Overview
The Nordic Historical View provides an access to daily historical data files from NASDAQ OMX Nordic and Baltic markets. The product consists of 2 sets of historical files: the full order data of the trading day in text file format specifically created by NASDAQ OMX Market Research Team, and the historical record of the order and trade transaction data from the Nordic Equity TotalView-ITCH data feed.
Files are created each evening after the trading close and can be retrieved from the NASDAQ OMX File Delivery System. Daily files are kept available online for 30 days, but also the older files can be requested (please contact our Sales team).
Benefits and Features
• Help performing back-testing of program trading models for quality control purposes
• Provide historical data needed by researchers and analysts
• Detailed order information in daily and monthly reports
• Streamlined data formats to allow for easy firm implementation
• Manageable data sets
• Flexible access options
Nordic HistoricalView-ITCH
The Nordic HistoricalView-ITCH file provides a full daily record of order and trade transactions at the NASDAQ OMX Nordic and Baltic markets traded on the INET Nordic trading platform. The file content is based on the Nordic Equity TotalView-ITCH daily transaction logs on a T+1 basis. The file is created each morning by 7:00 CET.
Nordic Historical Tick Data (orders and trades)
The Nordic Historical Tick Data file includes all registered information for the main cash market instrument types from January 2006 to February first week 2010, or as a given market has been opened or added as a NASDAQ OMX Nordic market during that period of time.
The basis for the dataset consists of the Orderbook and Trade messages sent out in TIP. Being the most frequent message in the TIP feed, the Orderbook message is designed to be compact in order to conserve bandwidth. This is why each Orderbook message can contain information about more than one level being changed. Statistics are available for the first 20 tick levels. The dataset covers the whole trading day.
The Orderbook messages time resolution is in milliseconds and the Trade messages time resolution is in seconds.
The dataset consists of tick-by-tick snap shots of all order books at the OMX markets specified below. One observation corresponds to one occurrence in a given order book. That is an order inserted, deleted or amended (updated), which causes a given change the quoted depth and/or prices etc. in an order book. Details on the order, which caused the change, plus the new overall status of the order book post, are recorded as an observation.
Statistics on the quoted orders are summed up on the first 20 tick levels, plus as residual group for level above that, on either site of the spread. The dataset covers Continuous Trading.
The files include all registered information for the main cash market instrument types on the NASDAQ OMX Nordic markets in: Copenhagen, Stockholm, Helsinki, Iceland, Tallinn, Riga and Vilnius.
Delivery details
The files are compressed in zip format and will be available for download, within a pre specified window of time, on the NASDAQ OMX File Delivery System (FDS). The exact log on information will be delivered when the order is ready for delivery. The expected time between an order has been placed and final delivery is 3-5 working days.
Daily file are kept available online for 30 days, but also the older files can be requested (please contact our Data Sales team).
Pricing
| Service | Subscriber Fee (per month) | Details |
| Nordic Historical View | 1 to 500 subscribers:
€ 1,000
501 to 999 subscribers:
€ 1,500
1,000 to 4,999 subscribers:
€ 2,500
5,000 to 9,999 subscribers:
€ 3,500
10,000 or more subscribers:
€ 5,000 | A monthly subscription to access the daily ITCH Log files via FDS, with 30 days of history continuously available.
The data is full order book and trades during continuous trading.
The data is for internal use only.
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| Nordic Historical View Database | Per month not available on-line: € 400
Fee cap for requests exceeding 36 months (given data availability): € EUR 14,400 | A fee per calendar month of historical ITCH log files ordered via Nasdaq OMX.
The data is for internal use only.
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| Nordic Historical Data | Per historical calendar month per asset class: € 200 Fee cap for requests exceeding 36 months (given data availability): € EUR 7,200 Or Per number of ISINs (€ per historical calendar month):
1 to 10 € 50
11 to 50 € 100
51+ € 200
| A fee per historical calendar month of historical opening price, high price, low price, closing price, cumulative order book turnover in units and local currency.
Available data sets covers cash market, derivatives, fixed income, and index values.
The data is available in flat format and delivered via FTP or email depending on size of data set ordered.
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To order a set of data, please contact our Data Sales team: DataSales@nasdaqomx.com
