Tick Data’s historical intraday Cash Index data includes:
- Tick-by-tick data for 60+ global cash indices – See List of Available Cash Indices
- Fields include SYMBOL, DATE, TIME and PRICE
- Time stamped to the millisecond since July 2011
- Data delivered in ASCII text files for easy integration (e.g. OneTick®, R, MATLAB®, MongoDB®, Kdb+, etc.)
- Build custom time series via TickWrite® 7, TickWrite® Web, or TickAPI®
- Update subscription available to keep cash index data current
Cash Index Data Pricing
Trades for over 60 cash indices as far back as Feb-1-1983.
All prices are in USD
Includes TickWrite® Web, for Windows® or Linux®. To programmatically request this data, see the TickAPI® pricing.
See Pricing Information below for more details on how our pricing works.
|Pick 10 (save 25%)||$63.33|
|Pick 30 (save 30%)||$43.33|
|Complete Symbol History (through order date)||$750|
|12 Months of Updates||$125|
|Complete Cash Index & Futures Trades Data Set (through order date)||$16,500|
|2 Years (save 10%)||$6,000|
|12 Months of Updates||$3,000|
You may order data for a particular symbol(s) and date(s) under our PER SYMBOL-YEAR pricing, or order data for all available symbols (both active & inactive) for a particular date(s) under our ALL SYMBOLS pricing.
Rates are for 1 year of data for 1 symbol. In the case of Futures and OPRA Options, a ‘symbol’ is the underlying symbol, and you will receive data for all the contracts that quoted or traded on the dates you specify. For example, ES is the underlying symbol for S&P 500 E-mini Futures, and if you asked for data for the month of January 2015, you would receive data for all the ES contracts (no matter what their expiration date) that quoted or traded during January 2015.
Minimum Order Amounts
There is a minimum order amount of $250 for Tick Trades & Minute Trades, and $990 for Tick Quotes, Tick Trades, NBBO or Quote Bars™ orders.
Pick X Discount
We offer volume discounts based on the number of Symbol-Years of data you order. For example, our PICK 15 Discount applies when you order any combination of 15 Symbol-Years of data (e.g. 5 underlying futures symbols x 3 years = 15 Symbol-Years).
Complete Symbol History
For our Futures, Cash Indices and Market Indicators data, you may order all the available history we have for a particular underlying symbol.
Includes both active & inactive symbols.
Complete Data Set
Applies to the complete data set up to your order date.
Per Symbol-Month Unit (TickAPI® Only)
For TickAPI® clients only, a Symbol-Month Unit is a request for any number of days within the calendar month for a symbol. For example, if you request data for ABC from Jan-1-2014 through Jan-15-2014, that is one Symbol-Month Unit and you’d be charged the 1st Request fee. If you ever request data for ABC for any other day(s) in Jan 2014, you’d be charged the Each Add’l Request fee.
The markets have changed significantly since we began. New technologies and changes in market participant behavior have caused the number of trade and quote messages per second to explode. To reduce the risk of dropped packets and lost information, Tick Data has not collected data over a live feed since 2001.
Our preferred method for obtaining data for new markets is to negotiate directly with exchanges for their official archive. However, some exchanges do not grant reasonable terms for redistribution, or they archive their data in a manner that results in incomplete or inaccurate information.
In these cases, we partner with quality real-time data providers who have direct exchange connections, multiple, redundant ticker plants, and the ability to make the data available for download after markets close each day. Every provider we use meets our high standards for completeness and accuracy.
Validation & Filtering
Despite the care we take in obtaining the finest raw tick-by-tick data, omissions and errors can 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:
Condition Code Filtering – We filter our tick-by-tick trade data for various condition codes that denote out of sequence trades, cancelled trades, and other conditions that require data points to be removed prior to use by a quant. While these prints still exist in the data, by default TickWrite removes them from output time series files. Clients can add these prints back into output files by simply checking a box.
Price Filtering – We also run our tick-by-tick trade data through a proprietary algorithmic filter that flags trades it considers to be non-representative of market conditions (i.e. “bad ticks”) and suggests corrected values. By default TickWrite replaces these “bad ticks” with the corrected prices, but it can extract both the filtered and unfiltered data. To learn more about our data filtering approach, please see our white paper on High-Frequency Data Filtering.
Data Validation – Employing a number of internal processes, we first ensure that we have the data we expect to receive from our various sources and then programmatically identify gaps in trade data that we deem to be unusual for each individual symbol at that time of day.
For all cash index and indicator symbols, we offer tick-by-tick data. This provides clients with the ability to analyze every single print.
We deliver the data in zipped comma-delimited text files containing all prints. The refresh rate varies from symbol to symbol, depending on how frequently the index or indicator is calculated by the exchange. Frequency also varies over time, as many symbols refresh more frequently now than they did in the past.
Clients who measure frequency in minutes or hours rather than seconds can use TickWrite® to build tick- or time-based bars from the data.
Order data for all available symbols or specify a custom symbol list and date range. Clients can also subscribe to our daily update service to keep data current.