Global Historical Data Solutions

Futures Data

Tick Data's database of historical intraday futures data is one of the largest of its kind (see Available Futures Data). We currently offer trade data on ninety (90) futures symbols from exchanges in the USA and the Americas, Europe, and Asia, with more symbols to be released in the future. The data is presented tick-by-tick, and delivered in our compressed, proprietary format, which minimizes storage requirements, maximizes versatility, and allows for faster processing.

Our Data Collection Process

Tick Data strongly believes that one cannot rely on any single data vendor to supply a continuous, error-free transmission of data. There are many fine data vendors in the market. 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. As such, we believe in converging multiple real-time data feeds provided by different vendors over different transmission platforms.

Tick Data takes numerous steps to ensure the accuracy of its ongoing data collection process, beginning at the source. To ensure continuity, we collect data from two geographical locations. We have developed technology that enables us to identify empty time intervals in our primary data feed and paste in those missing values from a second or third data feed. This methodology ensures a complete, continuous time series.

One exception to this is our data on German futures symbols. In the case of EUREX data, we found an insufficient number of vendors to ensure proper implementation of our converging process. As such, under agreement with the exchange, we obtain our data directly from the exchange's time and sales records. 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. We are aware that EUREX time and sales data varies in some ways from the data it transmits to real-time vendors.

How We Filter the Data

Despite all of the care we take in collecting our tick data, it does not ensure that the time series is free of errors. In fact, errors persist even in data sourced directly from the exchange. Therefore, all of our ticks are passed through our Data Manager, a suite of filtering, verification, and compression programs developed in-house for the sole purpose of producing clean, robust data.

Tick Data adds significant value to the database through extensive data cleaning and verification. Multiple, single-function data filters are employed to trap for bad prints, decimal errors, transposition errors, and other data irregularities. These filters take advantage of the fact that since we are not a real-time vendor, we have the luxury of looking at the tick following a suspected bad tick before we have to make a decision concerning its accuracy. We have developed a number of filters that identify a suspect tick and hold it until the following tick confirms its validity. The filters are proprietary but are based upon recent tick volatility, moving standard deviation windows, and time of day.

Our filtering algorithms are highly effective. Nevertheless, we take additional steps to ensure clean, reliable data. For example, we regularly obtain end-of-day data from a quality provider and compare daily bars built from our data to theirs. If we find a discrepancy, we verify and fix the problem.

Trading Sessions:  Day vs. Night, Pit vs. Electronic

Beginning on the first trading day of July 2003, markets that have electronic trading sessions include all sessions: pit and electronic, day and overnight (when applicable).  Prior to July 2003, all markets include the day-sessions only.  E-mini data contains pre-market trading as well (see Futures FAQ).

All Orders Include TickWrite Software

With each order for futures, cash index, market indicator or 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 with Sample Data

Related Links

• TickWrite Software
• Data Update Subscription
• Available Futures Data
• Futures FAQ

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Questions?  Please contact us.