Tick Data’s database of historical intraday futures data is one of the largest of its kind. We currently offer trade and Level I quote data on 112 futures symbols from exchanges in the U.S. and the Americas, Europe, Australia, and Asia, with more symbols to be released in the future. The data is presented tick-by-tick, and delivered in compressed ASCII files with our TickWrite 7 software which allows clients to quickly and easily output time series data in ASCII format. We also offer daily updates via download to keep the data current.
Important Links
- Available Futures Data
- Futures Data FAQ
- Futures Data File Format Guide
- TickWrite Demo
- Futures Data Pricing
- Place an Order Online
Our Data Collection Process
Tick Data strongly believes that when archiving data from third-party vendors, one cannot rely on any single data vendor to supply archive-quality data. No ticker plant or transmission platform is sufficiently reliable. Therefore, we gather data provided by different vendors, and have a process for combining them to create our research-quality data series. Equally as important, we do not collect data in real-time, but instead work only with vendors that can provide end-of-day downloads of the day’s trading activity.
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.
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 our Futures Data FAQ for detailed information on our futures data).
All Orders Include TickWrite Software
With each order of futures, cash index, market indicator, or equity data, we include our data management software, TickWrite 7. This powerful utility enables users to create ASCII files custom-tailored to their needs. TickWrite 7 can construct time intervals of any granularity, generate continuous futures files, and adjust for rollover gaps. It outputs data in ASCII format, readable by virtually any analysis software. Download TickWrite 7 Demo with Sample Data.
Futures File Format Guide
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. The File Format Guide explains the fields and codes used by each market.
Questions? Please contact us.
