Historical Market Data

Raw market data, just as it is received on the wire.

Historical market data captured in raw packet form, just as received from each subscribed venue, is necessary in a variety of use cases for which traditional tick databases don’t suffice. Redline provides raw market data packets plus recording and replay services and tools to help you perform trading analysis and tests.

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  • Trade compliance verification, forensic analysis of market events, and latency trend analysis — these require knowledge of the precise arrival time and sequence of ticks received at your co-located trading server for a time-accurate replay of the trading day.

  • Application validation and regression testing — injecting raw packet data into your trading applications allows you to conduct these tests without the need to program separate tools and tests.

  • Researching trading history — you’re not limited to the information that traditional tick databases have decided to save because all .pcap files are recorded as received without information loss

Features

Packets Time-Stamped to Nanosecond Level

Time-Accurate Replay

Years of Market Data to Choose From

Historical Data Stored in the Cloud

Redline provides U.S. equities and derivatives data we have recorded at key co-location centers, either as a one-time purchase or as an ongoing subscription. Contact the Redline Managed Service team for details on the duration of history we have recorded for each supported venue. We can make this data available for download over the Internet, allocate it for access in the cloud, or we can ship bulk data using hard disks depending on size and preference.

Supported Venues: Direct and consolidated feeds for US equities and most derivatives exchanges

Note: NYSE Direct feed data requires exchange licensing

Recording Service

Alternatively, we can record your data for you. The Redline Managed Service team can set up the necessary infrastructure, manage data recording, and archive the raw packet data locally or remotely in storage dedicated to you. Our monitoring service performs data integrity checks and provides user support.

Recording and Replay Tools

A third choice is to do it all yourself, using Redline’s tools to record and play back your raw market data arriving at your servers in your co-location centers.

How It Works

01 RECORDING

Our InRush™ Accelerated Ticker Plant can be configured to record data from multiple markets simultaneously on a single server. Data received from the ticker plant is captured to disk in configurable small chunks, on a per exchange basis, in compressed .pcap format that preserves the original packing from the source exchange. Typically all subscribed exchanges for a trading application can be captured on the same server, enabling nanosecond-level time stamping at packet arrival time from a single clock source. This ensures that the data will be accurately replayed to reflect the identical arrival sequence for the co-location center where the recording server is located.

02 ARCHIVING

At Redline we record market data on a daily basis at key co-lo facilities and send this data to Redline’s data cloud in near real time. Redline’s Recording Service can keep the data for which you are entitled readily available on fast drives for the required period of time. Various archiving techniques may be employed to meet specific customer requirements.

03 REPLAY

This data, stored in files, can then be replayed by the InRush ticker plant’s .pcap injection utility. It can also be replayed over the network with tools such as tcp replay or inspected with Wireshark. InRush, when configured in replay mode, can replay one or multiple exchanges simultaneously while merging them in a single time series such that the replay sequence of the messages exactly matches the arrival sequence at the network adapter at recording time. This feature lets users re-create complex scenarios such as consolidated book or user-defined synthetic BBO calculations. Replay speed is a configurable option limited only by the read speed of the storage subsystem employed.

Get the raw historical market data and tools you need to perform trading analysis.