Coming Soon! Morningstar Tick Data

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Senior Academics and RoZetta employees discuss the key advantages of Morningstar Tick Data

Additional Tick Data Information


  • Single symbol to represent Level 1 and 2 data sets
  • Straightforward identification of instrument security types
  • Simple exchange ticker-based or contract root-based identification of all symbols
  • Adherence to root code protocol for futures markets
  • Consistent, structured approach to option and strategy symbol syntax


  • Applicable reference fields updated daily (including non-trading days) by snapshot message
  • Symbol renames populated dynamically
  • Extensive coverage of third-party codes for all symbols (including ISINs, CUSIPs, SEDOLs, Valorens and Wertpapiers) and point-in-time changes to codes
  • Populates a Financial Instrument Global Identifier code for all symbols. This
    • Allows market data to be seamlessly compared with another vendor’s
    • Facilitates the validation of symbol renames and capital restructures
    • Lets users classify or partition data sets at exchange or share class level


  • Provides a full order book for most markets where a full order book is transmitted by the exchange; various levels of market depth (by price) are indicated in all other cases
  • For Quotes and Trades, reveals the exchange timestamp at nanosecond granularity for the largest exchanges
  • All messages are associated with a sequence number generated at market level, allowing for market partition (and later reconsolidation) by message type
  • Provides Close type messages – an OHLVC updated dynamically during and after trading period for all securities


  • Unique to (Morningstar) Tick Data
  • Updated dynamically during trading period
  • Provides OHLVC refresh, Open Interest refresh and Calculations (various periodic returns, Market Cap, and other fundamental ratios, values and statistics)

About RoZetta

  • Formed from the merger of Capital Markets CRC and SIRCA Ltd
  • Developer of market-changing technology, including SMARTS Surveillance Software, Lorica Health and Thomson Reuters Tick History
  • Specialist research centres in Capital Markets, Health, Energy and Digital Finance
  • Provider of the world’s best Industrial PhD Program focussing on introducing fairness and efficiency to global markets
  • 300+ team, including researchers, data scientists and analysts

For more information please contact us at:

Call for Papers: Philip Brown Prize

SIRCA are seeking submissions for the 2018 Philip Brown Prize.

SIRCA proudly sponsors the Philip Brown Prize to acknowledge the significant contributions of Philip Brown in the establishment of SIRCA and the work he did in developing databases used for finance and accounting research.

The Philip Brown Prize award recognises the best-published paper in an A* journal in the previous calendar year using SIRCA data and is awarded through recommendation from SIRCA’s Membership and Research Committee (MRC).

This year the winner of the Philip Brown Prize for 2018 will be announced in July, 2019 at the Accounting & Finance Association of Australia & New Zealand (AFAANZ) conference in Brisbane.

The use of authorised SIRCA data must be cited within the paper. To submit an application, email a full PDF version of the paper to by 18/06/2019.