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Sources and Methods for Obtaining Trade Count Time Series

Article Quant Q&A · Author: Konsta
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Summary

This exchange addresses how to obtain historical trade counts for individual stocks and other instruments, and how to construct a count series when a ready-made dataset is unavailable. One response points to Interactive Brokers historical bar data, where a count field represents the number of trades within the bar’s time interval.

Another response says that free historical counts are not generally available and proposes purchasing tick data, then counting the ticks over a chosen session or interval. This gives a practical data-generation method, but the exchange does not compare vendors, cover instrument-specific data rules, or establish whether every tick corresponds to a distinct trade. Availability and the meaning of counts can depend on the data provider and bar construction, so the suggested sources should be checked against the intended instruments and timeframe.

Key ideas

  • Historical bar data from Interactive Brokers may include a count of trades in each bar.
  • Trade counts can be derived by aggregating purchased tick data over a chosen interval.
  • The exchange offers no comprehensive survey of free data availability or vendors.
  • Confirm provider definitions and data coverage before treating ticks as trade counts.

Tags

Market microstructureEquitiesFuturesOptionsStatistics
Full text
# Trade Count Time Series


# Trade Count Time Series












Is historical information on the counts of trades in single stocks, futures, options etc. available somewhere for download or purchase? If not, which ways can you think of to gather it?

## Answer by user508 (score 1, accepted)

https://quant.stackexchange.com/a/4178

Interactive Brokers provides it as a field called `count`.

In this page of the IB API Reference Guide `count` is described as follows

> When TRADES historical data is returned, represents the number of trades that occurred during the time period the bar covers.

## Answer by Paccc (score 1)

https://quant.stackexchange.com/a/4177

Its not available for free anywhere that I know of. Your only option is to purchase tick data for the instruments you're interested in and then count the ticks per trading session (or whichever timeframe you want to use).

EDIT: This link might be interesting for you regarding how to get market data.

http://www.quantshare.com/sa-426-6-ways-to-download-free-intraday-and-tick-data-for-the-us-stock-market

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.