Historical Tick Data
Refinitiv Tick History
Historical tick history data from Refinitiv Real-Time data feeds, accessed in the cloud. Our 45PB+ database goes back as far as 1996 across all asset classes.
What is Tick History?
Tick History is our cloud-based service of historical real-time pricing data, covering OTC and exchange-traded instruments, from more than 500 trading venues and third-party contributors with over 45PB of data available. Each venue is normalised providing a consistent data experience across all exchanges along with raw formats being available.
Utilise Refinitiv Tick History data in four easy ways:
Tick History – Instrument:
Through a web-based user interface and the Refinitiv DataScope Select API, which supports easy consumption of Tick History content from the public cloud. There is also a custom extract service that allows users to select the instruments, fields, and time periods that they need and schedule report generation at the time that suits their business needs.
Tick History – Venue:
Through the Customer File Service, which is an easy to access API of cloud downloadable venue-by-day files, which customers can transfer or share to their cloud or on-premises database. Clients can use a venue-by-day service for easy and complete extraction of every tick for all instruments for a given venue on a specific day.
Tick History – Query:
Refinitiv Tick History – Query service powered by Google® BigQuery™. Refinitiv Tick History - Query provides access to the unrivalled breadth and depth of Tick History data, which can then be worked with using Google BigQuery analytics. This combination transforms a query that would take hours or days of preparationand run time into just minutes. Clients can query and analyse the output within the tick-as-a-service database directly in the cloud using Google BigQuery, so they do not need to download any data.
Tick History – PCAP:
Through MayStreet, offering a cross section of PCAP data for nanosecond accuracy with GPS timestamp technology direct from the exchange. Along with the Analytics Workbench browser based tool Refinitiv Tick History can easily be linked directly to specific trades or events within historical PCAP content.
The service also offers:
- Normalised data format so that there is consistency in field and data types from each data exchange and venue.
- A custom extract service that allows users to select precisely the instruments, fields, and time periods that they need, and schedule generation of reports at a time to suit their business processes.
- A large array of trade qualifiers on each venue to ensure precision on data queries and financial / trading models.
Features & benefits
What you get with Tick History
550+ global venues and third-party contributors
Tick History carries both level 1 and level 2 data, which is cleaned and normalised, ready for use. Data reaches back as far as 1996.
Tick History uses the Refinitiv data model, including symbology and identifiers. Easily combine Tick History with reference data, machine readable news, and more.
Tick History is on the Refinitiv data model, which enables firms to connect their Refinitiv data across the front, middle and back office, improving data governance and lowering TCO.
Refinitiv Professional Services has deep cloud implementation expertise. Support is 24/7/365, so clients have the help they need no matter where they are.
Tick History has a deep library of videos, articles and more in the Developer Community to support implementation, query generation, and the use of Tick History - Query.
Benefit from our expertise at every stage, from project set-ups and data loading to API integration and user access configurations.
Tick History across the enterprise
- Centralise tick history data across the organisation, eliminating team-held data pockets to improve data governance, reduce costs, and enhance efficiencies.
- Deploy the data in artificial intelligence (AI) and machine learning (ML) projects.
- Back test trading strategies with tick-by-tick data to ensure robustness and optimal outcomes.
- Apply the data to test algorithmic trading models.
- Perform quantitative research and analytics.
- Perform transaction cost analysis (TCA) to meet regulatory best execution obligations and to improve trading efficiency – including order book recreation and market microstructure analysis.
- Apply the data to Fundamental Review of the Trading Book (FRTB) use cases, including data sourced from brokers.
- Use the data to undertake market surveillance, to detect and prevent market abuse.
Why is robust tick history data essential?
In these videos, Saeed Amen, founder of Cuemacro, explains why having high quality, in-depth tick history data is so important for backtesting and transaction cost analysis (TCA).
Backtesting with Refinitiv Tick History - Query
Transaction Cost Analysis with Refinitiv Tick History - Query
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Product in action
Tick History in more detail
Access tick data for specific markets in a cost-efficient way. Tick History offers a rolling 30 days of venue-by-day files.
Tick History custom extractions allow your users to select precisely the instruments, fields, and time periods that they need, and schedule generation of reports at a time to suit their business processes.
Custom scheduling and downloading
You can schedule and download an extraction, or run one immediately, as part of the custom extraction workflow using Tick History.
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