Calendar Information – Historical Trading Hours and Holidays
In order to provide historical intraday time series data across many asset types and markets worldwide, Tick Data must research, collect, and store historical trading session information for each market. This historical calendar information includes first/last trade dates for individual futures contracts, regular session hours for day/night sessions, early closes, late opens, and closed markets due to holidays. We keep this metadata current and maintained historically so that TickWrite® can produce accurate time series files regardless of when the trade or quote occurred.
Until now, this historical trading hour, contract date range, and holiday calendar information was only used internally by TickWrite®. However, after receiving many client requests for access to this hard-to-find data, we are pleased to now offer it in plain text.
For futures traders, this metadata is particularly important, as each individual symbol can have its own trading hours, and holidays can affect symbols traded on the same exchange differently. Furthermore, exchanges change these contract specifications far more frequently than most market participants realize. We offer historical Trading Hours, Contract First/Last Trade Dates, and Holidays by subscription to the Historical Calendar Information dataset.
Once you subscribe, TickWrite® 7 is enabled to output ASCII text files containing the data, or files are available for nightly download from our AWS cloud. Please contact ‘firstname.lastname@example.org’ for more information or to subscribe.