Historical Market Data
Historical data source for the world’s largest financial institutions.
A comprehensive, time-stamped historical tick data solution captured at source in native exchange format as PCAPs, providing access to past market information for research and analysis purposes.
Analyzing market trends and history is key to preparing your business for future success. Pico Raw Historical Data (PRHD) is a comprehensive, time-stamped historical tick data solution captured at source in native exchange format as PCAPs.
PRHD is the chosen historical data source for the world’s largest financial institutions looking to simulate real time trading events or backfill incomplete data sets to further develop their trading strategies.
Pico Raw HD is an invaluable tool for traders, desk strategists, and quantitative researchers looking to identify and model trends in financial markets.
Clients can use our fully resilient tick data solution as a primary solution conduct research and simulation for their investment strategies before entering a new global market, or as a secondary source integrated with their systems to backfill gapped data sets.
We maintain a database on-prem and in the cloud, with data capture starting in 2016 for over 100 major Equities, Options, and Futures feeds in both the US and Europe.
Markets Supported
CBOE BYX | EDGX | NYMEX |
CBOE BZX | Global OTX | NYSE |
CBOE Futures | ICE Chicago | NYSE American |
CBOE Options | ICE GIDS | NYSE ARCA |
CBOT | MSCI (indexes) | NYSE Classic |
CME | NASDAQ BX | OPRA |
COMEX | NASDAQ Equities | OTC Markets |
CTA | NASDAQ Futures | UTP FINRA |
Dow Jones | NASDAQ PHLX | |
EDGA | NASDAQ PSX |
Captured in Colocation at the Source
Our in-colo capture ensures the cleanest, gap free, and most real-life source of historical raw market data—minimizing network distance and maximizing data quality.
Resilient Native Exchange Format of A and B Feeds
Prepare and test your strategy under real life trading conditions with the ability to leverage resilient raw capture to arbitrate between A and B market feeds.
PTP Time Stamped
Analyze, pinpoint, and then simulate testing scenarios down to the microsecond to recreate any market event on all our available feeds as if it were happening in real time leveraging Pico sourced PTP timestamps.
Technical Aspects
The data is captured leveraging hardware timestamping, on ingress, and stored in PCAP (Packet Capture) files. A post processing solution inspects the resultant files and performs the following actions:
Splits the streams into files: Each trading venue hosts multiple streams but they usually write all the streams onto the same files for simplicity. Pico Raw HD splits each stream into a different file.
Gap Checking: Our solution will check for gaps on the stream in real time and will alert the Pico Client Support Team for follow up. When a gap is detected PicoCapture will automatically request a retransmission, where possible.
Entitlements: Files delivered as early as possible based on exchange policies.
Performs MD5 Checksums: Verifies file integrity
Compresses the data files: This makes transport and retrieval more efficient
Receiving Historical Data
Ongoing subscriptions of historical data are supplied via in-region AWS S3 access points or bucket replication, on-demand, intraday, or daily, based on data entitlement restrictions and exchange policies.
One-time deliveries of PRHD are all completed via AWS S3. Pico implementation engineers will push the history you need from a Pico S3 bucket to your S3 bucket.
Use Cases
Trade Cost Analysis
Post trade research to understand exactly when and where your orders were filled and how you can better tailor your execution strategy.
Back Testing & Simulation
Run back tests to analyze and hone your investment approach. Recreate real life market events to test and revise your algorithm before entering a new market. Simulate a week of trading day or month on Global markets from any available year to determine successful trade executions.
Trade Research
Conduct macro research to identify trends over the course of months or years to make strategic trading decisions.
Compliance Reporting
Comply with the regulatory rules and regulations and have the ability demonstrate best execution practices.