Market Data

Premium Hosted Database (PhD)

Complex Tick Data and Analytics

Premium Hosted Database™ (PhD™) is a fully managed historical tick database of full OPRA data including all quotes and trades from all exchanges, US equities level-one data, pre-computed implied volatilities and Greeks, full corporate action histories, and ISE Open/Close trade data.

Data and Analytics as a Service

This robust data solution is hosted in redundant datacenters and offers 365x24
availability for full tick or time interval back-testing of models, validating algorithms,
pre/post trade analysis, charting, transaction cost analysis (TCA), time and
sales requests. Access to the data is simple by using a Web browser interface with pre-defined queries or easy-to-use APIs: C/C++, C# and Java.

Data Content

Over 6 years and 200 TB of Data including:

  • Full OPRA tick data – all quotes and all trades from all option exchanges
  • US level 1 underlying data
  • Tick level implied volatilities and Greeks from The Implied Volatility and Greeks Feed
  • ISE intraday proprietary trade data – ISE Open/Close Trade Profile
  • Predefined filters for screening, back-testing, tick-by-tick data, snapshots, open high, low close (OHLC) bars, time-and-sales, and many more
Corporate Actions

PhD also provides extensive corporate action histories, including splits, dividends and symbol changes, which subscribers can choose to apply. This includes point-in-time options security masters, including OPRA roots, OPRA Symbology Initiative (OSI) symbols, underlying, chains, strikes, expiration dates, strike multipliers and deliverable units/baskets.

Premium Hosted Database is an offering from Hanweck powered by Hanweck's award-winning, high-performance, low-latency Volera™ options analytics engine.

Features/Benefits/Use Cases
Premium Hosted Database
featurebenefits
Fully Managed Service This hosted service will significantly reduce your infrastructure, data and operation costs while allowing you to focus on your core business.
High quality tick database Redundant infrastructures designed to capture every tick provides high quality data to ensure your test results are accurate and complete.
Comprehensive corporate actions Integrated corporate actions database allows user choice to apply splits, dividends, name/ticker changes, contract adjustments and deliverables.
Pre-defined queries With minimal effort and reduced learning curve, data can generate immediate test results and application enhancements.
Efficient C/C++, C# and Java APIs Enables you to run more complex or custom queries to maximize query performance and data retrieval.
Flexible fee structure You only pay for the data set of choice, amount of history and performance you need.
Data accessible 24x7 Choice of delivery by downloading a FTP file or via a cross connect at one of our data centers (primary is Equinix NY4). Other alternatives are also possible.
Value Proposition The subscription fees are substantially cheaper than building and managing your own historical database and associated infrastructure.

 

Use Cases
End useruse case
Market Makers/ Traders Requiring historical data for back-testing a calculation engine or refining a pricing model.
Brokers/ Sales Desks Interested in scanning the market for trading ideas to present to their customers.
Software vendors/ DMA Providers Looking for historical or high quality derived data to enhance applications and analytics (i.e.   charting).
Researchers/ Order Routers Tick data required for validating algos at different market venues and back-testing models.
Compliance Officers In need of full tick data for surveillance or a time, sales and quotes queries.
Risk Managers High quality source of intraday greeks for your value at risk model.
How to Order
Premium Hosted Database Subscription

Please contact Hanweck's sales team.

FAQs
What data does ISE PhD contain?

ISE PhD currently contains full OPRA tick history, which includes all trades and all quotes from all OPRA participating exchanges, US equities level-one data, pre-computed implied volatilities and Greeks, full corporate action histories, and ISE Open/Close Trade Data.

Does ISE PhD contain full OPRA tick history?

Yes, ISE PhD has full OPRA tick history including all trades and all quotes from all OPRA participating exchanges, which is the most comprehensive set of data available from OPRA.

I’m looking for just equity tick data for back-testing. Does ISE PhD contain equity tick data?

Yes, ISE PhD has Level 1 equity tick data – all trades and quotes – from NYSE CTA/A, CTA/B (Amex) and Nasdaq UDP.

Can PhD deliver intraday open-high-low-close-volume bar data?

Yes ISE PhD stores bar data so you do not have to generate the bars yourself, which reduces your infrastructure requirements and development efforts. We even have pre-defined queries written that allow you to easily retrieve your specified time interval for symbols you request.

How are corporate actions applied to ISE PhD’s historical data?

The ISE PhD API allows you to apply corporate actions to each individual query, or leave the data unadjusted. This extensive corporate actions database is organized to allow “point-in-time” queries as well as time-series queries. Each security – equities and options – are assigned unique identifiers that track the security through various corporate actions. For example, the corporate action database can be queried for Bear Stearns Co. symbol “BSC” with an “as-of” date of January 1, 2008, and then track the related securities – equities and options -- through the subsequent merger of Bear Stearns with JPMorgan Chase.

I am looking for just a year of historical data. What do you mean by “trailing 12 months” of data?

Our pricing model is flexible so you only have to subscribe to the data set you need. The “trailing 12 months” of data means you will have access to the on-going latest 12 months of data. For example, if you sign up on June 1, 2012, you would have access to data from May 31, 2011 through June 1, 2012. The trailing 12 months automatically adjusts for you so on July 1, 2012 you would have access to June 30, 2011 through July 1, 2012.

Can you please provide details for the model you use for the implied vols and Greeks calculations?

Yes. We provide full transparency to our calculations and the team uses a binomial tree model which handles American style and European style options. The input variables include real-time option and underlying prices, as well as a real-time interest rate curve, discrete dividends from top tier providers and hard to borrow rates implied from the options market. The derived data includes the implied volatility calculated on the bid, ask and mid price as well as the delta, gamma, theta, rho, and vega calculated on the mid price. The ISE PhD quantitative team is headed up by a PhD and former Chief Equities Derivatives Strategist at JP Morgan. The implied vols and greeks data available in ISE PhD is sourced from the ISE Implied Volatilities & Greeks Feed.

Contact Us

For more information about, Implied Volatility & Greeks please contact Hanweck's sales team.