Historical price data underpins modern financial trading. Trade history and best bid offer price history are essential when backtesting any systematic investment model. However, it is not always necessary to do the heavy lifting associated with full book NYMEX historical tick data
Nanotick | CME Group | NYMEX Historical Price Data | Full Price History nanoBars
nanoBars are the finest source of comprehensive historical price data, or to be more precise, summary and derived information about order book states, book pressure, trade flow and VWAP. The nanoBars are snapshots taken at precise time intervals and suit all but the most exacting, ultra high frequency strategy requirements.
Replaying full order book tick history requires time and investment in both technology and personnel. Cutting edge quantitative research and the development of investment strategies can be simplified and accelerated with high quality summary historical price data.
Full price history nanoBars have been designed for:
nanoBars – Distribution Contents
nanoBars are distributed as a minimum block of 6 months with historical quotes and traded data. Any extended period is available back to 2014 and a discount is applied to orders of 12 months or more of data.
nanoBars are distributed as three sets of bar widths:
The LFT packs are distributed with a nanoCube containing deltas to be applied to the end of the bar at latency offsets of 0, 50, 100, 250 and 500 milliseconds after the bar has expired. These are targeted at strategies running remotely from the exchange
The LFT packs are also distributed with an associated “nanoslice”, a file that presents full book depth at the end of every bar width
The LFT packs also contain VWAP and signal data generated from the full raw tick stream. These are bespoke to each bar width and are non cummulative.
The high frequency bar widths are generated locally by the user. To facilitate this we provide data captured at the exchange in colocation with nanosecond precision time stamps, and our custom bar builder that replays the data via the OnixS directConnect CME Market Data Handler and generates the chosen bar widths in-situ and the associated nanoslices, high frequency nanocubes (0, 1, 5, 10 & 25 ms), VWAP and trade signal data.
The start time and end time of the bars may also be user defined. Bar widths may be created with any number of nanoseconds as the denominator.
Additional Premium Data Artefacts
In addition to the consolidated bar data there are three additional artefacts that may be included upon request:
nanoBars – Pricing
The price of LFT nanoBars is a function of the narrowest bar width within each pack and the underlying tick and trade densities within the futures or options contract itself, ergo the information density within the bar.