ActiveTick Live Support
Historical Services
ActiveTick Market Data API provides capability to access stored historical data on ActiveTick’s historical databases via easy-to-use request/response mechanism.

The data can be requested in multiple ways, including by symbol, by time ranges, and by using directional iterators.

The API employs a non-blocking asynchronous request/response model in which the caller does not have to wait for request completion, and can continue to work after a request is made. A callback is invoked each time API receives a response from the server and passes the data to the caller.

There are two types of historical data that API currently supports:

Tick Data
Bar Data
Tick Data
Tick data represents original trade information, as well as bid/ask pricing information. The data is captured throughout the trading session by ActiveTick’s historical database servers, and is persisted in its original, unfiltered and unmodified format. ActiveTick began storing tick data starting on 01/2010.

Tick data is extremely useful for back-testing trading strategies since it has all the information needed to reconstruct original market data stream for a given symbol and time range.

The following data elements are being stored by historical servers, and are available for querying through API:

Bid/ask information
Bid exchange
Bid price
Bid size
Ask price
Ask exchange
Ask size
Quote conditions
Time
Trade information
Exchange
Price
Size
Trade conditions
Time
 
 
 

For supporting exchanges, the granularity of time stamps is stored and returned in milliseconds. All equity and option US exchanges currently support this type of granularity.
Bar Data
Bar data consists of calculated OHLCV (Open/High/Low/Close/Volume) bars for a predefined time resolution. ActiveTick historical servers automatically convert and compress trade ticks into bars, calculate pricing values, and accumulate volume information for each bar in real-time.

Bar data is available in various time resolutions, including intraday, daily, and weekly resolutions. For intraday, the data granularity can comprise of any resolution between 1 and 60 minutes. All data is stored in 1-minute resolution internally on historical servers and upon request, the servers can generate and return other resolutions such as 5-minute or 13-minute bars.

For exchanges supporting extended-hours trading sessions, the API is capable of returning this data as well.


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