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Global Historical Data Solutions |
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| Equities
Data
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 and options tick 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 and the regional equity exchanges How We Filter the Data Even though we obtain equity and options 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:
It is worth noting that while we filter out ticks we deem to be bad (indeed, exchange data contains bad ticks), we make no other alterations to exchange data. Mapped vs. As-Traded Data All of our equity and options data sets are offered in two formats, (i) mapped or (ii) unmapped (“as-traded”). Deciding which format is right for you depends on the level of corporate action support you need from Tick Data. Mapped data refers to a company whose history has been linked for various corporate action events, namely mergers and symbol changes. For example, today’s Citigroup (ticker: C) consists of symbols C, CCI, TRV, and PA. Mapped data for Citigroup would consist of a single file adjusted for all merger terms and would include data from 1993 to the present. No reference data is provided to reveal what events were linked to map symbols. Mapped data is delivered in zipped ASCII files named by symbol or Tick Data symbol ID, one file per equity symbol or option contract, mapped as of the order date. As-traded (unmapped) data for Citigroup would include separate files for C, CCI, TRV, and PA. As-traded data is delivered in zipped ASCII files by symbol, one file per symbol or option contract per day. If you choose to receive as-traded data, we offer the Time Series Builder (TSB), a powerful, new software tool that allows you to extract equity and options data into custom ASCII files, converting as-traded data into mapped, adjusted research-ready data. The TSB can be used via its graphical user interface or its command line interface and gives you unprecedented ease-of-access to even our largest data sets. The TSB fully integrates Tick Data’s proprietary symbol & CUSIP maps, and other related corporate action databases. The TSB is not compatible with mapped data. The use of as-traded data without the TSB requires you have a third party or existing internal corporate action database to assemble as-traded symbols into time series. Please see Tick Data’s white paper entitled “Mapped
vs. As-Traded Data - A Guide to Choosing the Right Format”
for a complete overview of this topic. 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 databases 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. Also, custom symbol lists, trades only, and OMED are not available for Japan Equities. One-Minute Equity Database (OMED) – For traders and analysts who measure frequency in minutes or hours rather than seconds or fractions of seconds, our One-Minute Equity Database (OMED) and One-Minute Options Database (OMOD) are gigabyte solutions to the terabyte problem of archiving historical intraday data. The OMED and OMOD include trade data only, and each one-minute interval includes Date, Time, Open, High, Low, Close, and Volume. The data is delivered in zipped ASCII files. For US equities, the OMED is available for approximately 3,600 US equities and includes our TickWrite software so users can quickly adjust prices for stock splits, create time intervals of any size and date range, and include or exclude pre-market and/or after-hours trading. The OMED is not currently available for Japan Equities. Add-Ons for Equity Data For our clients who order our global Equities and Options products, we offer the following add-on products: Survivorship Bias-Free Database – As an add-on to our US Equities product, we offer a database of US stocks 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 Equities and Options products, we offer a product called the Security Master Library to provide both a GUI-based and API access to our proprietary Ticker Mapping database. For more details, see Security Master Library. All Orders Include Data Management Software With each order for futures, cash index, market indicator or US one-minute equity data, we include our database management software, TickWrite, which enables users to create ASCII files custom-tailored to their needs. TickWrite can construct time intervals of any granularity, generate continuous futures files, and adjust for rollover gaps. It writes data to a wide variety of ASCII formats, readable by virtually any analysis software, including TradeStation, Excel, MetaStock, and Aspen Graphics. Download TickWrite Demo Clients who order tick-by-tick equities data or options data receive our Time Series Builder software. The Time Series Builder (TSB) allows users to extract equity and options data into custom ASCII (text) files, converting as-traded data into mapped, adjusted research-ready data. Download Time Series Builder 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. Related Links
Questions? Please contact us. |
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