Global Historical Data Solutions

Equities Data

Tick Data's global equity data offering is unique.  We provide both as-traded ("raw") data, and time series data that includes structured, mapped, validated level 1 quote and trade equity data that is ready-to-use upon delivery for:

• US Equities (e.g. NYSE, NASDAQ, AMEX, regional exchanges and all other Consolidated Tape Association (CTA) participants)
• Toronto Equities
• London Equities
• Deutsche Boerse Equities
• Borsa Italiana Equities
• Euronext Equities
• Madrid Equities
• Japan Equities

As you might imagine, providing clean, complete data sets, with corporate actions and ticker mapping already done for you, is not an easy endeavor.  It takes a lot of expertise, and meticulous work…

Our Data Collection Process

We strongly believe that one cannot rely on any single real-time data vendor to supply a continuous, error-free transmission of data. There are many fine real-time data vendors in the market, and we have relationships with several of them. Nevertheless, systems fail and back-up routines do not always ensure an uninterrupted data stream. Likewise, transmission platforms, such as the Internet or dedicated digital lines, are not 100% reliable.

Therefore, with the exception of our Japan Equities data, we enter into agreements with the exchanges and obtain our equity data directly from the exchange after their close (i.e. we do not collect the data via a feed). For example, we base our US equity data on the NYSE’s TAQ (Trade And Quote) database, which includes level 1quote and trade data from the NYSE, NASDAQ, AMEX, Arca, BATS and all other Consolidated Tape Association (CTA) participants.

How We Filter the Data

Even though we obtain equity data directly from the exchanges, this raw data is not research-ready. Errors persist even in exchange-sourced data. The files sent by exchanges can have gaps and omissions, and once the data is complete, the symbols are still not mapped for any corporate actions that may have occurred in the past. Therefore, we have developed several processes for adding significant value to the data and making it truly ready-to-use:

• Ticker Mapping – a proprietary process that adjusts historical data for corporate actions, including symbol and CUSIP/ISIN changes, mergers & acquisitions, exchange listing changes, divestitures, etc.  For example, the symbol ‘C’ for Citigroup is actually C + CCI + TRV + PA.
• Condition Code Filtering – trade and quote data is filtered for various condition codes that denote out of sequence trades & quotes, cancelled trades, and other conditions that require data points to be removed prior to use by a trader.
• Price Filtering – a series of algorithmic filters that flag trades that appear to be non-representative of market conditions (bad ticks) and suggest corrected values. Note that we do NOT overwrite any data, but simply flag suspect records.
• Data Validation – for US equity trade data and all futures and cash index data, daily bars are built from the underlying tick data for each symbol in the universe and compared to third-party end-of-day data sources to ensure accuracy of Ticker Mapping, stock splits, and prices. 
• Custom Symbol Sets and File Configurations – we allow our clients to choose the entire universe of equity symbols, or select a custom symbol subset across a custom date range (except for Deutsche Boerse and Japan Equities).  We also offer clients flexibility in the data’s final format by allowing them to choose data granularity (tick or 1-minute bars), include/exclude regional trades, include/exclude pre- or post-market trades, etc.
• Stock Splits, Stock and Cash Dividends – we utilize our comprehensive database to automatically adjust historical prices for stock splits and dividends.

It is worth noting that while we flag ticks we deem to be bad (indeed, exchange data contains bad ticks), we do not overwrite or make other alterations to the "raw" exchange data. 

As-Traded vs. Time Series Data

When you order equity data from us, you receive "raw", as-traded data, along with our TickWrite 7 software that enables you to convert the as-traded data into time series data. Here is a brief description of the differences between as-traded and time series data using Citigroup (ticker: C) as an example:

Today’s Citigroup (ticker: C) consists of symbols C, CCI, TRV, and PA. As-traded data for Citigroup would include separate files for C, CCI, TRV, and PA. We deliver as-traded data in zipped ASCII files by symbol, with one file per symbol per day. With the as-traded data we include our TickWrite 7 software that enables you to convert the as-traded data into time series data. TickWrite 7 includes a graphical user interface (GUI) and command line (i.e. MS-DOS) functionality, which is useful if you wish to schedule jobs to run at a regular interval or to run a job from a batch file or other program. TickWrite 7 fully integrates our proprietary symbol and CUSIP/identifier maps, and other related corporate action databases, so that you may output ASCII files of time series data.

Time series (a.k.a. "mapped") data refers to a company whose history has been linked for various corporate action events, namely mergers and symbol changes. For example, time series data for Citigroup would consist of a single file adjusted for all merger terms and would include data from 1993 to the present. Note that no reference data is provided to reveal what events were linked to map symbols. TickWrite 7 outputs time series data in zipped ASCII files named by symbol or Tick Data symbol ID, one file per equity symbol, mapped as of the order date.

One-Minute Equity Data (OMED)

For traders and analysts who measure frequency in minutes or hours rather than seconds or fractions of seconds, our One-Minute Equity Data (OMED) is a gigabyte solution to the terabyte problem of archiving historical intraday data. OMED includes trade data only (i.e. OMED includes NO bid/ask quote data), and each one-minute interval includes Date, Time, Open, High, Low, Close, and Volume.

A Special Note About Our Equity Data

London Equities – Tick Data’s London Equities data is very unique.  Our data includes trades, best bid & ask (BBA) quotes, plus Level 1+ quotes all the way back to 2000.  Level 1+ quotes include BBA with sizes, whereas BBA only include price without size.  The LSE only offers Level 1+ back to 2003.  However, we worked with the LSE to rebuild top of book from raw Rebuild Order Book data from 2000 to 2002.

Japan Equities – Tick Data’s Japan Equities data is slightly different than our other equity data sets in that it is built from an aggregation of data by the Nikkei from the Tokyo Stock Exchange, Osaka Stock Exchange, Nagoya Stock Exchange, Fukuoka Stock Exchange, Sapporo Stock Exchange and Hercules Market. 

Add-Ons for Equity Data

For our clients who order our global equity and options products, we offer the following add-on products:

Survivorship Bias-Free Database – A bonus to our US Equities and US Options products when you order data for all available symbols, we include symbols that were components of the Russell 3000 at some point since January 1, 1993, but are no longer traded due to corporate actions and/or bankruptcies.  This information is vital to any investor who does not want their results skewed by survivor bias.  For more details, see Survivorship Bias-Free Database.

Security Master Library – Another add-on to our global equity and options products, we offer a product called the Security Master Library (SML) to provide both GUI and Command Line access to our proprietary Ticker Mapping database.  For more details, see Security Master Library.

Data Management Software

If you order Tick Equity Data (TED) or One-Minute Equity Data (OMED) the data comes to you with our TickWrite 7 software that allows you to construct time intervals of any granularity (e.g. x-ticks per bar, y-seconds per bar, z-minutes per bar, etc.), and extract data into comma-delimited ASCII (text) files, converting as-traded data into mapped, adjusted research-ready data. TickWrite 7 is available for Microsoft Windows© or Linux©. Download TickWrite 7 Demo

Currently Available Equity Data

*  ASCII file sizes are approximations, and represent file sizes for ALL of the trade and quote data currently available for each product.  You may order a subset of symbols and data ranges, if you wish.  Note that file sizes are NOT linear.  For example, US equity data from 2000 to 2007 accounts for approximately 90% of the total file size. 

** Includes London equity BBA quote and trade data from January 1, 2000, and BBA with Size quote data from June 1, 2000.

*** Includes Euronext equity trade data from April 1, 2002 for Amsterdam, Brussels, and Pairs (from January 1, 2004 for Lisbon), and level 1quotes with volume from January 1, 2004 for Amsterdam, Brussels, Pairs, and Lisbon.

Related Links

• Equities FAQ's
• TickWrite 7 Software
• Data Update Subscription
• Survivorship Bias-Free Database
• Time Series Tools

Questions?  Please contact us.