NANOBARS Historical Market Data

Nanotick | nanoBars are available for all Comex, NYMEX, CBOT and CME futures and options price history. The nanoBars historical data includes high precision, high frequency enriched bar data, full best bid and offer price history, all trade history and full limit order book history. 

No other commercially available source of historical or real-time bar data enables such precise simulation and accurate prediction. The high resolution capability inherent within nanoBars has previously only been available to those with recourse to the full exchange membership tick stream 

 

nanoBars contain the following features: 

  • High resolution bar data and nanosecond precision bar width 
  • High frequency book pressure and trade signals derived from the raw tick stream 
  • Aggressive bought and sold VWAP, quantity and trade count 
  • Full book depth snapshots 
  • New book state information at standard latency offsets to the end of the bar 
  • Precise market spread information 
  • Both CSV and binary formats 

The following additional artefacts may also be added upon request:

  • Entire trade history with nanosecond resolution
  • Full atomic BBO price history with nanosecond resolution
  • A file that pinpoints all known Stops, Sweeps and Iceberg orders from within the full tick stream enabled by Nanotick packet capture.

Click here for more technical information.

Nanotick Market Data Artefact Types

The benefits of nanoBars are:  

  • Alphas are extracted at full tick stream resolution for lossless prediction for both research and strategy generation without the overhead of processing the entire tick stream 
  • When researching trade flow alphas with nanoBars the user benefits from being able to distinguish the native aggressor side from the passive side and between buying and selling volume and traded VWAP 
  • Book alphas may be based upon every price level and every quoted lot in the market. 
  • Execution strategies may be tested with a higher level of precision with intra bar price and volume data 
  • Simulation may be conducted with realistic trading latency offsets that are not available in traditional OHLCV bars 
  • nanoBar data may be imported into R, Matlab or Python and all programming languages. We offer a csv interface for ease of use or a binary interface for maximum replay speed.