JSE Equity Market Transaction Data : TRTH and BLP Daily and Intraday data

Published: 17-04-2019| Version 4 | DOI: 10.17632/v5466fbpf9.4
Contributors:
Nic Murphy,
Timothy Gebbie

Description

1) Intraday-daily: The data set consists of the open-high-low-close-volume (OHLCV) entries sampled at 5-minute intervals for 30 of the JSE Top 40 stocks from 02-01-2018 to 29-06-2018. In addition to the intraday data, daily OHLCV data for the specified period is included for the last transaction on any given day. All data sourced from Bloomberg. The data was prepared from raw transaction data. The tick data is transformed into regularly sampled time bars (intervals). In order to compute the OHLCV bar data, we compute the opening price, closing price, lowest price, the highest price for each 5-minute time bar as well as the total volume traded in the 5-minute time bar to get a complete OHLCV entry for each 5-minute interval. The data is stored in .xlsx format. Each of the 30 stocks has a separate .xlsx file containing the dates and OHLCV data for the specified period. 2) Daily data: set of OHLCV data values for 42 stocks on the JSE Top 40 over the period 01-01-2005 to 29-04-2016. All data sourced from Thomson Reuters. The data is stored in .xlsx format. There is one .xlsx file for each of the open, high, low, close and volume data sets each containing the necessary data for all 42 stocks. Acknowledgements to: Riaz Arbi, Michael Gant and Lionel Yelibi

Files

Steps to reproduce

To view the code on the pre-processing of the data, see: https://github.com/NJ-Murphy/Learning-Technical-Trading.git. For a more detailed description on the use cases for the data, see: N. Murphy & T. Gebbie (2019). Learning the population dynamics of technical trading strategies. https://arxiv.org/abs/1903.02228.