Reuters is formally releasing this week Reuters DataScope Tick History, the latest product in its strategy to target computer-based trading operations.
The product, plans for which have been mentioned over the past six months (IMD, Nov. 21, 2005), offers ten years’ worth of global full-tick data, including intraday time and sales, time and quotes, and market depth, covering equities, options and futures, foreign exchange, fixed income and money markets as well as OTC and exchange-traded instruments. Reuters DataScope Tick History, which covers more than 160 exchanges, also includes millisecond time stamping.
The data is formatted into a Reuters Instrument Code-based format and seamlessly integrates with Reuters’ real-time data and other products, says Gareth Coltman, business manager, Reuters DataScope Tick History.
He says the product is already live at ten early adopters. He declines to name them but describes them as sell-side banks and hedge funds in the US, Europe and Asia.
Coltman says the product can be used for quantitative research or back-testing algorithms, among other activities.
While firms could collect historical tick data themselves from individual sources, Coltman says they don’t get the required quality, breadth or depth of data. Another reason for the strong demand, he says, is that there is no third-party provider offering this data.
The harmonization of data from multiple sources into a single format also saves on firms’ development costs, he says. “To go out and potentially get this data from a number of niche providers is not a cost effective way to fulfil [firms’] requirements,” he says.
Reuters DataScope Tick History is available on a hosted or deployed basis. Those choosing the hosted option submit a data query via an online interface and then download the relevant data. Pricing is based on a monthly subscription, similar to the structure for DataScope Select.
Customers that want access to all of the data—typically larger customers and those that are using a tick capture engine—can choose the deployed version. In this case, the data is delivered via hard media, such as a CD-ROM. Pricing is consumption-based.
Customers can also choose to have both options for those who want both access to the full range of data and the ability to make ad hoc requests.
Reuters DataScope Tick History is available on a standalone basis but can be integrated with Reuters DataScope Real-time and the Reuters Tick Capture Engine.