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Australian Equities Tick History

Designed for researchers focusing primarily on Australian markets, Australian Equities Tick History (AETH) is an archive of activity on the Australian Securities Exchange from the start of electronic trading in 1987.

AETH is a full order book archive, containing all order entries, modifications, cancellations and trades for supported instruments time-stamped with millisecond precision.

AETH provides tick history for the following asset classes:

  • Equities (from 1987-10-19)
  • Exchange Traded Options (from 2006-09-11)
  • Warrants (from 2006-09-11)

The search and retrieval of Australian Equities content is performed through an easy to use web interface. Data is delivered to an FTP site in csv format. Data uses the ASX's symbology and instrument codes.


Key Features
  • Symbology: AETH uses ASX symbols to identify instruments. Changes in ASX code and company name are tracked.
  • AETH includes the ability to search for instruments by industry group and ( for derivatives) strike price and expiry date.
  • Updates: The AETH database is updated monthly one month in arrears.
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Papers written using this data

Waratit, Than-olan. (2009). Stopping Brownian Motion near maximum with application to DAX Index. Sydney, Macquarie University.

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