Historical Equities Data

Tick Data’s global equity data offering is unique. We provide exchange-sourced, research-ready time series equity data that includes Trade and Level I Quote data for:

U.S. Equities – all listed NYSE, AMEX, NASDAQ equities, including trading on regional exchanges, from January 1, 1993.
Toronto Equities – all listed Toronto Stock Exchange equities from January 1, 2001.
London Equities – all listed London Stock Exchange equities from January 1, 2000*.
German Equities – all listed Deutsche Boerse equities from January 1, 2003.
Italian Equities – all listed Borsa Italiana equities from January 1, 2004.
Euronext Equities – all listed equities on the four exchanges of Euronext from as early as April 1, 2002**.
Madrid Equities – all listed Bolsa de Madrid equities from December 1, 2004.
Japan Equities – all listed equities on the Tokyo Stock Exchange, Osaka Stock Exchange, Fukuoka Stock Exchange, Sapporo Stock Exchange and Hercules Market from October 1, 2008.
Brazil Equities – all listed equities on the Brazilian BM&F Bovespa from May 7, 2008.
Australian Equities – all listed equities on the Australian ASX from May 7, 2008.
Hong Kong Equities – all listed equities on the Hong Kong Exchange (HKEx) from May 13, 2008.

* Includes London equity Best Bid/Best Ask (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 Paris, from January 1, 2004 for Lisbon, and Level I quotes with volume from January 1, 2004 for Amsterdam, Brussels, Paris, and Lisbon.

Important Links

Download Sample Trade and Quote Equity Data

File Format Specifications

Tick Data has developed an easy-to-read format for data provided in the time series we offer. However, the data made available by each exchange varies. Our File Format Guides explain the fields and codes used in trade, quote, company information, and corporate actions files for each market.

Our Data Collection Process

Tick Data stands alone in its committment to providing research-ready, institutional-grade historical intraday data. We source equity data from the actual trading venue or official price reporting authority whenever possible, and run it through a complex process to ensure it is clean, robust, and complete. Some firms may offer deeply discounted equity data, but they do not pay the attention to detail or offer the same level of quality data we provide.

With the exception of our Japanese Equity data (see below), we have agreements with each equity exchange to download data for the day’s trading activity as soon as they make it available. This avoids the myriad issues associated with collecting data in real-time. For example, we source our U.S. equity data from the NYSE’s TAQ (Trade And Quote) database, which includes all trading NYSE, NASDAQ, AMEX, ARCA, BATS and all other Consolidated Tape Association (the official price reporting authority) participants. Overnight, NYSE makes the data from the day that just ended available, and our server downloads and begins processing the files.

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 that day. 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 current 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 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 in tick trade files, but simply note a suggested corrected price in a specific field. One-minute Equity Data (OMED), however, uses corrected values and is not available using raw data.
Data Validation – 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 the accuracy of TickerMapping, stock splits, and prices.
Stock Splits, Stock and Cash Dividends – we utilize our comprehensive database to generate stock split and dividend metadata, which is downloaded with new orders and each day with daily updates. This information can then be used by TickWrite 7 to adjust historical prices for stock splits and stock dividends if desired by the user. While TickWrite 7 does not adjust for cash dividends, a data file displaying cash dividends can be output if desired.

As-Traded vs. Time Series Data

When clients order equity data from Tick Data, they receive raw, as-traded data, along with our TickWrite 7 data management software that converts the as-traded data into time series data. Time series (or “mapped”) data is created by linking together the data for all symbols used by that corporate entity throughout its history. Note that no reference data is provided to reveal what events were linked to map symbols; the information is contained in encrypted metafiles accessible only by the software. TickWrite 7 uses this information to output time series data in ASCII files, one file per equity symbol, mapped as of the the date of the last metafile download. The time series data for a company output by TickWrite 7 consists of a single file adjusted for all symbol changes that occurred over the range of the data processed.

Here is an example of the difference 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 includes separate files for C, CCI, TRV, and PA. We deliver this as-traded data in zipped ASCII files by symbol, with one file per symbol per day. If a client wanted to generate a time series data file of Citigroup data for the past 15 years, TickWrite 7 would convert the as-traded data of these various companies into a single time series file of historical Citigroup 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.

Survivorship Bias-Free Data

An added benefit of ordering all available symbols for our U.S. Equities or U.S. Options products is the inclusion of symbols that are no longer traded due to mergers, acquisitions, delistings, etc. An often ignored, but significant source of variation between theoretical and actual trading results, Survivorship Bias occurs when models are developed, tested, and optimized using only currently-traded symbols. When you order all symbols in either data set, you receive both active and inactive (no longer traded) companies, thus eliminating Survivorship Bias from your analysis. For more information, please read our Technical Paper entitled, Survivorship Bias in the Development of Equity Trading Systems.

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 and processing tick-by-tick 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.

Special Notes About Our Equity Data

File Size Requirements – Market data sets vary greatly in size. Please read our Technical Paper, File Storage Requirements for High Frequency Data, for more information.

LSE Equities – Tick Data’s London Equity data is unique. Our data includes trades, best bid, best ask (BBA) quotes, plus Level I quotes back to 2000. Level I quotes include BBA with sizes, whereas BBA only includes price without size. The LSE only offers Level I 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 Japanese Equity data varies from 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.

Tools for Equity Data

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

Company Information/Ticker Mapping (CITM) Data Set

For more details, see Data Tools.

Questions? Please visit our Equity Data FAQ or contact us.