Coming Soon! Morningstar Tick Data

For more information please contact us at: enquiries@sirca.org.au

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

Additional Tick Data Information

SYMBOL PRESENTATION

  • 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

REFERENCE DATA

  • 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

PRICING DATA

  • 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

RECAP DATA

  • 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: enquiries@sirca.org.au