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Sample Data & Formatting

CQG Sample Data

Standard Daily Data

Our 5 price database allows you to choose data based on ‘Last Price’ or ‘Settle’ from as far back as 1965.

Data Choices:

  • All data is homogeneous: Regardless of whether the data is from the 1960s 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.

Individual ContractsSymbolDaily (Last Price)Daily (Settle)
E-mini S&P (snippet)EP2018MEP2018M_Last.txtEP2018M_Settle.txt
Ethanol (Complete)ACAACA2018V_Last.txtACA2018V_Settle.txt
FX - NZDUSD (Snippet)INZDUSDINZDUSD.txtSame

Individual Contract Key:

  • O,H,L,C,V,OI
  • Close Type: Based on Last Price or Settle
  • Includes Daily Volume & Daily Open Interest
Continuous ContractsRoll TypeSymbolDaily (Last Price)Daily (Settle)
30 Year Bonds (All Sessions)Back AdjustUSAAUS_Last.txtUS_Settle.txt
VIX Future CBOEFEZero AdjustVXVX_Last.txtVX_Settle.txt
Johannesburg WheatBack AdjustWEATWEAT_Last.txtWEAT_Settle.txt

Continuous Data Key:

  • O,H,L,C,V,OI
  • Data Type: Close based on Last Price or Settle (Compare them)
  • Includes Daily Volume & Daily Open Interest
  • Optional Columns: Contract Name | Unadjusted Close | Spread | Cumulative Spread

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 1960s 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.

Individual ContractsSymbol1 Min5 Min
British Pound (All Sessions)BPABPA2018Z.txtBPA2018H_5min.txt
Hang Seng IndexHSIHSI2019G.txtHSI2018F_5min.txt
Japanese Government BondsJGBJGB2019H.txtJGB2018H_5min.txt

Individual Contract Key:

  • O, H, L, C, Tick Count, Trade Volume
  • Trade Volume back to 2001
  • Samples are all timestamped SOB (Start of Bar)
  • Samples in Exchange Time
Continuous ContractsSession TimesSymbol10 MinDaily (based off intraday)
British Pound (All Sessions)0720 - 1400BPABPA_10min.txtBP_RTH.txt
Hang Seng IndexNo restrictionsHSIHSI_10min.txtHSI_ITH.txt
Japanese Government BondsNo RestrictionsJGBJGB_10min.txtJGB_ITH.txt

Continuous Data Key:

  • O,H,L,C,V,Trade Volume
  • Data Type: Roll based on Last Price Settle or Custom End Of Session. (Sample data based on Settle)
  • Optional Columns: Contract Name | Unadjusted Close | Spread | Cumulative Spread (Sample data includes optional columns)
  • Regular (Or Irregular) Trading Hour Patterns.
  • Choose where to set opening and closing sessions, even across midnight
  • BPA sample data is between 0720-1400 – old pit hours.
  • Create Daily data from the intraday data and have full control of OHLC price points.
  • Sample data pulled SOB (Start of Bar) eg first bar of session on 10 min bar timestamped 0720 and last bar timestamped 1350.  In contrast, EOB would be the same data but timestamped first bar 0730 and last bar 1400
  • All samples in Exchange Time
  • All samples are backadjusted
  • BPA is Regular Trading Hours – Pit, the others are irregular, in this case without sessions

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 1960s 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) is 55Gb 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.

DescriptionSymbolTick (Trades Only)
E-mini S&P (snippet)EP2014UEP2014U.txt
Zinc 90 day forward (snippet)LNIZALNIZA2019_02.txt
FX South African Rand Midpoint (snippet)IUSDZARIUSDZAR2018_12.txt

Key:

  • Data Type: T = Trade | B = Bid | A = Ask | S = Settle
  • Correction: R = Regular | D = Deleted | I = Inserted | U = Updated
  • Market State: N = Normal | F = Fast
  • Trade volume recorded from 2001
  • Millisecond timestamp recorded from May 2013. Prior to that, minute timestamps with a millisecond format.

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 1960s 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.
DescriptionSymbol10 Second Bar30 Second BarTime Agnostic
Volume Bars (base 10)
Time Agnostic
Volume Bars (base 50)
Time Agnostic
Volume Bars (base 500)
British Pound (All Sessions)BPA2014ZBPA2014Z.txtBPA2014Z.txtBPA2014Z.txtBPA2014Z.txt---
Mini NASDAQENQ2015MENQ2015M.txtENQ2015M.txt---ENQ2015M.txtENQ2015M.txt

Key:

  • Browse the selection of sample data.
  • Second data has been extracted using SOB (Start of Bar) method.
  • Volume bars greater than the base per millisecond are unaltered.
  • Speak to us about dynamic base algorithms for volume bars.

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 1960s 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 the Eurodollar is above 1.2Tb for Level 1 data to inception for this one symbol, Gold to inception is 750Gb and the S&P mini 300Gb as three commodity 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.

DescriptionSymbolTick BATS Level 1
E-mini S&P (snippet)EP2019HEP2019H.txt
Gold (snippet)GCE2019VGCE2019V.txt

Key:

  • Data Type: T = Trade | B = Bid | A = Ask | S = Settle
  • Correction: R = Regular | D = Deleted | I = Inserted | U = Updated
  • Market State: N = Normal | F = Fast
  • Trade volume recorded from 2001
  • Millisecond timestamp recorded from May 2013. Prior to that, minute timestamps with a millisecond format.

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.

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