Global Historical Data Solutions

Cash Index Data

Tick Data's database of historical cash index data contains fifty-five (55) equity indices from around the world.  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 & Filtering Process

As with our futures data, we are very meticulous about how we collect and filter our cash index data.  We collect our cash index data from multiple vendors, and from two geographical locations.  We 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. 

Then all of our cash index data is passed through our Data Manager, a suite of scrubbing, verification, and compression programs developed in-house for the sole purpose of producing clean, robust data.  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.

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

Currently Available Cash Index Data

Note:  The Dow Jones Industrial Average prints approximately 20 times per minute.  The other indices refresh about every 15 seconds.

Related Links

• TickWrite Software
• Data Update Subscription

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Questions?  Please contact us.