YES. Using several of our Data Delivery Options it is simple to build continuous contracts using several different roll methodologies and adjustment types.

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.

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 (shipping & handling charges will apply).

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.

Since Jun-1-2003, all of our futures data contains a second time stamp (e.g. HH:MM:SS). Prior to then, some of our data has seconds, but most does not. From Jul-1-2011 forward, all futures data contains a millisecond time stamp (e.g. HH:MM:SS.000).

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 Exchange-For-Physicals (EFPs) and block trades. Prior to Jul-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 Jul-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.

We have futures quote data available for all symbols starting Jan-4-2010. Quote data is top of book (Level 1 or BBO) and includes corresponding trade data free of charge. Trade and quote data are not interlaced and are delivered in separate files. See a complete listing of our available futures data »

Since Tick Data began offering historical intraday data in 1984, we have sourced our futures and cash index data from various reputable sources, including data vendors and directly from exchanges. The data was not collected in real-time, but rather was downloaded from the source after the close of trading. The data is then validated, filtered and compressed for delivery to our clients. However, some exchanges do not grant redistribution rights, or don’t archive their data, or archive their data in a manner that the resulting files are not usable for our purpose of building a complete, accurate high-frequency research data set. So for all futures & cash index data since January 2010 we use a triple-redundant data collection & archival process whereby a direct exchange data feed is collected into three (3) geographical diverse data centers, over three separate lines. The resulting archives are then compared to ensure the most complete, accurate archive possible.

Prior to Jul-1-2003, we were limited by the original Tick Data file naming convention, which only allowed for 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 to allow the storage of data for all contract months. It took a few years to capture data for far-out contracts, but since then we have data for all active contract months.

All electronic session data since Jul-1-2003 contains trade volume, but prior to that date, there is no trade volume data available. Additionally, trade volume information is not available for Pit sessions, so Pit trades are designated by having a volume value of “0.”

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

Data for electronic and overnight sessions is included for all applicable markets beginning Jul-1-2003. Prior to then, our futures data contains only day session data.

Our E-mini data, futures contracts that represent a fraction of the value of normal contracts, contains the full 24-hour session, with volume, beginning on Jul-1-2003. Prior to then, it begins each day at 12:00 a.m. and ends at 3:15 p.m. Central time.

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

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.

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.