Tick-by-Tick Data History

Tick-by-tick Data

The Tick-by-tick Data is the most detailed display of a market's trading information. The Tick-by-tick (Time & Sales Data in other words) shows every trade that occurs and provides a variety of information about each trade (e.g. the exact time, the direction, the number of contracts that were traded, etc.). The Tick-by-tick chart allows to view direction of a market's price movement in detail. Every historical Tick-by-Tick Data file includes data for 3 months contract's period from roll-over day to roll-over day. Tick data files are ZIP compressed for faster download. Look at the tick-by-tick data file layout (Tab.1) for detail.

Tab.1. Tick-by-Tick Data file layout
Field name Field type Field Description
Ticker Character (2) Contract symbol ( ES, NQ ... )
Date YYMMDD The calendar date of trade
Time HHMMSS The time at which the trade occurred (in Hours, Minutes, Seconds), CST Chicago time
Price Number (6,2) The Price column displays the price at which the transaction occurred
Size Integer The volume/number of contracts of the trade

Time&Sales Data history is in CSV (ASCII text) format with a second time stamp of Globex Time Hours since the year of 2003 up to the last expired contract for e-mini SP500, e-mini NASDAQ100, EuroFX futures products. We provide ES data history by contract's (four files per year). The easy way to get continuous data is to merge files into large one or upload all contract's files into any charting software. The number of ticks for tick-by-tick products is very substantial, in some cases exceeding half a million ticks per day, so that data is not easily handled within standard office applications, it requires special tools and experience. It is most complele and accurate end of day data from the exchange directly.

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