Tick Data has been serving the high-frequency trading community for over 25 years; before it was much of a community at all. In that time, we have gained knowledge and expertise we wish to share. Our Technical Paper Series is a set of white papers that provides useful information on a number of topics, including how we filter data and avoiding serious pitfalls in building, testing, and optimizing trading models with historical data.
- Survivorship Bias in the Development of Equity Trading Systems. A report on and explanation of the often-overlooked problem of Survivorship Bias inherent in current practices of defining research universes for testing equity trading systems.
- High Frequency Data Filtering. A review of the issues associated with maintaining and cleaning a high frequency financial database. The information herein is the basis of Tick Data’s trade data filtering algorithms.
- File Storage Requirements for High Frequency Data. An explanation of the file storage requirements for equity and U.S. options trade and quote data available from Tick Data.
- Deriving the NBBO from TAQ Level I Quotes. Developed in conjunction with the NYSE, this paper explains a methodology for determining the NBBO quotes in Tick Data’s U.S. equities set.
Disclaimer: These papers are presented only as opinions of the authors and do not represent the opinions or ideas of Nexa Technologies, Inc.
Questions? Please contact us.
