Futures 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 Sessions

Beginning on the first trading day of July 2003, markets that have electronic trading sessions include all sessions: pit and electronic, day and overnight (when applicable). Prior to July 2003, only markets that were all electronic (i.e. eMini and Eurex symbols) showed any electronic trading; data for other markets showed only day/pit sessions. For more detailed information on the contents of our futures data and how it has changed over time, see our Futures Data FAQ and Futures File Format Guide.

Available Intervals

For all futures symbols, we offer tick-by-tick data for both trades and quotes. This provides clients with the ability to analyze every single trade and/or every Level I bid and offer. We deliver the data in zipped comma-delimited text files and offer two choices of data granularity: 1) Tick-by-tick Level I Quotes (bid/ask with size) and Trades (last price with volume) 2) Tick-by-tick Trades only Clients who measure frequency in minutes or hours rather than milliseconds or seconds can use TickWrite^® to build tick- or time-based bars from trade data and time-based bars from quote data. Order data for all available symbols or specify a custom symbol list and date range. All orders of the Complete Futures Dataset also include all Cash Index symbols. Clients can also subscribe to our daily update service to keep data current.