- In what format does the data come?
In compressed ASCII format, with our TickWrite 7 software that allows you to create custom time series data files in ASCII format.
- Is the E-mini data 24-hours?
E-mini data contains the full 24-hour session, with volume, beginning on 7/1/2003. Prior to then, it begins each day at 12:00am and ends at 3:15pm Central time.
- Does the data include GLOBEX, electronic, or the overnight sessions?
Data for electronic and overnight sessions is included for all applicable markets beginning 7/1/2003. Prior to then, our database contains only day session data.
- How can I receive updates to the data?
Tick Data offers daily update subscriptions for futures data. Clients can subscribe while selecting symbols. We offer 6-month, 1-year, and 2-year subscriptions, with discounts applied to 1- and 2- year subscriptions. Please see Data Updates for more information.
- Does the futures data contain trade volume information?
All electronic session data since 7/1/2003 contains trade volume. Prior to then there is no trade volume. Trade volume is not available for Pit sessions, so Pit trades are designated by having a volume value of ’0′.
- Does Tick Data provide the complete history of trading for each contract month?
Prior to 7/1/2003, we were limited by the original Tick Data file naming convention to 11 months of history for each contract month. For example, the June 2001 Eurodollar contract (EDM01) could not contain history prior to July 2000 or the files would have the same name. In July 2003, we changed our format and file naming convention, and since then have been able to store more data per contract month. Tick Data may not have all history for each contract month, but in some cases we have over 5 years of history per contract month.
- What is the source of the futures and cash index data?
We collect all futures and cash index data from reputable sources (data vendors or exchanges). We do not collect data in real-time; it is downloaded from the source after the close of trading. The data is then validated, filtered, and compressed for delivery to our clients.
Our vendor builds the download files us 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.
- Is quote data available for all futures contracts?
We have futures quote data available for all symbols starting 7/1/2011. Quote data is top of book (Level I or BBO) and includes corresponding trade data free of charge. Trade and quote data are not interlaced, and are output by TickWrite into separate files. Coming soon, we will have futures quote data available for a number of popular symbols back to 5/2008.
- Why do the futures trading volumes observed in End-of-Day data not equal the volumes in Tick Data’s ‘Daily’ data files?
Tick Data’s ‘Daily’ files are produced by aggregating the open, high, low, close, and volume from a day’s tick-by-tick trade data. Official ‘End-of-Day’ (EOD) data is acquired by EOD data vendors (including online and electronic outlets like Yahoo!, Bloomberg, and CSI Data), who receive the official information from exchanges or data wholesalers. Official EOD data includes trades that did not occur on the exchange, such as EFPs and block trades.
Prior to 7/1/2011, these off-exchange transactions are not found in our intraday trade data. They did not actually trade on the exchange, but since they must clear through the exchange’s clearing house, they are included in the official figures. From 7/1/2011 on, these trades are in our data, though they are excluded from output by default. They can be included in the output by checking the ‘Use Excluded Records in Output’ box under TickWrite’s Formatting/Filtering tab.
- Does the data contain a second or millisecond stamp?
Since 6/1/2003, all of our futures data contains a second stamp. Prior to then, some of our data has seconds, but most does not. From 7/1/2011 forward, all futures data contains a millisecond stamp.
- What software can I use to analyze Tick Data?
Virtually any software that can import ASCII files can read our data (e.g. Microsoft Excel, NinjaTrader, Ensign, TradeStation, Matlab, etc.).
- What time zone is the data in?
All of our data is delivered in the time zone of the instrument’s exchange, and TickWrite allows users to output the data in the time zone of the instrument’s exchange, in GMT, or in local time (as set on the user’s computer).
- Do I need Windows to use Tick Data?
The ASCII output files generated by TickWrite 7 can be used with any OS. TickWrite 7 is available for Windows© or Linux©, and is required for electronic delivery of data orders and daily updates.
- Can I create continuous files of multiple futures contracts?
Yes. Using TickWrite 7, it is simple to link contracts together in continuous files. You have four roll methodologies and five adjustment types to choose from.
- How is my data delivered?
Tick Data can deliver data via download. Orders placed online and paid by credit card can usually be delivered electronically via TickWrite 7. However, if your order is too large for delivery via download (usually larger than 2GB), we will ship your data order to you on external media (e.g. DVD or external hard drive; shipping charges apply).
- Is the data clean?
We employ several scrubbing and verification methodologies, including visual inspection, to remove or repair what we deem to be bad ticks.
- What if I find a problem with my data?
Tick Data works very diligently to ensure the data is as clean and robust as possible. However, no data set is perfect. If you find any questionable anomalies, please let us know. We will make every attempt to fix the problem.
