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Feeds Overview
We provide a variety of historical files and realtime data streams.
You can use them to test your trading strategies using historical simulations.
Each file contains one stock per one trading session.
Please refer to the table below for the description of the available data formats.
| Name |
Fields |
Description |
TotalView-
ITCH 3.0/4.0 |
Timestamp
Message Type
Order Number
Price
Quantity
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This file contains messages for order flow from NASDAQ.
Each record adds, cancels, or executes a unique order in the book.
Please refer to
order-flow file specification for further information.
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| Time&Sales |
Timestamp
Order Type
Price
Quantity
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This file contains executed orders from NASDAQ.
Each record contains price and volume parameters of trade.
Please refer to
time&sales specification for further information.
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| Indicators |
Timestamp
Indicators
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This file contains values of indicators that capture various order book and order flow properties for the selected NASDAQ stock.
These indicators can be used to discover various trading patterns.
Please refer to
market indicator specification for further information.
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| Oscillators |
Timestamp
Oscillators
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This file contains values of oscillators that numerically estimate effects of order flow imbalances on price and volatility throughout the trading session.
These indicators can be used to discover various trading patterns.
Please refer to
oscillators overview for further information.
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| OHLCV Tick Data |
Timestamp
OHLCV Tick Data
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Open, Low, High, Close Prices and Volume indicators (OHLCV).
Please refer to
OHLCV Tick Data Overview for further information.
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Custom Data Feeds
We will be happy to help you design your
own datasets and streams, custom tailored to your needs. Please contact our
technical support team by filling out our data order form with your specifications.
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