What is the difference between historical market data and historical prices?

Historical prices are aggregated summaries (OHLC, daily close, etc.). Historical market data (PRHD) is tick-level data preserving every message from the exchange in order, enabling exact market reconstruction at microsecond granularity for backtesting and compliance.

Can I replay historical data to test my algorithm?

Yes. PRHD provides time-accurate PCAP replay capabilities. You can recreate any trading day or market event as if it were happening in real-time, with nanosecond precision timestamps preserving original message ordering.

How far back does historical data coverage go?

Coverage begins in 2016 for most venues, with specific start dates varying by exchange. Contact Pico for exact coverage periods for your venues of interest.

What format is the historical data delivered in?

Data is delivered in PCAP (packet capture) format preserving native exchange protocols. This format supports direct replay through feed handlers like InRush Ticker Plant or custom replay tools.

Can I get historical data for specific symbols or date ranges?

Yes. One-time deliveries can be scoped to specific date ranges. However, data is delivered by feed (not filtered by symbol), as symbol-level filtering would require post-processing that could introduce errors.

How do I ensure data completeness for compliance purposes?

PRHD captures both A and B feeds with gap detection and automatic retransmission requests. MD5 checksums verify file integrity. Resilient capture methodology ensures gap-free data suitable for regulatory compliance.

Can Pico record and archive data on an ongoing basis?

Yes. Managed Service includes continuous PCAP recording infrastructure deployment, management, and archival (local or remote). This provides ongoing historical data access for your licensed venues.

Historical Market Data

Time-stamped historical tick data captured at source in native exchange format, supporting backtesting, compliance verification, and trade research since 2016.

Request historical data View supported venues

Historical data from 100+ major equities, options, and futures venues (US and Europe)

Captured in colocation at source with hardware PTP timestamps (nanosecond precision)

Resilient A and B feed capture in native exchange format (PCAP)

Ongoing subscriptions or one-time deliveries via AWS S3

What is historical market data for trading?

Historical market data for trading is time-stamped tick-level data captured directly from exchanges, preserving original message ordering and timestamps for accurate market reconstruction. Pico Raw Historical Data (PRHD) captures native exchange feeds as PCAPs with nanosecond-precision PTP timestamps, enabling exact replay of market conditions for backtesting, compliance verification, and trade forensics.

Choose your use case

Backtesting & simulation

Test strategies against real market conditions before deployment or entering new markets.

Compliance reporting

Demonstrate best execution with defensible historical market data for regulatory reviews.

Trade cost analysis

Post-trade research to understand fill quality and optimize execution strategies.

Managed recording service

Continuous PCAP recording infrastructure deployed and managed by Pico.

Common use cases (and what you'll achieve)

Algorithm backtesting and strategy validation

Test trading algorithms against real historical market conditions before deploying capital
Validate strategies for new markets using historical data from 100+ venues

Compliance and regulatory reporting

Recreate exact market conditions at time of execution for regulatory audits
Demonstrate best execution practices with nanosecond-precision timestamps

Trade cost analysis (TCA)

Post-trade research to analyze execution quality and fill timing
Identify opportunities for execution improvement across venues

Market structure research

Conduct macro research identifying trends across months or years
Inform strategic trading decisions with historical market structure analysis

Event forensics and dispute resolution

Reconstruct specific market events with nanosecond precision
Resolve trade disputes or analyze incidents with defensible data

Historical Market Data FAQs

Comprehensive historical tick data captured at source in native exchange format as PCAPs. Time-stamped with nanosecond precision for backtesting, compliance, and trade research across 100+ venues since 2016.

Start with the venues and date ranges you need

Talk to a Pico specialist about your historical data requirements, delivery methods (ongoing subscription or one-time backfill), and whether managed recording infrastructure is appropriate.

Request historical data View supported venues