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

SIRCA ASX ITCH Data

SIRCA wish to inform our Members of the new provision of ASX ITCH data, and ASX ITCH Trades data, which are now located in the SIRCA Member Portal Data Library.

The ASX ITCH data includes:

  • full order detail for lit orderbooks;
  • trade messages for lit and dark orderbooks;
  • state changes of the different orderbooks;
  • nanosecond timestamping;
  • basic security reference data.
  • The ASX ITCH Trades data includes:

  • all the trades for all ASX order books in ASX ITCH format.
  • The ASX ITCH data and the ASX ITCH Trades data contains data from 1 June, 2016. The provision of ASX ITCH data is given a 30 day embargo.

    For access to the ASX ITCH datasets, please sign the Terms and Conditions document found in the SIRCA Knowledge Base (KB) and return these to enquiries@sirca.org.au.

    With the new delivery of ASX ITCH data to SIRCA, please note that the Australian Equities Tick History (AETH) product will contain data from 1991 only up to 31 May, 2016.

    For any questions regarding the provision of the ASX ITCH data, or the AETH product, please contact SIRCA directly at enquiries@sirca.org.au.

    SIRCA Data Library Update

    From 9 AM to 11 AM on Wednesday, 20 July 2016 SIRCA will be updating the Data Library (DL) in order to provide more consistency to the data held within the DL repository. During this time there may be small disruptions to the SIRCA Member Portal.
    The following changes are being implemented:
    – The Australian Company Announcements (ACA) headline summaries will no longer be available via the DL, but they will continue to appear through the full ACA product, available here: https://ausequities.sirca.org.au/ComNews.
    – The Financial Express Analytics (FE Analytics) application form will now be available via SIRCA’s Knowledge Base (https://sircaknowledgebase.force.com/s/article/Financial-Express-Analytics-Application-Form) and no longer through a DL folder.
    We hope the changes will improve your research experience within the SIRCA Data Library.

    2015 Philip Brown Prize awarded to Carole Comerton-Forde and Talis Putnins

    SIRCA were pleased ​to announce the winners of the 2015 Philip Brown Prize today at the AFAANZ conference on the Gold Coast.
    Congratulations to ​both ​Carole Comerton-Forde ​(University of Melbourne) ​and Talis Putnins ​ (University of Technology, Sydney)​, ​the ​winners of the ​2015 ​Philip Brown Prize ​for the Best Published Paper ​in an A* journal, for their paper titled “Dark Trading and Price Discovery”. ​Their paper was published in the Journal of Financial Economics and studies the effects of dark trading in Australia​. This outstanding paper ​had​ an influence on the recent regulation of dark trading introduced by ASIC.

    Carole Comerton-Forde

    Talis Putnins​

    Talis Putnins​

    SIRCA Portal Maintenance: 11th July, 2016

    Please be advised that SIRCA will be performing system maintenance to the Member Portal from 9am-11am on 11th July, 2016. During this time there may be small disruptions to the SIRCA Member Portal.

    Thank you for your understanding as we continue to improve your SIRCA research experience!

    SIRCA Portal Maintenance: 8 June, 2016

    Please be advised that SIRCA will be performing maintenance on our Member Portal from 9am-1.30pm on 8 June, 2016. The Member Portal, and all SIRCA datasets within, will be unavailable during this timeframe. We are excited to announce that this maintenance includes a refresh of the Member Portal User Interface and the introduction of SIRCA’s new Australian Symbology Directory, which complements our recently released Symbology Visualisation Tool.
    The following updates within the Data Library (DL) are being implemented, providing more consistency to the data held within this repository:
    • The Australian Company Announcements headline summaries will no longer be updated via the DL, but they will continue to update through the full ACA product.
    • The ASX ShortSell Data has been streamlined into a single easy-access zip file, containing six CSV files, categorised by schema.
    • The application form to the Member Exclusive Financial Express Analytics service will now be readily available via our Knowledge Base.
    We hope these changes enhance your use of the SIRCA Member Portal and welcome your feedback through enquiries@sirca.org.au.
    Thank you for your patience and understanding as we continue to improve your SIRCA research experience!

    CoreLogic New Zealand Data Offering Release

    SIRCA, in partnership with CoreLogic New Zealand, are proud to announce the availability of real estate data to our Members.

    SIRCA now host the CoreLogic New Zealand Residential Sales Index which provides researchers with insight into New Zealand’s most valuable property asset calls. Please visit SIRCA’s Knowledge Base here, to find out more information on this exciting new data offering.

    To access the CoreLogic New Zealand Residential Sales Index, please complete and sign the application form available within the Knowledge Base and also within the CoreLogic folder in the Member Portal and return via email to enquiries@sirca.org.au.

    FINAL Call for Paper: Philip Brown Prize 2015

    SIRCA would like to remind researchers that the submission deadline for the 2015 Philip Brown Prize is Monday 30th May, 2016.

    The Philip Brown Prize acknowledges the significant contribution Philip Brown made in the establishment of SIRCA and the work he did in developing databases used for finance and accounting research. To be considered for this Prize, the paper must have been published in an A grade (or higher) journal in the calendar year of 2015 by a SIRCA Member using authorized SIRCA data.  Additionally, the use of SIRCA data must be cited within the publication. To submit an application, email a full PDF version of the paper to philip-brown-prize@sirca.org.au by 30/5/2016. SIRCA encourage all Members who meet the above criteria to apply. The winner of the 2015 Philip Brown Prize will be announced during the 2016 AFAANZ conference in July.

    For more information on the Philip Brown Prize, click here.

    SIRCA Scheduled Maintenance: Saturday May 28 and Sunday May 29

    SIRCA will be performing scheduled network maintenance between 5pm Saturday May 28th and 9pm Sunday May 29th. This will result in downtime for all products on the SIRCA Member Portal and will affect any data requests in progress. All data requests that were in progress will be automatically re-started at the conclusion of the maintenance. We thank you for your understanding and apologise for any inconvenience this may cause you.

    SIRCA Data Library Update

    On Wednesday, 18 May 2016, SIRCA will be releasing the 2015 update to the Australian Share Prices and Price Relatives (SPPR) dataset – bringing the data available up to 31 December 2015. This release will also provide Members with the April 2016 update to the CoreLogic RP Data dataset.

    Please note that the Data Library will be unavailable between 9:30am and 10:30am on Wednesday, 18 May 2016.

    If you have any questions regarding this release, please email enquiries@sirca.org.au.