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.