Historical Stocks Data
Historical Stocks Overview
Historical Stocks Offering
Stock Data Use Case
Market Data Products
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Historical Stock Price Datasets
Our historical stock datasets recap the days’ trading activity in the underlying security. Files show open/high/low/close/volume data for stocks, ETFs, and indexes from US exchanges. SpiderRock offers high-quality data that is a point-in-time record of the market. We also provide corporate action information that allows you to make historical adjustments for backtesting.
What Are Historical Stock Price Feeds?
SpiderRock provides historical data feeds that include quotes, volume, and market sizes for each traded asset. Historical price feeds consist of archived records of the days’ trading in different formats and are delivered overnight to clients. The various formats are used to support different use cases or research needs. SpiderRock provides three basic formats for stock feed subscriptions: Closing Marks, Minute Bars, Print Set, as well as Stock Imbalances.
About Our Historical Stock Price Data
Stock Closing Marks – Created immediately after the market close when exchanges publish official marks. These records contain closing quotes and prices. Stock data also includes prior day opening and closing data with adjustments for corporate actions and daily returns. Single stocks, ETFs, and index data are tracked with reference data and security IDs that enable users to link symbol data with other corporate reference information.
Stock Minute Bars – Created once per minute for each open stock and index market. Data in this set includes high/low values, spread data, print information, and bid/ask data.
Stock Print Set – Created for each trade with trade cost analysis (TCA). Records are updated 1-minute and 10-minutes after the print.
Stock Imbalances – Files contain buy and sell imbalance records during auctions throughout the trading day. This data is available for both the NYSE and ARCA listed securities.
All datasets are well-documented with an extensive data dictionary. Data is point-in-time.
SpiderRock evaluates the data for validity and accuracy and performs statistical checks on the production databases daily to verify completeness.
10+ Years of Historical Data
Our stock historical datasets go back 10+ years.
Supported Stocks
Our historical datasets support all listed US stocks, ETFs, and ADRs.
Product Offering
Stocks
Is Your Historical Stock Data Accurate?
Our historical stock data is derived from the live market data and analytics which powers the SpiderRock trading system. This ensures a high level of accuracy and consistency. Clients can focus on developing powerful custom strategies by leveraging our analytics.
Backtest With Confidence
The SpiderRock data allows users to backtest strategies through numerous products based on frequency and analytics needed. Stock datasets are synchronized with data in other SpiderRock asset classes (options, futures), improving the accuracy of your trade performance calculations.
Optimize Complex Strategies
Our stock price datasets provide detailed historical data which allows for testing a wide variety of large-scale strategies. We also offer historic data sets for options, futures, and volatility surfaces for multi-asset strategies.
Identify Historical Market Patterns
Print Sets are typically used to replay market patterns as they contain every print along with the quote and mid-market surface at print time.
Print Sets feature an extensive period of relevant data with most datasets offering records dating back to 2016. All print set records include prices, sizes, volumes, and critical market conditions at the time of the trade, along with exchange communicated print types.
Trade Cost Analysis (TCA)
Market participants can use our TCA metrics data to analyze trade performance. SpiderRock specializes in computing TCA for options. We provide similar TCA data for other asset classes as well.
Our TCA metrics consider the mean-reverting characteristics of markets and help you understand the true cost of accessing the liquidity.
Other SpiderRock Data Products
We also offer multiple historical and real-time price datasets including options, volatility, and futures data.
FAQs About Our Historical Stock Data
What are the benefits of using historical data in trading equities?
Historical price data can be used to identify trends. Some typical uses for this data include backtesting, optimizing strategies, trade-cost analysis (TCA), and compliance reporting.
How do you deliver your historical stock price datasets?
SpiderRock stores and delivers historical data in multiple ways. Data tables are organized for customer access and loaded into cloud-based storage overnight. This primary copy of daily subscription files is stored for daily downloads.
We also offer access to historical datasets on-demand via a restful API accessible via Python, C++ C#, Java, R, and Microsoft Excel. This solution enables customers to query the entire database for specific symbols and time frames along with a dashboard for charting and visualization tools. The API makes accessing the data faster for users and allows analysis and customizing specific data downloads.
What are the benefits of paid vs. free historical stock price datasets?
SpiderRock offers high-quality data that is a point-in-time record of the market. We also provide corporate actions information that allows you to make historical adjustments to the daily returns of your portfolio or trading strategy. Other features like minute bar aggregations of high and low or recorded prints with high precision timestamps are also available.
Do you offer historical data in addition to traditional equities?
SpiderRock offers data for options and futures as well. Synchronized data across asset classes is essential for calculating returns correctly, delivering accurate options analytics, or accurately hedging the risk of one asset class versus others.
Which stocks do you cover?
SpiderRock’s products provide comprehensive historical end-of-day and intraday interval snapshots of all level 1 data published by all US equity exchanges.
Does SpiderRock historical data include a product ID suitable for use over time, capturing corporate actions and adjustments?
SpiderRock historical datasets include product IDs and corporate actions suitable for use over time to facilitate the accurate calculation of daily returns and backtesting.
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