Historical Market Data

Pico Raw HD delivers a comprehensive and resilient tick data solution captured at source in native exchange format.

Analyzing market trends and history is key to preparing your business for future success. Pico Raw Historical Data (PRHD) is a comprehensive, time-stamped historical tick data solution captured at source in native exchange format as PCAPs.

PRHD is the chosen historical data source for the world’s largest financial institutions looking to simulate real time trading events or backfill incomplete data sets to further develop their trading strategies.

Pico Raw HD is an invaluable tool for traders, desk strategists, and quantitative researchers looking to identify and model trends in financial markets.

Clients can use our fully resilient tick data solution as a primary solution conduct research and simulation for their investment strategies before entering a new global market, or as a secondary source integrated with their systems to backfill gapped data sets.

We maintain a database on-prem and in the cloud, with data capture starting in 2016 for over 100 major Equities, Options, and Futures feeds in both the US and Europe.

Use Cases

  • Simulation
  • Back-Testing
  • Research
  • Post Trade Analysis
  • Compliance Reporting

PicoNet™

Access over 200 global market venues via PicoNet™, our private ultra low-latency proprietary network mesh. Extremely flat, minimizing hops and latency wherever possible, PicoNet™ is ultra-resilient and fault-tolerant, providing the fastest path connections between on-net co-location sites.

Our data is captured leveraging our own proprietary software—PicoCapture—and PTP timestamped to nanosecond precision, with microsecond accuracy using our own Grandmaster Clocks. Data is stored in PCAP files segregated into fifteen-minute increments broken down by venue multicast address. The accuracy of our data will provide you the granular market insight you need to simulate trading scenarios as if it was happening live.

Pico Raw HD offers a streamlined interface enabling fast data retrieval and replay, available in seconds on-demand, intraday, or daily, based on data entitlement restrictions and exchange policies. The data is stored locally in region for the most recent 30 days, and then long term in the AWS cloud.

Global Market Captures

Nasdaq
New York Stock Exchange
CTA
CBOE
CME
ICE Futures and Options
UTP
MGEX
IEX
OTC
NYMEX
CFE

Euronext
LSE
Turquioise
ICE Europe
BATS CHI-X
SIX Swiss
Nasdaq Nordic
Borsa Italiana
Oslo Bors

Characteristics And Customer Benefits

Captured in Colocation at the Source Our in-colo capture ensures the cleanest, gap free, and most real-life source of historical raw market data—minimizing network distance and maximizing data quality.
Resilient Native Exchange Format of A and B Feeds Prepare and test your strategy under real life trading conditions with the ability to leverage resilient raw capture to arbitrate between A and B market feeds.
PTP Time Stamped Analyze, pinpoint, and then simulate testing scenarios down to the microsecond to recreate any market event on all our available feeds as if it were happening in real time leveraging Pico sourced PTP timestamps.

Technical Aspects

The data is captured leveraging hardware timestamping, on ingress, and stored in PCAP (Packet Capture) files. A post processing solution inspects the resultant files and performs the following actions:

  • Splits the streams into files: Each trading venue hosts multiple streams but they usually write all the streams onto the same files for simplicity. Pico Raw HD splits each stream into a different file.

  • Gap Checking: Our solution will check for gaps on the stream in real time and will alert the Pico Client Support Team for follow up. When a gap is detected PicoCapture will automatically request a retransmission, where possible.
  • Entitlements: Files delivered as early as possible based on exchange policies.
  • Performs MD5 Checksums: Verifies file integrity
  • Compresses the data files: This makes transport and retrieval more efficient

Receiving Historical Data

Ongoing subscriptions require an in-region on-prem data center cross connect over PicoNet. Data is made available via SFTP on-demand, intraday, or daily, based on data entitlement restrictions and exchange policies.​

One-time deliveries of PRHD are all completed via AWS S3. Pico Implementation engineers will push the history you need from a Pico S3 bucket to your S3 bucket.​


Key Use Cases

TRADE COST ANALYSIS

Post trade research to understand exactly when and where your orders were filled and how you can better tailor your execution strategy.

BACK TESTING & SIMULATION

Review the success of your algorithm by running back tests to analyze and hone your investment approach. Recreate real life market events to test and revise your algorithm before entering a new market. Simulate a week of trading day or month on Global markets from any available year to determine successful trade executions.

TRADE RESEARCH

Conduct macro research to identify trends over the course of months or years to make strategic trading decisions.

COMPLIANCE REPORTING

Comply with the regulatory rules and regulations and have the ability demonstrate best execution practices.

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