RAW Historical Market Data

Nanotick | Raw provides  wire-level captured market data feed incremental updates, and an associated Security Definition File (secdef.dat) daily static data file for the specific trading day within the weekly trading session.

Nanotick | CME Group | Raw data artefacts are based on subscription extracts by channel and/or contract, and historical time periods.

This data type is intended for use where firms have their own, or third party, solutions for building order book images from raw wire-level data.

The Nanotick | CME Group | Raw data is presented in an Extensible Record Format (.erf) file with high resolution time stamps using GPS clock synchronisation with an atomic clock PPS time source to a time resolution of <10 nanoseconds. The .erf formatted data artefacts can easily be converted to .pcap or .pcap-ng based on technical requirements.

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Nanotick Market Data Artefact Types

Download a Historical Market Data Sample to Backtest

Try Nanosecond Resolution High Frequency Historical Data Samples

Nanotick example shown on laptop