Historical tick data since 2003
Every trade and every quote for US stocks and ETFs. Delisted symbols included.
Trades and quotes
Trades
One row per execution: price, size, exchange, trade ID and conditions.
Quotes
One row per quote update: bid and ask prices, sizes, exchanges and conditions. Trade counts on ticker pages leave quotes out.
Tick timestamps
Two per row, as integer nanoseconds since the Unix epoch in UTC: ts_event from the exchange and ts_sip from the SIP.
History starts in September 2003. Each ticker covers the dates it traded. Check a ticker.
Prices
Full history means every date on file for that ticker. The S&P 500 bundle covers today’s members, not past ones.
| Product / scope | USD | Purchase |
|---|---|---|
| Tick data, single name, one yearEvery trade and quote for one symbol in one calendar year | $19one-time | Email me at launch |
| Tick data, single name, full historyEvery trade and quote for one symbol since 2003 | $49one-time | Email me at launch |
| Tick data, S&P 500Every trade and quote for current S&P 500 members since 2003 | $249one-time | Email me at launch |
| Tick data, full universeEvery trade and quote for every US stock and ETF since 2003, including delisted | $499one-time | Email me at launch |
T+1, the daily update plan, adds each new trading day for $19 a month. It is optional. See prices.
Columns
Trades (tick data)
| Dataset | Columns, in file order |
|---|---|
| trades | symbolts_eventts_sippricesizeexchangesequence_numbertrade_idconditionscorrectiontapetrf_idts_trf |
Quotes (tick data)
| Dataset | Columns, in file order |
|---|---|
| quotes | symbolts_eventts_sipbid_priceask_pricebid_sizeask_sizebid_exchangeask_exchangesequence_numberconditionsindicatorstapets_trf |