Tick Data’s historical intraday cash index data currently contains 60+ equity indices from around the world. The data is presented tick-by-tick, and delivered in comma-delimited text files that have been compressed using WinZip®.
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Our Data Collection Process
Tick Data strongly believes that one cannot rely on a single data feed collected in real-time to build a complete, error-free archive of data for research purposes. 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, resulting in lost data packets and gaps.
So we base our cash index data on archives built using a primary, secondary and tertiary data collection infrastructure. Having three (3) isolated, redundant, geographically diverse archives means real-time data transmission errors and omissions are not a factor in our data collection. This proprietary data archival system compares the three archives to create a single, robust data series for each symbol, ensuring that any problems that may occur in one data archive do not make their way into our data sets.
Data Set Generation and Filtering
Despite all of the care we take in obtaining our raw tick data, omissions and errors persist even in data sourced directly from exchanges. Therefore, all data passes through our validation process; a suite of extraction, filtering, verification, and reporting programs developed in-house for the sole purpose of producing clean, robust data. Tick Data adds significant value to the data we offer through extensive data cleaning and verification. Algorithmic data filters are employed to identify bad prints, decimal errors, transposition errors, and other data irregularities. These filters take advantage of the fact that since we are not producing data in real-time, we have the ability to look at the tick following a suspected bad tick before we decide whether or not the tick is valid. 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, and are based upon recent tick volatility, moving standard deviation windows, and time of day. For more detailed information about our filtering process, please read our white paper, High Frequency Data Filtering.
Our automated filtering algorithms are highly effective. Nevertheless, in the case of third-party data, we take additional steps to ensure cleanliness and reliability. We visually verify all collected data using tools developed in-house. If we find a discrepancy, the software allows us to drill down to the tick level, confirm the tick is erroneous, and visually edit the price.
All Orders Include TickWrite® Software
With each order of futures, cash index, market indicator, or equity data, we include our data management software, TickWrite®. This powerful utility (available for Windows® or Linux®) enables users to create time series custom-tailored to their needs. TickWrite® can construct time intervals of any granularity, and outputs data in .CSV format, readable by virtually any analysis software. Download TickWrite® Demo with Sample Data.
Please see our Cash Index Data FAQ for more information.
Questions? Please contact us.