Introducing HIST, IEX Historical Data

IEX Trading Alert #2017 - 014

Overview

Today, May 16, 2017, IEX launched its Historical Data product ("HIST"), providing data from yesterday, May 15, for download on its public website for free. Moving forward, HIST will provide the output of IEX data products for download on a T+1 basis. Data will remain available for the trailing twelve months.

HIST is the latest free market data offering from IEX, joining the IEX Depth of Book feed ("DEEP"), the IEX Top of Book feed ("TOPS"), and the IEX API.

Additional Detail

Through HIST, IEX offers DEEP and TOPS data for download from the IEX website on a T+1 basis, remaining for the trailing twelve months.

The depth of book quotations in DEEP provide an aggregated size of resting displayed orders at a price and side, and do not indicate the size or number of individual orders at any price level. TOPS provides top of book quotations for IEX. The quotations in TOPS provide an aggregated size and do not indicate the size or number of individual orders at the best bid or ask. DEEP and TOPS also provide trade price and size information. Trades resulting from either displayed or non-displayed orders matching on IEX are reported. Routed executions are not reported.

See the Exchange's market data page for additional information about IEX market data.

Format

The binary output of DEEP and TOPS data are provided in pcap format. Data is captured by IEX when the feed is disseminated by the System via the lower level IEX Transport Protocol (IEX-TP). Historical data files are named in a manner to identify the version of IEX-TP and the data feed specification used to produce the data. Firms must use appropriate specification versions to decode each pcap.

The current DEEP and TOPS specifications have been in use since May 15, 2017 and August 19, 2016, respectively, while the IEX-TP specification has been in use since August 19, 2016:

Pricing & Procurement

HIST is a FREE market data offering from the Exchange. IEX offers access to HIST DEEP and HIST TOPS to the general public on the IEX website at https://iextrading.com/trading/market-data/#hist-download. No registration is required.

More Information

Please contact IEX Market Operations, Network Operations, or Sales with any questions:

About IEX

IEX is on a mission to build fairer markets. Founded in 2012 and headquartered in New York City, IEX introduced its first trading venue in 2013 and launched as a U.S. stock exchange in 2016. IEX is the stock exchange that believes that every investor has the right to trade on equal and fair terms, on every trade. Learn more at: iextrading.com.