Standard Daily Data

Our 5 price database allows you to choose data based on ‘Last Price’ or ‘Settle’ from as far back as 1949.

Data Choices:

• All data is homogeneous: Regardless of whether the data is from the 1940s or 2020s, all timestamps, volumes, decimalisation choices and tick size is compatible, divisible,  sensible and contiguous, throughout the entire history.
• You may choose to have your closing price based upon ‘Last Price’ or ‘Settle’.
• Choose either individual files or have us create continuous data where you can specify/amend custom roll dates.
• Alternative delimiters to comma can be arranged
• Choose any column order
• Include/Exclude corrections and market state
• Decimalisation to suit your project
• Choose alternative columns such as Contract Name | Unadjusted Closing Price | Roll Spread | Cumulative Roll Spread
• Roll choices include: Backadjust | Forward Adjust | Zero Adjust | Ratio Back adjust | Ratio Forward Adjust
• Any other requirements? Just let us know.

Intraday Data

Timestamps include trade volume as standard,  All sample data is timestamped Chicago (GMT-6) .

Data Choices:

• All data is homogeneous: Regardless of whether the data is from the 1980s or 2020s, all timestamps, volumes, decimalisation choices and tick size is compatible, divisible,  sensible and contiguous, throughout the entire history.
• You may choose to have your data based upon Exchange or Local timestamps.
• Do you need alternative timestamp formats such as split dates and time, ISO 8601 etc?
• Alternative delimiters to comma can be arranged
• Choose any column order
• Optional column choices for Continuous Data run-offs
• Optionally include CQG Tick Count Column
• Optionally split timestamp into date and time or amalgamate into a single timestamp
• Decimalisation to suit your project
• Any other requirements? Just let us know.

Tick – Trades Only

Millisecond timestamps with volume as standard, plus optionally, deletes, inserts and update corrections, and current market state.  All sample data is timestamped Chicago (GMT-6) .

Data Choices:

• All data is homogeneous: Regardless of whether the data is from the 1980s or 2020s, all timestamps, volumes, decimalisation choices and tick size is compatible, divisible,  sensible and contiguous, throughout the entire history.
• You may choose to have your data based upon Exchange or Local timestamps.
• Do you need alternative timestamp formats such as split dates and time, ISO 8601 etc?
• Alternative delimiters to comma can be arranged
• Choose any column order
• Include/Exclude corrections and market state
• Decimalisation to suit your project
• Any other requirements? Just let us know.

If you are new to tick data: The size of the data can be surprising if you have not dealt with tick before.  For instance the S&P mini (trades only) at the time of writing this is 65Gb to inception. You need to make sure that:

• You understand tick and the potential work involved in doing useful things with it
• The size, scale and constraints of data manipulation that can be involved
• The limitations of any backtesting or trading product and the framework you wish to work within.
• Consider whether other Portara products such as 1 min bar, may be a more appropriate choice for you.

Second & Time Agnostic (Volume) Bars

We provide second bar data.  Choose any compression you need from 1 second bar to 60 second bar.   We also provide Time Agnostic Data, such as volume bars with your chosen volume base. All sample data is timestamped Chicago (GMT-6) .

Data Choices:

• All data is homogeneous: Regardless of whether the data is from the 1980s or 2020s, all timestamps, volumes, decimalisation choices and tick size is compatible, divisible,  sensible and contiguous, throughout the entire history.
• You may choose to have your data based upon Exchange or Local timestamps.
• Second bar can be any compression rate between 1 and 60.
• Please provide us with your volume base such as 100, 500, 1000 etc so we can create your Time Agnostic bars.
• Alternative delimiters to comma can be arranged
• Choose any column order
• Decimalisation to suit your project
• Any other requirements? Just let us know.

Tick – (Bids Asks Trades & Settle) – Quotes & Trades

Millisecond timestamps with volume as standard, plus optionally, deletes, inserts and update corrections, and current market state.  All sample data is timestamped Chicago (GMT-6) .

Data Choices:

• All data is homogeneous: Regardless of whether the data is from the 1980s or 2020s, all timestamps, volumes, decimalisation choices and tick size is compatible, divisible,  sensible and contiguous, throughout the entire history.
• You may choose to have your data based upon Exchange or Local timestamps.
• Do you need alternative timestamp formats such as split dates and time, ISO 8601 etc?
• Alternative delimiters to comma can be arranged
• Choose any column order
• Include/Exclude corrections and market state
• Decimalisation to suit your project
• Any other requirements? Just let us know.

If you are new to tick data: The size of the data can be surprising if you have not dealt with tick before, especially Level 1.  For instance, at the time of writing this, the Eurodollar is above 1.7Tb for Level 1 data to inception for this one symbol, Crude Oil is above 1.1Tb, Gold to inception is 860Gb and the S&P mini 373Gb, as several commodity size examples . You need to make sure that:

• You understand tick and the potential work involved in doing useful things with it
• The size, scale and constraints of data manipulation that can be involved
• The limitations of any backtesting or trading product and the framework you wish to work within.
• Consider whether other Portara products such as 1 min bar, may be a more appropriate choice for you.

Ordering PortaraCQG Data includes:

• A consistent timestamp format to inception
• All data is contiguous –  guaranteed
• All data is decimalised correctly and consistently throughout history
• All tick format is standardised for backwards compatibility
• All fractional markets (such as Bonds or early Grains and Meat) are transposed to decimal throughout history
• Full data compatibility with any data importer or backtesting application you use.