FactSet L1 Tick History (Sample)

FactSet’s Tick History Solution Provides 13+ years of historical pricing data for 300+ venues for Quantitative Analysis, Back-testing, TCA (Transaction Cost Analysis) and Compliance workflows.

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**Coverage**

Access high-quality tick data sourced from FactSet’s real-time consolidated feed.

• Over 300 exchanges and contributed sources globally

• Level 1 Tick History: Trade and BBO quote messages for 10+ years across majority of venues

• Equities, Fixed income, Foreign exchange and money markets, Commodities and energy, Futures, Options

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In the Sample Data we have :

1. Euronext Paris

2. Equities:

• US Equity - IBM-USA, F-USA, AAPL-USA, GOOG-USA, TSLA-USA

• AUS - CBA-AUS, BHP-AUS

• LSE - HSBA-LON, VOD-LON

• Tokyo - 7203-TKS, 4307-TKS

• Swiss - NESN-SWX, COTN-SWX

• Singapore - J36-SES

• Hong Kong - 700-HKG

3. Futures:

• US Futures – CL00-USA, ES00-USA, NQ00-USA

• Hong Kong Futures Exchange – HSI00-HKF, CUSE00-HKF

• Sydney Futures Exchange – UB00-SFE, WMS00-SFE

• SGX Derivatives – NKS00-SIM, CN00-SIM

• Mexican Derivatives Exchange – M1000-EMD, IPC00-EMD

• OMX Nordic Exchange - OMH500-OMX, OMS300-OMX

4. Options

• US Options: MSFT#

5. OTC

• US OTC – MARA5942801-OTC, RE5271996-OTC

• Brazil OTC – PTRB4995269-OTC

6. Foreign Exchange

• Danish Krone – USDDKK-FX1

• DKK/USD – DKKUSD-FX1

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Please refer to Data Model Guide for ALL The Key Fields.

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搜集汇总

背景与挑战

背景概述

该样本数据集提供FactSet全球300多个交易所13年以上的L1级历史报价数据，覆盖股票、期货、期权等多类资产，包含欧澳亚美等多个市场的代表性证券品种。