What market data are currently available?

We provide market data for a number of stocks, futures and indices. Bar frequencies go from daily, down to the second.
Generally, data are available from 1999, though some are only available from a later date.

The futures contracts are automatically rolled, adjusted and cleaned up.

How can I select which instruments my strategy runs on?

More details on this page.

What do you mean by cleaning up?

Even the most advanced providers of market data have errors in the values they provide. For technical reasons, they sometimes have no values, or even completely wrong ones.

Before you get a hold of the market data, we cross-check values from multiple sources. The data are manually examined and adjusted until consistent.

How are futures contracts rolled?

Futures contracts are unique in the fact that they have an expiry date. If you want to trade such an instrument, things can get a little awkward when nearing the term of the contract, as the volume of trades dramatically decreases.

Instead, we offer continuous series built from contracts whose prices have been adjusted to eliminate the gaps between expiring and newly active contracts. The idea of rolled contracts means concatenating historical contracts into the past, while applying adjustments to smooth transitions between contracts.