We are moving! From June end 2017, the LiquidMetrix London office address will be 55 New Oxford Street, London, WC1A 1BS.
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LiquidMetrix Tick Data

What is the LiquidMetrix Daily FTP Tick Data Service?

The core of IFS’LiquidMetrix services is a multi-terabyte, cleaned tick database containing every public order and trade that executes on European venues.

IFS can provide you with access to the underlying order book and trade data via an FTP site. Download this data and use it to perform your own analysis or modelling.

The advantages of sourcing the tick data from us are:
  • We have normalised all the data messages from their original Exchange sources and so all the orders and trades we provide are in a single common format. You only need to write one data reader.
  • The format we store the data in is generally much more compact than the 'raw' data feed messages from the exchanges so our end of day data files are more manageable in terms of bandwidth, size and download times.
  • Our QA processes check for any obvious 'holes' or problems with the data. Where we find problems we go back to source and try to correct and re-issue the data.
View the brochure
Data sets*
Venue Approx. Data
Chi-X 80 GB / month
Turquoise 35 GB / month
BATS 45 GB / month
NYSE ARCA Europe 55 GB / month
Burgundy 5 GB / month
Quote MTF 1 GB / month
London Stock Exchange 20 GB / month
Borsa Italiana 60 GB / month
NYSE Eurnoext 60 GB / month
Deutsche Bourse (Xetra) 40 GB / month
And others...
*For prices and inquiries please call
+44 (0)203 432 5610 or e-mail liquidmetrix@if5.com
Frequently Asked Questions

Q Do you capture all of the raw market data from the Exchanges?

The file formats specification describes the data we capture for orders and trades for each of the venues we cover. Generally speaking, we capture all fields that we think are relevant for rebuilding full depth order books, building action histories of limit orders and seeing what public trades executed on book. We do drop or normalise some exchange specific fields where they are not used consistently across exchanges, contain redundant information or we feel they do not add any value to the quantitative analysis of markets.

Q What timestamps do you use? How accurate are they?

For the seven MTF venues we use the official timestamps for quotes and trades as disseminated by the exchanges themselves (i.e. not the server timestamp of when we happen to receive the messages). They are quoted in milliseconds.

Q I want to buy 12 months of data for all exchanges – can you send me the data on a hard disk?

Yes, for larger amounts of data a hard disk is a better option for most people than FTP-ing hundreds of Gigabytes of files. If you choose this option, we’ll prepare a suitable hard disk with the data and courier it to you.

Q When are the next day T+1 download files available?

Generally, updated orders and trades files are provided for all venues in the IFS LiquidMetrix download FTP directories by 4AM of the next trading day unless an IFS QA process spots a problems with a file or IFS have had a technical problem. In those cases we will endeavour to make the corrected/complete files available as soon as we can.

Q Why don't you provide data for XXX exchange?

Although our LiquidMetrix database has data for all venues, due to licensing restrictions we can only currently provide data for a subset of venues. If you would like to source data for other venues from us let us know and we may be able to provide it subject to you signing a data agreement with us and the source of the data agreeing.

Q Do you offer discounts for Academics / Researchers?

If you are sourcing the data for use in academic research, let us know your organisation and what you intend to do with the data and as long as you acknowledge IFS as the data source and let us know about any papers you publish using it we will be happy to provide a discount to the above prices. Ideally you'll let us put a link or copy to your paper on this site!

Q What can I do with the data?

One of the principal uses of this level of data is to re-build a complete picture of the state of order books on lit venues at any instant in time. The screenshot to the right shows a re-built order book for CHIX using LiquidMetrix CHIX tick data. As you can see, you get not only the full–depth price levels / volumes, but you can also see every individual order at each price level and even when that order was added modified or later cancelled.


Replay order book with trades and orders...

Disclaimer

The information contained within this website is provided for information purposes only. IFS will use reasonable care to ensure the accuracy of the information within this site. However, IFS will not be held liable for any errors in the information provided within this website or for accuracy or completeness of the information, or for delays, interruptions or omissions therein, any difficulties in receiving or accessing the website and/or for any loss direct or indirect (including without limitation, loss of profits or consequential loss and indirect, special or consequential damages) howsoever arising and whether or not caused by the negligence of IFS, its employees or agents. The information contained within this site may be changed by IFS at any time.

The information available within this website may include ‘Evaluations’ which are not reflections of the transaction prices at which any securities can be purchased or sold in the market but are mathematically derived approximations of estimated values. Nevertheless, reference may sometimes be made to Evaluations as pricing information, solely for convenience or reference. Evaluations are based upon certain market assumptions and evaluation methodologies reflected in proprietary algorithms and may not conform to trading prices or information available from third parties. No liability or responsibility is accepted (and all such liability is hereby excluded) for any information or ‘Evaluations’.

The copyright of this website and all its content belongs to IFS. All other intellectual property rights are reserved. Redistribution or reproduction of the information and data contained within this website is prohibited without the prior written permission by IFS.

www.liquidmetrix.com is an Intelligent Financial Systems Service: www.if5.com ©Copyright IFS 2009