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History data is provided via e-mail, on CD or downloaded
from our FTP site and may be provided in ASCII format for import into
Tradestation or similar software.
All ASCII data types are compatible with Microsoft Excel,
however, please note that Excel is unable to edit greater than 65,536
lines in a single file. The time stamps of all ASCII files can be customised
and the time zone and daylight saving options should be specified when
ordering.
ASCII data may be provided with four levels of compression:
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LEVEL 1 &
Quote Size
Leve-1 data comprising trade and quote data in time order. This data
is suitable for the testing of trading platforms, simulation and detailed
analysis of market transactions. Please note that for some active
securities data may exceed 65,536 lines each day.
Data fields included are: timestamp, trade prices, trade size, trade
type, best bid, best bid size, best ask, best ask size. |
LEVEL 1
Level1 data comprising trade and quote data in time order. This data
is suitable for testing of trading platforms, simulation and detailed
analysis of market transactions. Please note that for some active
securities, level1 data may exceed 65,536 lines each day.
Data fields included: timestamp, trade prices, trade size, trade type,
best bid, best ask |
TICK
Tick data is suitable for high frequency time-series
analysis and includes trade or quote information in time order. The
data is significantly more compact than level1 history yet provides
a detailed price/time history allowing the development of market models.
Data fields included:
timestamp, trade price, trade size or time-stamp and mid-price
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OHLCV
Compressed OHLCV is particularly suitable for
charting applications. Data can be provided in 1,5,10,15,20,30,60
minute and daily compressions and in Tradestation ASCII or Metastock
ASCII format.
All OHLCV data is
compressed from filtered tick data and is consequently more accurate
than end-of-day data providers that only apply filtering and price
checking to data that is already compressed.
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