High Frequency Trading Data – How to get it!
- May 19, 2018
- 3 min read
High frequency trade data is usually available at a premium. And at the institutional investor level, the most common source of such data is the Bloomberg terminal.
In case you are an individual investor, you need an alternative platform as for most individual investors the Bloomberg terminal is out of their reach.
I personally know of no free resources that reliably provides high frequency trading data, but many claim to, and the results are poor. But there are some brokerages who provide software based trading platforms where such data can be accessed.
One such platform is Pi by Zerodha. It is quite reliable, and the process of extracting the HFT data is easy, and similar to the process that one follows on the Bloomberg terminal.
If you have an account with Zerodha, the following are the steps for downloading high frequency trading data.
1. If you do not have Pi already installed on your machine, head over to q.zerodha.com and follow the steps:
i. Log in to your profile
ii. On the left hand side, you find the menu listed
iii. Move to the last option titled Pi
iv. Once you click on it, you’ll be redirected to a page that shows you a button on the centre of the page, where ‘Download Pi’ is written
v. Click on it. It’ll either be directly downloaded to your pre-specified location, or you’ll be prompted to select the location for the file to download.
vi. Double- click on the downloaded file. The file will automatically run and take you through the installation process. A shortcut icon will be created on your desktop.
2. Double- click the Pi icon on your desktop, or search for in in the Start menu, and click on it.
3. A prompt appears. Type in your ID and password, and answer the two security questions.
4. The landing page will be completely empty for the first time.
5. At the top left corner, select the ‘Default MW’ tab. It is the market watch sheet where you can add all the stocks that you want to track.
6. Right below the ‘Default MW’ tab, you’ll find 8 drop down selection boxes.
The first helps you choose the exchange you want to trade at, i.e. NSE or BSE.
The second drop-box is always set to NORMAL automatically.
The third drop-box lets you chose the type of instrument you are looking for, i.e. equities, indices, etc.
The fourth drop-box lets you type in the name of the company, whose instrument you are searching for.
The last four boxes are rather nor needed in the present scenario.
7. Press enter after tying in the name of the company, or click on the ‘Add’ button at the end of the row.
8. Right-click on the company whose historical HFT is required. A drop down menu appears.
9. The last option on the menu is ‘Chart’. Select it.
10. A pop-up box appears on the screen. Select the periodicity you want. Select the refresh rate for your data, i.e. register new data after every one or five or ten minutes. And finally select the number over past days over which you want this data.
11. Press OK.
12. A chart appears. Right click on it and a drop down menu appears.
13. Select ‘Save Chart’. Another drop down menu appears.
14. Select ‘Save Chart Data to Excel’.
Voila! And you are done!
Now you can use this data to back test your trading strategies and calculate their effectiveness. You can also craft new strategies and insight from the movement of the prices.
I am sure most other brokerages also provide similar platforms. Try reaching out to your broker in case you need any help.
I hope that my answer helps you solve your quest for HFT data.
For more such topics head over to our YouTube channel. And feel free to reach out to us at insigniainvestments@gmail.com
Happy investing!
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