Historical data On-Demand

EFFECTIVE BACKTESTING starts with RELIABLE HISTORICAL DATA

Backtesting is one of the most important aspects to consider when developing an algorithmic trading process. If created and interpreted properly, backtesting helps traders optimize and improve their strategies, find any technical or theoretical flaws, and gain confidence in trading strategies before applying to live markets.

Successful backtesting is, however dependent on the quality and reliability of the historical market data underpinning backtesting. To achieve successful backtesting, data quality must be paramount and presented in a way that enables rapid impact evaluation of all event-driven scenarios.

Traditional legacy market data vendors have, over time, amassed huge amounts of market data most suited for the use of the human trader when carrying out fundamental analysis. However, the next generation of algo traders tend to discount legacy data solutions due to their lack of time-stamping precision and heavy conflation which fails to provide all event-driven scenarios and the granular tick-by-tick data provided by venues and exchanges.

WHAT IS QUANTHOUSE HISTORICAL DATA ON DEMAND

QuantHouse has been designing and developing algo trading solutions since its inception 16 years ago. QuantHouse’s historical data service - delivered on-demand - provides every single tick data produced by an exchange. Historical data On-Demand is delivered by QuantFEED’s normalisation technology and provides a high precision time-stamping source. By recording every packet at the FeedHandler level, we provide tick-by-tick historical data in the underlying format and with the same high quality time-stamping that we offer in our real-time production environment, across all normalized feeds that we cover.

QuantHouse HOD - GLOBAL ACCESS and GLOBAL COVERAGE

QuantHouse Historical data On-Demand offers you insight into the future direction of markets powered by our high precision tick data.

With QuantHouse HOD solutions, you can access deep tick-by-tick data from more than 145 exchanges such as NYSE, Nasdaq, CME, CBOE, ICE, Euronext, London Stock Exchange, JPX, JSE, Shanghai Stock Exchange and many more. You can access all the main indices such as S&P 500, Dow Jones, Nasdaq Composite, DAX, AEX, FTSE, Russel, and many more.

QUANTHOUSE HISTORICAL DATA ON-DEMAND - OVERVIEW

Our innovative Historical On-Demand platform provides access through a self-service web interface to every trade, every quote, across multiple sources dating back to 2005. Multi-asset coverage includes equities, derivatives, fixed income, foreign exchange, money markets, commodities, energy and ETFs. Through the web interface you can easily search, find and purchase historical data for specific markets and instruments on a one-off or monthly subscription ongoing basis.

Contact us if you want more details about HOD or review our sample files.

QUANTHOUSE HISTORICAL DATA ON DEMAND - WHAT YOU GET

Key Features :

  • High quality normalized market data, available daily as soon as possible after the exchanges’ embargo.
  • One-off and on-going delivery mechanisms.
  • Historical data delivered via compressed .csv files, containing snapshots every 15 minutes (L1-Full and L2-MBL).
  • Datasets available include:
  1. L1 - Trades only (also known as “Times & Sales”)
  2. L1 - Full (Orders, Trades, Trading Status, Auctions, etc…)
  3. L2 - MBL
  • Referential data (dictionary) and tick sizes are always included.
  • Underlying software and technology designed and maintained internally - no 3rd party involvement.
  • Scalable and constantly evolving platform.
  • Order management, billing and delivery processes are fully automated, leveraging Hadoop, Scala, Spark, Drill and Elastic Search.
  • Payment by wire transfer & credit card available.