Ticks by SIX

Global

Multi asset, global market coverage including market depth where available

Customizable

Default field templates, or customized files on a field-by-field basis

Reliable

Delivers normalized tick history files over SFTP, or cloud destination of choice

Key features

Up to 10 years of full tick history
Select data by market, source or listing
Output data by trade or quote
Deliver one-off back histories or daily files
Normalised and human readable

Delivery

SFTP
Amazon S3

Available soon

BigQuery
Snowflake
Redshift
Databricks
kdb+

Key benefits

Default field templates designed to match client use cases
Ability to fully customize the field selection per client
Option to provide 1 minute bar “roll-ups” for clients not wishing to see tick-by-tick quotes
Sample files can be generated and shared instantly
Daily file delivery within 2 hours from market close
Files delivered directly into a customer's cloud destination

Coverage

115 115

Countries

360 360

Trading Venues

450+ 450+

Level 1 Entitlements

330+ 330+

Level 2 Entitlements

Use Cases

Ticks by SIX includes a core field set designed specifically for risk, regulatory and analytical tick data use cases

Market and Trade Surveillance

Market abuse (MAR)
Suspicious transaction reporting (STR)
Trade reconstruction reporting or monitoring

Daily usage of tick data

Best Execution and Transaction Cost Analysis (TCA)

MiFID trade and transaction reporting
Trade analytics

Daily usage of tick data

Market conformity

Arrival price calculation for MiFID, MaRisk, and AIFMD

Daily usage of tick data

Analytical research and risk modelling

Backtesting and historical lookback of intraday tick data

Daily usage of tick data

2024 SIX/Greenwich market data global study (54 respondents)

250 normalized fields

Templates

Level 1 Quotes

88 fields

Exchange & Identifiers

Exchange - / Contributor Code
Operating MIC
MIC
Valoren Number
Currency Code
ISO Currency
ISIN
Origin Market Code Last
Location Number
Buyer ID (Contributor Best Ask Price)
Seller ID (Contributor Best Bid Price)

Instrument & Symbol

Instrument Shortname W-Level
Trader Symbol

Timestamps

Timestamp with Microseconds
Last Price Date
Last Price Date of Logical Session
Last Price Time
Last Price Microseconds
Reported Trade Date
Reported Trade Time
Reported Trade Price Time Microseconds
Valuation Price Date
Valuation Price Time
Volume Weighted Average Price Date
Volume Weighted Average Price Date of Logical Session
Volume Weighted Average Price Time
Cumulated Volume Date
Cumulated Volume Time
Cumulated Volume On/Off Date
Cumulated Volume On/Off Time
Off Exchange Volume Date
Off Exchange Volume Time
Cumulated Turnover Date
Cumulated Turnover Time
Cumulated Turnover On/Off Date
Cumulated Turnover On/Off Time
Off Exchange Turnover Date
Off Exchange Turnover Time
Cumulated Adjustment Factor Date
Cumulated Adjustment Factor Time
Listing Event Date
Listing Event Time
Most Recent Adjustment Factor Date
Message Time

Price & Style

Last Price
Last Price in Original Format
Last Price Style
Last Mid Price
Last Mid Price Style
Last Mid Price Date
Last Mid Price Time
Valuation Price
Valuation Price in Original Format
Valuation Price Style
Valuation Price Type
Valuation Price Size
Valuation Price DLS
Reported Trade
Reported Trade Style
Reported Trade Size
Reported Trade MMT for EU (Sales Conditions for NYSE/NASDAQ)
Reported Trade MMT Version for EU (Sales Conditions for NYSE/NASDAQ)
Reported Trade Price Buyer
Reported Trade Price Seller ID
Volume Weighted Average Price
Cumulated Volume Style
Cumulated Volume On/Off Style
Off Exchange Volume Style
Cumulated Turnover Style
Cumulated Turnover On/Off Style
Cumulated Adjustment Factor Style

Trade, Volume, and Turnover

Last Volume
Trade Status
Cumulated Volume
Cumulated Volume On/Off
Off Exchange Volume
Cumulated Turnover
Cumulated Turnover On/Off
Off Exchange Turnover

Adjustment & Listing Events

Cumulated Adjustment Factor
Listing Event
Most Recent Adjustment Factor
Listing Event for Exchange Traded Instrument

Metadata & Message

Status Mark
Session Indicator Date
Message GSN
TDF Sequence Number

Download sample file

Level 1 Quotes and Trades

238 fields

Identifiers & Instrument Details

Exchange / Contributor Code
Operating MIC
MIC
Valoren Number
Currency Code
ISO Currency
ISIN
Instrument Shortname W-Level
Trader Symbol
Status Mark
TDF Sequence Number

Timestamps

Timestamp with Microseconds
Last Price Date
Last Price Date of Logical Session
Last Price Time
Last Price Time Microseconds
Reported Trade Date
Reported Trade Time
Reported Trade Price Time Microseconds
Last Bid Price Date
Last Bid Price Time
Last Bid Price Time Microseconds
Last Ask Price Date
Last Ask Price Time
Last Ask Price Time Microseconds
Market Bid Date
Market Bid Time
Market Bid Time Microseconds
Market Ask Date
Market Ask Time
Market Ask Time Microseconds
Best Bid Price Date
Best Bid Price Time
Best Bid Price Time Microseconds
Best Ask Price Date
Best Ask Price Time
Best Ask Price Time Microseconds
Reference Bid Date
Reference Bid Date of Logical Session
Reference Bid Time
Reference Ask Date
Reference Ask Date of Logical Session
Reference Ask Time
Swung NAV Date
Swung NAV Date of Logical Session
Swung NAV Time
Unswung NAV Date
Unswung NAV Date of Logical Session
Unswung NAV Time
Settlement Price Date
Settlement Price Time
Provider Calculated Settlement Price Date of Logical Session

Prices and Values

Last Price
Last Price in Original Format
Last Bid Price
Last Bid Price in Original Format
Last Ask Price
Last Ask Price in Original Format
Last Mid Price
Valuation Price
Valuation Price in Original Format
Valuation Price Size
Valuation Price Type
Best Bid Price Today
Best Ask Price Today
Pre/Post-Market Bid
Pre/Post-Market Ask
Intraday High Price
Intraday Low Price
Pre/Post Market Reference Price
Dividend
Net Asset Value
Indicative Net Asset Value
Volume Weighted Average Price
Special Match Price
Implied Volatility

Styles and Formats

Last Price Style
Last Bid Price Style
Last Ask Price Style
Valuation Price Style
Market Bid Style
Market Ask Style
Best Bid Style
Best Ask Style
Dividend Type
Dividend Frequency Type
Dividend Style
Unmatched Quantity Style
Special Match Price Style
Implied Volatility Style
Volume Weighted Average Price Style

Size and Volume

Last Volume
Last Bid Size
Last Ask Size
Market Bid Size
Market Ask Size
Best Bid Size
Best Ask Size
Cumulated Volume
Off Exchange Volume
Special Match Price Volume
Unmatched Quantity
Cumulated Turnover

Turnover and Adjustments

Cumulated Turnover
Cumulated Adjustment Factor
% Change Last/Close - Adjusted
Daily Dividend Factor
Most Recent Adjustment Factor
Gross Total Return
Net Total Return

Dividend

Dividend Currency
Dividend Ex Date
Dividend Record Date
Dividend Pay Date
Dividend Payment Status
Dividend Quantity Type
Latest Dividend
Dividend Amount (Gross)
Dividend Amount Currency (Gross)
Dividend Message Date
Dividend Message Number
Dividend Adjustment Factor

Market Codes and Identifiers

Origin Market Code Last
Origin Market Code for Open Interest
Provider Calculated Net Asset Value Date of Logical Session

Miscellaneous Fields

Listing Event
Listing Event Date
Listing Event Time
Message Time
Message GSN
Reference Bid
Reference Ask
High Limit (Intraday Static)
Low Limit (Intraday Static)
% Change Last/Close - Adjusted Date
% Change Last/Close - Adjusted Time

Download sample file

Level 2 Quotes

173 fields

Identifiers & Instrument Details

Exchange / Contributor Code
Operating MIC
MIC
Valoren Number
Currency Code
ISO Currency
ISIN
Instrument Shortname W-Level
Trader Symbol

Timestamps

Timestamp with Microseconds
Quote Type
Status Mark
Session Indicator Date
Message Time
Message GSN
Location Number
TDF Sequence Number

Market Bid and Ask (Current Quotes)

Market Bid
Market Bid Style
Market Bid Type
Market Bid Size
Market Bid Date
Market Bid Time
Market Bid Time Microseconds
Market Ask
Market Ask Style
Market Ask Type
Market Ask Size
Market Ask Date
Market Ask Time
Market Ask Time Microseconds

Best Bid and Ask (Today)

Best Bid Price Today
Best Bid Price Today in Original Format
Best Bid Style
Best Bid Size
Best Bid Order Quantity
Best Bid Number of Quotes
Best Bid Price Date
Best Bid Price Time
Best Bid Price Time Microseconds
Best Ask Price Today
Best Ask Price Today in Original Format
Best Ask Style
Best Ask Size
Best Ask Order Quantity
Best Ask Number of Quotes
Best Ask Price Date
Best Ask Price Time
Best Ask Price Time Microseconds

Contributor Information

Buyer ID (Contributor Best Ask Price)
Seller ID (Contributor Best Bid Price)

First Level Bid and Ask

First Bid
First Bid Style
First Bid Size
First Bid Order Quantity
First Bid Date
First Bid Time
First Bid Time Microseconds
First Ask
First Ask Style
First Ask Size
First Ask Order Quantity
First Ask Date
First Ask Time
First Ask Time Microseconds

Additional Bid and Ask Levels

Each level includes Price, Style, Size, Order Quantity, Date, and Time.

Bid Price 2 - 10

Ask Price 2 - 10

Download sample file

Level 2 Quotes and Trades

243 fields

Identifiers & Instrument Details

Exchange - / Contributor Code
Operating MIC
MIC
Valoren Number
Currency Code
ISO Currency
ISIN
Instrument Shortname W-Level
Trader Symbol

Timestamps

Timestamp with Microseconds
Session Indicator Date
Last Price Date
Last Price Date of Logical Session
Last Price Time
Last Price Microseconds
Reported Trade Date
Reported Trade Time
Reported Trade Price Time Microseconds
Valuation Price Date
Valuation Price Time
Best Bid Price Date
Best Bid Price Time
Best Bid Price Time Microseconds
Best Ask Price Date
Best Ask Price Time
Best Ask Price Time Microseconds
First Bid Date
First Bid Time
First Bid Time Microseconds
First Ask Date
First Ask Time
First Ask Time Microseconds

Market Bid and Ask

Market Bid
Market Bid Style
Market Bid Type
Market Bid Size
Market Bid Date
Market Bid Time
Market Bid Time Microseconds
Market Ask
Market Ask Style
Market Ask Type
Market Ask Size
Market Ask Date
Market Ask Time
Market Ask Time Microseconds

Last Trade

Last Price
Last Price in Original Format
Last Price Style
Last Volume

Reported Trade

Reported Trade
Reported Trade Style
Reported Trade Size
Reported Trade MMT for EU (Sales Conditions for NYSE/NASDAQ)
Reported Trade MMT Version for EU (Sales Conditions for NYSE/NASDAQ)
Reported Trade Price Buyer
Reported Trade Price Seller ID
Trade Status

Valuation Data

Valuation Price
Valuation Price in Original Format
Valuation Price Style
Valuation Price Type
Valuation Price Size
Valuation Price DLS
Valuation Price Origin Market Code

Best Bid and Ask (Today)

Best Bid Price Today
Best Bid Price Today in Original Format
Best Bid Style
Best Bid Size
Best Bid Order Quantity
Best Bid Number of Quotes
Best Ask Price Today
Best Ask Price Today in Original Format
Best Ask Style
Best Ask Size
Best Ask Order Quantity
Best Ask Number of Quotes

Buyer and Seller Identifiers

Buyer ID (Contributor Best Ask Price)
Seller ID (Contributor Best Bid Price)

Additional Bid and Ask Levels

Each level includes Price, Style, Size, Order Quantity, Date, and Time.

Bid Price 2 to Bid Price 10
Ask Price 2 to Ask Price 10

Cumulative and Volume

Volume Weighted Average Price
Volume Weighted Average Price Date
Volume Weighted Average Price Date of Logical Session
Volume Weighted Average Price Time
Cumulated Volume
Cumulated Volume Style
Cumulated Volume Date
Cumulated Volume Time
Cumulated Volume On/Off
Cumulated Volume On/Off Style
Cumulated Volume On/Off Date
Cumulated Volume On/Off Time
Off Exchange Volume
Off Exchange Volume Style
Off Exchange Volume Date
Off Exchange Volume Time

Turnover

Cumulated Turnover
Cumulated Turnover Date
Cumulated Turnover Time
Cumulated Turnover Style
Cumulated Turnover On/Off
Cumulated Turnover On/Off Style
Cumulated Turnover On/Off Date
Cumulated Turnover On/Off Time
Off Exchange Turnover
Off Exchange Turnover Date
Off Exchange Turnover Time

Adjustment and Event

Cumulated Adjustment Factor
Cumulated Adjustment Factor Style
Cumulated Adjustment Factor Date
Cumulated Adjustment Factor Time
Listing Event
Listing Event Date
Listing Event Time
Most Recent Adjustment Factor
Most Recent Adjustment Factor Date
Listing Event for Exchange Traded Instrument

Messaging and Location

Message Time
Message GSN
Location Number
TDF Sequence Number

Download sample file

Trades

88 fields

Exchange & Identifiers

Exchange - / Contributor Code
Operating MIC
MIC
Valoren Number
Currency Code
ISO Currency
ISIN
Origin Market Code Last
Valuation Price Origin Market Code
Location Number
Buyer ID (Contributor Best Ask Price)
Seller ID (Contributor Best Bid Price)

Instrument & Symbol

Instrument Shortname W-Level
Trader Symbol

Timestamps

Timestamp with Microseconds
Status Mark
Session Indicator Date
Last Price Date
Last Price Date of Logical Session
Last Price Time
Last Price Microseconds
Reported Trade Date
Reported Trade Time
Reported Trade Price Time Microseconds
Valuation Price Date
Valuation Price Time
Volume Weighted Average Price Date
Volume Weighted Average Price Date of Logical Session
Volume Weighted Average Price Time
Cumulated Volume Date
Cumulated Volume Time
Cumulated Volume On/Off Date
Cumulated Volume On/Off Time
Off Exchange Volume Date
Off Exchange Volume Time
Cumulated Turnover Date
Cumulated Turnover Time
Cumulated Turnover On/Off Date
Cumulated Turnover On/Off Time
Off Exchange Turnover Date
Off Exchange Turnover Time
Cumulated Adjustment Factor Date
Cumulated Adjustment Factor Time
Listing Event Date
Listing Event Time
Most Recent Adjustment Factor Date
Message Time

Price & Style

Last Price
Last Price in Original Format
Last Price Style
Last Mid Price
Last Mid Price Style
Last Mid Price Date
Last Mid Price Time
Valuation Price
Valuation Price in Original Format
Valuation Price Style
Valuation Price Type
Valuation Price Size
Valuation Price DLS
Reported Trade
Reported Trade Style
Reported Trade Size
Reported Trade MMT for EU (Sales Conditions for NYSE/NASDAQ)
Reported Trade MMT Version for EU (Sales Conditions for NYSE/NASDAQ)
Reported Trade Price Buyer
Reported Trade Price Seller ID
Volume Weighted Average Price
Cumulated Volume Style
Cumulated Volume On/Off Style
Off Exchange Volume Style
Cumulated Turnover Style
Cumulated Turnover On/Off Style
Cumulated Adjustment Factor Style

Trade, Volume, and Turnover

Last Volume
Trade Status
Cumulated Volume
Cumulated Volume On/Off
Off Exchange Volume
Cumulated Turnover
Cumulated Turnover On/Off
Off Exchange Turnover

Adjustment & Listing Events

Cumulated Adjustment Factor
Listing Event
Most Recent Adjustment Factor
Listing Event for Exchange Traded Instrument

Metadata & Message Tracking

Message GSN
TDF Sequence Number

Download sample file

End of Day

255 fields

Exchange & Identifiers

Exchange - / Contributor Code
Operating MIC
MIC
Valoren Number
Currency Code
ISO Currency
ISIN
Origin Market Code Last
Origin Market Code Previous Last (Close)

Instrument & Symbol

Instrument Shortname W-Level
Trader Symbol

Timestamps

Timestamp with Microseconds
Session Indicator Date
Last Price Date
Last Price Date of Logical Session
Last Price Time
Last Price Microseconds
Official Closing Trade Date
Official Closing Trade Time
Official Closing Price Date
Official Closing Price Time
Valuation Price Date
Valuation Price Time
Intraday High Price Date
Intraday High Price Time
Year High Price Date
Year Low Price Date
Open Price Date
Open Price Time
Previous Day Last Trade - Adjusted Date
Provider Calculated Previous Day Last Trade Date - Adjusted
Net Asset Value Date
Net Asset Value Time
Settlement Price Date
Settlement Price Time
Volume Weighted Average Price Date
Volume Weighted Average Price Date of Logical Session
Cumulated Volume Date
Cumulated Volume Time
Off Exchange Volume Date
Off Exchange Volume Time
Cumulated Turnover Date
Cumulated Turnover Time
Reference Bid Date
Reference Ask Date
Reference Mark-To-Market Date
Accrued Interest (Standard) Date
Yield to Average Maturity Date
Implied Volatility Date
Latest Dividend Date
Net Total Return Date
Gross Total Return Date
Message Time
Message GSN
TDF Sequence Number

Trade Prices, Valuations, and Adjustments

Last Price
Last Price in Original Format
Last Price Style
Last Volume
Last Bid Price
Last Ask Price
Last Mid Price
Valuation Price
Valuation Price in Original Format
Previous Day Valuation Price (Not Adjusted)
Previous Day Valuation Price (Adj.)
Intraday High Price
Intraday Low Price
Year High Price
Year Low Price
Open Price
Margin Price
Settlement Price
Previous Day Settlement Price
Previous Day Settlement Price (Adjusted)
Reference Bid
Reference Ask
Reference Mark-To-Market
Net Change Most Recent Val./Pr. Day Most Recent Val. (Adjusted)

Price & Styles

Official Closing Trade Style
Official Closing Price Style
Valuation Price Style
Valuation Price Type
Intraday High Price Style
Intraday High Price Type
Intraday Low Price Style
Intraday Low Price Type
Year High Price Type (Calendar Year)
Year Low Price Type (Calendar Year)
Open Price Style
Open Price Type
Margin Price Style
Settlement Price Style
Previous Day Settlement Price Style
Reference Bid Style
Reference Ask Style
Reference Mark-To-Market Style
Cumulated Adjustment Factor Style

Volume & Turnover

Cumulated Volume
Off Exchange Volume
Cumulated Turnover
Cumulated Turnover On/Off
Cumulated Turnover On/Off Style
Cumulated Adjustment Factor
Off Exchange Turnover
Daily Accrued Interest
Yield to Average Maturity

Historical Highs & Lows

52 Week High Price
52 Week Low Price
Previous Year Closing Price
Previous Year Closing Price Type

NAV and Indicative Prices

Net Asset Value
Swung NAV
Unswung NAV
Indicative Net Asset Value
Indicative Net Asset Value Style

Dividend & Interest

Latest Dividend
Latest Dividend Style
Dividend Quantity Type
Dividend Amount (Gross)
Dividend Amount Currency (Gross)
Dividend Adjustment Factor
Dividend Adjustment Factor Date
Daily Dividend Factor
Daily Dividend Factor Date

Trade Counts and Market Statistics

Number of Trades - Total Market
Number of Trades - On Market
Number of Trades - Off Market
Number of Trades - Off Book

Download sample file

Master Reference Data

87 fields

Exchange and Market

Exchange - / Contributor Code
Operating MIC
MIC
Original Listed Market
Origin Market Code Last
Old Market Code
MiFID BC of Best Trading Venue
MiFID BC of Most Liquid Trading Venue
MiFID Country of MiFID Most Relevant Market
MiFID Average Daily Number of Transactions CESR

Instrument Identifiers

ISIN
Valoren Number
Secondary Sedol
NSIN USA (CUSIP)
Root Symbol
Alternate Instrument Identifier (AII)
Bloomberg Ticker
B1 FIGI Global ID
B2 FIGI Global Share Class Level ID
BBGID FIGI Global ID
BBGCOMPO FIGI Global Composite ID
Telekurs Symbol
Ergonomic Symbol 1
Ergonomic Symbol 2
Ergonomic Symbol 3
Ergonomic Symbol 4
Old Symbol
New Symbol
List of New Valoren
List of Old Valoren
Old Valoren Number
New Valoren Number
Old Valorennumber

Instrument and Listing Names

Instrument Shortname W-Level
Trader Symbol
Listing Symbol
Instrument Long Name
Institution Long Name - English
Instrument Long Name Prefix
Instrument Long Name Suffix

Financial Classification Codes

CFI Code
CFI Allocated by SIX Outside SIX Jurisdiction
TDF Group Code

Instrument and Listing Status

Instrument Status
Listing Status
Listing Deletion Date
Listing Delete Reason
Trade Status
Status Mark
Session Indicator Date
Status of Transferring ISIN

Instrument Attributes

Security Type
Nominal Value
Nominal Value Currency
Minor Currency
Minimum Lot Size
Round Lot
Quote Type
Volume Unit
Price Unit Style
MiFID Company Domicile

Derivatives and Contract

Interest Rate
Maturity Date
Ultimate Underlying Valoren Number
Strike Price Derivatives
Currency Strike Price
Expiration Date Derivatives
Contract Size
Contract Unit Style
Call/Put Identification
Option Style (European, American, Bermuda)
Contract ID
Contractspecification Valoren Number
Contract Mnemonic
Settlement Type
Exchange Version Number Derivatives
SIX Version Number Derivatives

Adjustment and Event

Cumulated Adjustment Factor
Cumulated Adjustment Factor Date
Cumulated Adjustment Factor Time
Listing Event
Message Time
Message GSN

Download sample file

1 minute timebar

25 fields

MIC
Currency Code
ISO Currency
ISIN
Instrument Shortname W-Level
Trader Symbol
Status Mark
Timestamp
Exchange
Valoren
Open Price
High Price
Low Price
Close Price
Turnover
Volume
VWAP
High Best Bid
Low Best Bid
High First Bid
Low First Bid
High Best Ask
Low Best Ask
High First Ask
Low First Ask

Download sample file

Custom files

Arrival Price Calculation

58 fields

Instrument

ISIN
Trader Symbol
Listing Symbol
Ergonomic Symbol 1
Instrument Symbol (Listing Symbol)
Valoren Number
BC / Bourse Code
Root Symbol
Ultimate Underlying Valoren Number
BBGID FIGI (Financial Instrument Global Identifier) Global ID
Primary Symbol (TK USA Only)
Instrument Shortname W-Level

Market

MIC / Segment MIC
Operating MIC
Market Bid
Market Ask
Market Bid Date
Market Ask Date
Market Bid Time
Market Ask Time
Market Bid Time Microseconds
Market Ask Time Microseconds

Trade

Reported Trade
Reported Trade Price Date
Reported Trade Size
Reported Trade Date
Reported Trade Time
Reported Trade Price Time Microseconds

Currency

Currency Code
ISO Currency

Price

Open Price
Open Price Date
Valuation Price
Valuation Price Date
Valuation Price Time
Previous Day Valuation Price (Not Adjusted)
Previous Day Valuation Price Date
Official Closing Price
Official Closing Price Date
Previous Official Closing Price
Previous Official Closing Price Date
Official Close
Official Close Date
Previous Day Official Close
Previous Day Official Close Date
Settlement Price
Settlement Price Date
Unrounded Settlement Price
Unrounded Settlement Price Date
Margin Price
Margin Price Date
Reference Mark-To-Market
Reference Mark-To-Market Date

Derivative

Strike Price Derivatives
Expiration Date Derivatives
Call/Put Identification
Option Style (European, American, Bermuda)

Contract

Contract Size

Download sample file

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