Thomson Reuters Tick History

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Thomson Reuters Corporation is a business data provider and was created by the Thomson Corporation's purchase of Reuters Group on 17 April 2008. Thomson Reuters is headquartered at 3 Times Square, Manhattan, New York City, New York, United States. The Woodbridge Company, a holding company for the Thomson family of Canada, owns 53% of the group, which operates in 100 countries, and has over 55,000 employees. Thomson Reuters was ranked as Canada's "leading corporate brand" in the 2010 Interbrand Best Canadian Brands ranking."

Contents

Thomson Reuters Tick History

Thomson Reuters Tick History provides microsecond, time-stamped tick data – dating back to January 1996 – covering more than 45 million OTC and exchange-traded instruments worldwide. With historical index constituents, integrated corporate actions, exchanges and third-party contributed content, clients can access this valuable data using a Web-based service, or with a common programmatic interface, to download the information they want, when they need it.

Content Coverage

Captured from Thomson Reuters real-time data feeds Thomson Reuters Tick History is the only service in the market to offer global tick data since 1996 across all asset classes, covering both OTC and exchange traded instruments across 400+ exchanges and third party contributor data, the majority available 2 hours after markets close.

Data

Un-manipulated recorded trade and quote messages of our Integrated Data Network since 1996.

REGION
GLOBAL: AMERICAS, ASIA-PAC, EMEA
ALL ASSET CLASSES
  • Equities
  • Fixed Income
  • FX
  • Futures
  • Options
MAJOR 3RD PARTY
CONTRIBUTORS
  • Tradeweb
  • ICAP (including EBS and Brokertec)
  • Cantor
  • GFI
  • Tullet
  • Tradition
  • Thomson Reuters Dealing and Matching
  • WM fixings



MESSAGE TYPES
With integrated reference data, Thomson Reuters Tick History enables the creation of seamless historical time series effortlessly and ensures clients can account for trading pattern anomalies and survivor bias caused by reference data changes.

TIME SERIES DATA
  • Trades and Quotes messages (level 1)
  • Market depth (level 2)
  • End of day prices from real-time exchanges
  • Intraday (time bar data)
MAJOR 3RD PARTY
CONTRIBUTORS
  • End of Day Prices (validated and scrubbed)
  • Corporate Actions (Corax)
  • Reference Data (ISIN, CUSIP, SEDOL, RIC)

Why Thomson Reuters

Data you can use ‘out of the box’

Thomson Reuters is the de facto industry standard for normalizing market data. Worldwide, we have teams of content specialists who perform comprehensive corporate actions, symbol changes and content cross-referencing – so content reaches your applications in a totally current, standardized, open format.

Widest coverage

Thomson Reuters has unparalleled coverage of market data, news, economic data and other differentiated content.

BENEFITS

Easy to use

Navigate the vast universe of available data via Thomson Reuters Tick History’s intuitive search engine and a speed guide menu tool to intuitively find your data. An easy to use wizard to facilitate the creation of dynamic data requests easily and a state-of-theart file compression technology to ensure rapid data delivery. Scheduling features enable customers to download data at a pre-defined time of choice – and FTP push and pull delivery enable them to extract the required data including over 140 exchanges available to download from the previous 14 days.

We deliver data with a consistent data model and common API across tick history, archive news, and pricing and reference data.

SINGLE FORMAT

Data is compiled from multiple sources into a single, RIC-based format with common field identifiers for simple integration and analysis. Clients can also download this data in a format to match directly with real-time feed field value pairs.

INTEGRATION

Easy to use .CSV format enables data content to be integrated into complex event processing (CEP) platforms or analytical software. Common symbology means easy integration with all analytical tools and feeds, as well as Thomson Reuters Enterprise Platform for Velocity Analytics and Thomson Reuters Quantitative Analytics platform.

GLOBAL EXPERTISE AND SUPPORT

Helping firms create and implement winning strategies with our 24 hours a day and 5 days a week global content and technical support from senior data specialists for tick history.

How to get an account

There are two types of accounts available.

  1. 30 general public accounts with limited user right are available from all the terminals in the lab.Please contact the lab administrator for account information. Instructions are available in the terminals (Look into the Thomson Reuters folder on the start menu), and the lab staff can assist you with logging in and other basic procedures.
  2. A full research account requires approval by the Lab Director. It is required to work on a research project approved by a faculty member. Please fill in the form attached File:HFSL requestform.pdf. Get the necessary signatures required and bring it to the lab staff. Upon approval, an account will be created within few days.

For more information please consult the lab staff. Tutorials about this topic are available at sirca's site. Another useful resource is the Dinkum Data Blog.

Thomson Reuters Tick History Application Program Interface (API)

Thomson Reuters Tick History (TRTH) enable several ways to help users to obtain data, such as R, MATLAB, SAS, and so on.

  1. MATLAB supplies API support to enable user to communicate with TRTH. The Datafeed Toolbox in MATLAB provides a bunch of functions to establish connections to TRTH. See more information in MathWorks.
  2. For all those interested, Sirca has released an update to the R API. This update simplifies the submitRequest and submitFTPRequest functions where it is now easier to input your message types and fields.The R API is only available for academic users through Sirca, Please contact Sirca through Sirca Contact if you would like the updated install file.
  3. SAS API for Thomson Reuters Tick History is now available. The API has now been launched into production and TRTH users can access the documentation and files File:TRTH SAS API.pdf.
  4. R API for Thomson Reuters Tick History documentation 1: File:Tick History API for R 1.2.pdf, and documentation 2: File:TRTH API for R V1.1.pdf. Contact lab staff for R package.

Getting Help from Thomson Reuters

  • Users can hit Help in Thomson Reuters Tick History webpage for help.
  • Try to contact a representative through Contact Us. Users can submit their questions to Thomson Reuters and will get replay within fifteen minutes during working time from Monday to Friday.
  • Academic users (globally) can get help through Sirca Website, as well.
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