order book at all levels (sale) |
| orderbook | val_b | total volume of orders in the order book at all levels (buy), RUB |
| orderbook | false | total volume of orders in the order book at all levels (sale), rub |
| orderbook | imbalance_vol_bbo | volume imbalance at best prices |
| orderbook | imbalance_val_bbo | volume imbalance (RUB) at the best prices |
| orderbook | imbalance_vol | volume imbalance on the entire glass (all levels) |
| orderbook | imbalance_val | volume imbalance (rub) on the entire glass (all levels) |
| orderbook | vwap_b | weighted average purchase price in glass |
| orderbook | vwap_s | weighted average selling price in glass |
| orderbook | vwap_b_1mio | purchase price of an asset for 1 million rubles |
| orderbook | vwap_s_1mio | asset sale price for 1 million rubles |
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