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Second Resolution Packages

QuantQuote second resolution stock data provides a high resolution view of intraday activity while requiring much less computing power than tick data.


QuantQuote second resolution data files are available for all NASDAQ and NYSE listed stocks starting from January 1998 to the present. The dataset is research ready and contains splits and dividend adjustments, and accounts for symbol changes and survivorship bias.

Historical second resolution intraday stock datasets can be stored in compressed binaries created by our QuantEDGE software. This innovative software allows our datasets to take up to 92% less space versus uncompressed datasets. QuantEDGE libraries can be easily implemented into any C++ testing/trading code or used with the included standalone application that decompresses data files on demand. Second data is also avaliable in CSV format.

A full data description and specification can be found in our second resolution data whitepaper.



Features

QuantQuote second resolution datasets come with a wide variety of features designed to make the dataset research ready right from the start.

  • No Survivorship Bias
  • Dividend/Split Adjustments 1
  • Symbol Change Tracking 1
  • Out-of-Sequence trade filtering
  • Data available from 1998 to present 2
  • Free quarterly updates for 1 year 3
  • QuantEDGE compression
  • Daily/Weekly/Monthly update service available
  • Lifetime support

In addition, it is possible to select any combination of symbols and dates and build a custom package allowing for more savings by only purchasing the desired data. Get an instant quote from our purchase page by selecting the Second Data tab and configuring a Custom Package.

1 Provided by TickMAP which comes standard with second resolution data

2 Complete package is updated quarterly, symbols may only be available up to the end of the last quarter, please contact sales for more details.

3 Not available on custom packages

Packages

QuantQuote second resolution data come in the following survivorship bias free packages containing data from 1998 to the present.

Name Number of Symbols Price
DJIA 37 $500
NASDAQ 100 169 $1500
S&P 100 173 $1500
S&P 500 895 $3500
ETF 252 $2000
Complete 1 16206 $12500

1 Complete package is updated quarterly, symbols may only be available up to the end of the last quarter, please contact sales for more details.

Additional packages containing the S&P400/600, and Russell1000/3000 are also available upon request, please contact sales for more details.

Fully custom packages are also available. Get an instant quote from our purchase page calculator by selecting the Second Data tab and configuring a Custom Package.

QuantEDGE

All QuantQuote second resolution intraday stock data come in the QuantEDGE advanced compression format. C++ QuantEDGE libraries perform on-the-fly decompression in memory and automatic data loading in a single step for unparalleled performance and ease of use. QuantEDGE is also fully integrated and compatible with TickMAP.

QuantEDGE allows for a 92% reduction in data file size, greatly reducing storage requirements. The binary format combined with decompression in memory actually makes the loading of QuantEDGE format data faster than loading uncompressed text data despite the added processing time from decompression. The libraries are platform independent and can be run on most Unix/Linux/OSX systems. QuantEDGE has also been used successfully on Windows1.

A standalone QuantEDGE application is also available to automatically decompress second resolution data files. For a full description of QuantEDGE and its capabilities, please see our QuantEDGE Whitepaper

1 Windows usage is not fully supported, but QuantEDGE has been successfully deployed on Windows by many customers.

Update Services

All QuantQuote minute resolution data packages come with free quarterly updates for 1 year. If higher frequency updates are required, QuantQuote offers three types of update services:

Type Price
Monthly Update $75 / month / 1000 symbols
Weekly Updates $100 / month / 1000 symbols
Daily Updates $150 / month / 1000 symbols

Updates are available at the end of each trading day and provided via digital download. Split/dividend adjustments and symbol mapping are included in each update and delivered via an updated set of TickMAP files. There is no need to update all previously downloaded files for a symbol in the event of a new dividend, a simple update of the TickMAP file allows the TickMAP software to compensate for the new dividend instantly. For more information, please contact sales

Sample Data

For full data format information, please consult our documentation.

Name Link
Sample Minute Data SPY_MINUTE_TRADE.csv
Sample Second Data 1 SPY_SECOND_TRADE.csv
Sample Tick Data (Trade Only) 1 SPY_TICK_TRADE.csv

Note: Actual data will not contain the header in the first line.

1 Second and Tick data is delivered by default in QuantEDGE compressed binaries. Here, sample files are provided in plain text for readability. For sample QuantEDGE format files and code to read QuantEDGE files on your system, please email sales


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