Historical Market Data

Hotspot Historical Market Data allows users to obtain large data sets as one-time downloads or on an ongoing basis through recurring subscriptions deliverable in an easy-to-use, digestible format.

Utilizing Hotspot historical trade and quote data allows for simplified and streamlined back-testing and analysis to help maximize trading opportunities on the Hotspot market:

  • Perform back-testing on new trading strategies
  • Simulate changes to trading models
  • Optimize trading strategies using historical market analysis
  • Evaluate price movements and executions
  • View trading trends for liquidity, spreads, and order size
  • Understand how orders interact in the marketplace
Historical Data Offerings
  • TOP - Top of book data.
    The columns in .bbo files are as follows:
    Time, BidPrice, BidQty, OfferPrice, OfferQty
  • Snapshot - Full depth of book data.
    The columns in .snp files are as follows:
    Time, Bid/Ask, Price, Qty
  • Order Book (Order Event History) - Replicates ITCH data feed and contains every market event. This is the most complete data format but requires assembly.
    The columns in .tks files are as follows:
    • Time
    • EventIdentifier: Unique ID corresponding to each individual order
    • EventType:
      • S (Snapshot): Can come in groups (several rows). When encountered, discard existing snapshot and build a new one with all consecutive "S" rows.
      • N (New): New order on the order book. There can be an "N" event with a price that already exists on the book. In this case the quantities should be accumulated for that price.
      • C (Cancel): Order corresponding to this EventIdentifier has been removed from the book.
      • M (Modify): There is a quantity change for the order corresponding to this EventIdentifier.
    • Bid/Ask: Bid is 1, Ask is 2
    • Price
    • Quantity
  • Hotspot Tape - Trade data with volume.
    The columns in .trd files are as follows:
    Time, Aggressor Side, Price, Qty
Request Hotspot Historical Data

To request a recurring subscription to Hotspot Historical Market Data or initiate a one-time request, please contact Market Data Services at marketdata@bats.com or your Hotspot sales representative.