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Sources for Millisecond S&P 500 Trade Data and Faster Market Proxies

Article Quant Q&A · Author: Haim Bender
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Summary

The document compares sources and instruments for obtaining recent historical S&P 500 trade data with millisecond timestamps. It names commercial vendors and the NYSE Daily TAQ product as potential sources, noting that comprehensive trades and associated quotes may be costly. One vendor is reported to provide millisecond trade timestamps only for data before a specified historical cutoff, so timestamp precision and date coverage should be checked with suppliers.

For research on reactions to major economic announcements, a respondent suggests CME E-mini S&P 500 futures as a market likely to react before all constituent stocks incorporate the news into the calculated index. SPY is also offered as a liquid index-tracking proxy. These alternatives measure different instruments and may suit event-response research, but the document does not compare their data quality, costs, or empirical reaction times. The best choice depends on the research question and required coverage.

Key ideas

  • Commercial vendors and NYSE Daily TAQ are suggested sources for historical trades and quotes.
  • Data coverage and timestamp precision may vary by source and period.
  • E-mini S&P 500 futures are suggested for studying rapid reactions to economic announcements.
  • SPY is mentioned as an ETF proxy for broad S&P 500 exposure.

Tags

EquitiesFuturesExecutionMarket microstructure
Full text
# best snp500 trade data


# best snp500 trade data












where is the best place to get spx data, all the trades with exact millisecond timestamps a few weeks back? I don't mind paying for such a service

## Answer by Mike Williams (score 3)

https://quant.stackexchange.com/a/59855

I usually get it from AlgoSeek. Institutional-quality data, has a wide range of delivery options, and flexible payment options. Their trades data has millisecond timestamp before 12/31/2015.

## Answer by nbbo2 (score 2)

https://quant.stackexchange.com/a/59832

If you are interested in the effect of major economic announcements on the S&P 500 (link), then you ought to look at S&P 500 emini futures traded on the CME. This is probably the market that reacts the fastest to an economic announcement (before all 500 stocks in the index can individually react and thus the result can show up in the computed index itself).

You can get such futures trade data from many sources, such as Tickdata.Com.

An alternative would be to look at the price of SPY, an ETF which also tracks the overall market closely.

## Answer by Paul Brennan (score 1)

https://quant.stackexchange.com/a/59805

https://www.nyse.com/market-data/historical/daily-taq

Is usually the best place for the trades and all the quotes for those trades. It can be expensive.

There are other services that provide subsets of the data too. https://quantpedia.com/links-tools/?category=historical-data mabe be of some use

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.