Equities FAQ

Equities FAQ

If you have any questions about our data or software products, you can likely find the answers here amongst our FAQ, File Format Guides, and TickWrite® User Guides. However, if you cannot find the answer to your question and/or prefer to speak with one of our data experts, please contact Tick Data today.

Does your equity data include official End-of-Day (EOD) O,H,L,C, and V information?

No. Using TickWrite, clients can build 'Daily' bars showing O,H,L,C, and V for an entire trading day, but this data is inherently different from official EOD data. Our Daily bars are built from our intraday data using the first tick of the session as our 'Open', the last tick as our 'Close', the max and min prices as our 'High' and 'Low', respectively, and the 'Volume' is a total of all trading volume for the day. The Daily bars rarely match up with the official EOD data, because EOD data may include off-exchange transactions in its total volume and the official Opens and Closes are determined in a number of different ways. Official EOD data is offered by many vendors (including our parent company, OneMarketData, LLC), who all source it from exchanges or EOD data wholesalers. Please let us know if you would like a price quote for official EOD data from our parent company.

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 contact our Support Desk. We will make every attempt to fix the problem.

Is the data clean?

Our mission is to provide clean historical intraday data. We employ several proprietary tick filtering algorithms and verification methodologies to remove or repair what we deem to be suspect ticks. Most of our data file contain both raw and filtered prices.

How can I receive updates to the data?

Tick Data offers daily update subscriptions for all markets (limited number of options quote data symbols) that can be retrieved automatically using TickWrite 7’s Scheduler feature. Clients can subscribe to data updates in one-year terms.Learn more about data update subscriptions

How does Tick Data determine the National Best Bid/Best Offer (NBBO) for its USA Equities data set?

Please see our white paper entitled, Deriving the NBBO from TAQ Level I Quotes for a detailed explanation of how we determine the NBBO for our USA Equities data.

How is my data delivered?

Our preferred method of delivering data is via download.  However, if the data set is too large to deliver via download, we will ship your data to you on external hard drive. A shipping and handling fee will be applied.

Does Tick Data have data for ETFs (e.g. SPY, DIA, QQQQ, etc.)?

YES, our equity data sets include ETFs.

Does the equity data contain trade volume information?

Yes, our trade data files provide volume for all trades executed in a given tick or interval.

What information is contained in a basic One-Minute Equity Data (OMED) file?

The default One-Minute Equity Data (OMED) files contain seven (7) fields of data:
  1. Date
  2. Time
  3. Open
  4. High
  5. Low
  6. Close
  7. Volume

What information is contained in a basic Tick Equity Data (TED) file?

The information contained in each equity data file varies depending on the exchange. For complete details on the fields and values contained in any of our equity data sets, please select the corresponding File Format Guide.

In what time zone is the data?

All of our data is delivered in the time zone of the instrument’s exchange. For Options, that means OPRA's native time zone, U.S. Eastern Time. Forex data is also in U.S. Eastern Time. Using one of our data tools, you can output the data in any time zone.

What software can I use to analyze the data?

Virtually any software that can import delimited text files can read our data (e.g. OneTick©, Microsoft Excel®, NinjaTrader®, MetaTrader®, TradeStation®, MATLAB®, etc.). If you have questions about whether or not your software can analyze our data, contact us.

Do I need Windows® to use the data?

No. The delimited text files (both as-traded and time series) can be used with any operating system. Likewise, our TickWrite® Web data management software is browser-based and can be used with any OS. However, if you wish to use our TickWrite® 7 data management software, it is only available for Windows® or Linux®.

In what format does the equity data come?

We deliver all of our data (both as-traded and time series) in comma-delimited text files.

TickWrite Equity Support

Instructions for Processing Equity Data in TickWrite®

Instructions for creating Equity Data time series begin on page 29 of the TickWrite 7 User Guide.

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