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Software
| Order Data | Indices
| Stocks | Futures|
Forex & Metals |
We can supply a range of implied
spread and analytic data calculated from constituent data within our database.
Data is supplied in ASCII format with a granularity from 1-minute to 1
day.
Implied spread data can be calculated from mid price or last traded price
and can include the following spread types:
Futures calendar and butterfly spreads.
Intermarket futures spreads.
Stock spreads.
Analytic data series can include the following:
Average trade size in interval
Cumulative up/down tick
Interval VWAP
Interval volatility
Last price up/down tick
Maximum trade size in interval
Mid price tick volatility
Spread
TWAP - time weighted average price.
TWAS - time weighted average spread
Tick count in interval
Traded monetary value in interval
VWAP
Custom analytics and spread data can also be supplied on request.
Please contact us with an exact specification of your data requirements.
To discuss your particular requirements
please e-mail spreads@tickplusdata.com
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