Historical data & analytics

We offer robust historical market data and analytics enabling our clients to gain insights and make data-driven decisions.

Clients can focus on developing strategies by leveraging our analytics. SpiderRock is a respected brand in calculating implied volatility, greeks, other risk metrics, and fitting volatility surfaces. Our historical data is derived from the live data and analytics which powers the SpiderRock trading system and ensures a high level of accuracy and consistency.

Available packages

FEATURES

  • Datasets support all US-listed Equities, Futures, Equity Options, and Futures Options

  • Available as basic and extended packages for more granularity

  • Format is consistent with our real-time volatility feed and live analytics 

  • End-of-day files, intraday snapshots as well as tick data available with corresponding reference data
  • Delivered as tab-delimited daily files via sFTP or customized solution

VALUE

Competitive Advantage

  • Fast incubation of new trading strategies

  • Model market volatility and relative market movement

  • Assess risk and margin requirements

  • Evaluate trade cost analysis (TCA)

  • Run portfolio evaluation and manage end-of-day marks

Quality

  • Represents market activity at point-in-time

  • Well documented and de-duped

  • Evaluated for validity and accuracy to minimize errors

  • Statistical analysis on our data to verify completeness

USE CASES

  • Back-testing, incubating/optimizing strategies

  • Trade cost analysis (TCA)

  • Portfolio management risk identification

  • Model market volatility and relative market movement

  • Replay market patterns

  • Compliance reporting

  • Identify market trends

  • Academic research purposes

Consult With Us

Please send your data and analytics inquiries to the SpiderRock data team via the contact form below.

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