Tick Data News

Cash Indices

For over 35 years, Tick Data has removed the challenges of collecting, validating, cleaning, and formatting research-quality historical intraday financial market time series data. We provide in minutes or hours what would otherwise take weeks or months for our clients to develop. Spend your time analyzing data, not building it.

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


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About Our Cash Index Data

Data Acquisition

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.

Available Intervals

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.
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