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Any questions not included here? Please
I have placed my order - what happens next?
After you place your order and your payment is successfully processed, the maximum wait time never exceeds 24 hour period. In most cases, all data orders are usually available for delivery as an internet download immediately after we receive a confirmation of your order.
How are the files distributed?
When you buy any of our products, you will get an access to a secure section of the web site. All your products and updates will be available from there. Products are distributed in a compressed ZIP or RAR format. Any popular archiving software like Winzip, WinRar or 7zip is able to decompress these files.
How big are the files?
At the moment, both daily and intraday data files for the Russell 3000 product (our largest package), are little over 8 gigabytes in size compressed. If you, for example, have a 10 Mbps connection to the internet, you can download everything in less than 2 hours. You can get more information for your specific internet connection speed at this web page. Daily updates for Russell are about 4 megabytes and weekly updates are about 20 megabytes in size.
Can I get a sample data file?
Please download this zip archive. The "Russell 3000.txt" file contains the list of symbols that are currently part of our Russell 3000 product. The other files contain 1 minute bars for Wal-Mart during the regular trading session on 1/12/2010 and data for OIH, Oil Services HOLDRs ETF on 12/31/2009.
What is the format of the data?
Data for every instrument in our database is stored as a comma-delimited text file. This is the order of fields in every file: Date,Time,Open,High,Low,Close,Volume. Date values are recorded in the “mm/dd/yyyy” format. Time values are in the EST time zone in the “hh:mm” format. These values can easily be converted to any format of your choice. All intraday and daily data is adjusted for stock splits and dividends. Intraday data records have a time stamp indicating the time when the bar opened. For example, a time stamp of 10:00 AM is for a period between 10:00 AM and 10:01 AM. All records with a time stamp between 9:30 AM and 3:59 PM represent the regular US trading session.
For more information, please visit this web page: Kibot data format for historical text files
Are all market sessions included?
Our stock and etf data includes pre-market (8:00-9:30 a.m. ET), regular (9:30 a.m. -4:00 p.m. ET.) and after market (4:00-6:30 p.m. ET.) sessions. Data for SPY and some other liquid ETFs and stocks usually starts at 4 a.m and ends at 8 p.m.
How reliable is your data?
We are using the same data for our own backtesting and live trading. Our high frequency trading systems (created using the same 1 minute data) had been the best performing trading systems on Collective2, the leading web site for trading system analysis and ranking.
Are your products survivorship-bias-free?
The results of your analysis can be skewed higher if only companies which were successful enough to survive until the most recent version of the index are included. That is why we want to provide you with the survivorship bias free data.
If you buy, for example, our Russell 3000 product, you will get 3300 symbols. The extra 300 companies are the ones that are bankrupt or excluded from the index in recent index membership changes. Some of the delisted and some currently bankrupt companies in the last few years are included with every stock product.
How far does your data go back?
We provide 40 years back in daily time frame, and more than 10 years in minute-by-minute time frame.
Do you offer end-of-day (daily) data?
All our intraday products have their end-of-day (daily) equivalent. Our daily data is priced significantly lower than the intraday data and it is included free with intraday orders. For example, if you buy our S&P 500 product, you will also get daily data for all stocks that are included - free of charge.
Does your data include bad ticks (spikes)?
Our historical data is cross-checked, tested and verified for accuracy, but due to the lack of liquidity, spikes are quite possible in pre/after market sessions. When the data is processed on our servers, the filters are less restrictive for ticks outside regular session. You should take this into consideration and try to simulate orders in your backtesting only during the regular session between 9:30 AM and 4 PM. Also try to include only regular session when calculating indicators.
Also, you can probably find a spike or two during the regular session. It is difficult to make a distinction whether or not those are real trades so the data is filtered against the most obvious errors only. You should be able to filter out the extreme prices in data if you compare them with the previous and/or next bars' prices. If you are still concerned about spikes, we can force the filter to be more restrictive and generate a separate data set for you. Please note that all custom data processing usually takes about two days to be completed.
Why are some bars missing from the data?
You cannot expect 390 bars per day during regular market session for less liquid stocks. If there were no transactions during a one minute interval, the data is not recorded. In standard one minute data file, the last bar is recorded and the whole period since the previous bar is ignored. You will not find any missing bars in SPY, MSFT or any other similar very liquid stock, but in your backtesting, to take care of such gaps, avoid placing orders during periods with no activity. Always compare your hypothetical transaction volume on your entry and exit bars with the amount that was really traded on the exchange.
In your stock index products do you include all historical data for a company or just the data since inception?
The entire available history for an instrument is always included, not just the data after the inception.
What is your adjustment method for splits and dividends?
Since most of the customers are already familiar with Yahoo Finance historical daily data and are frequently comparing our data with Yahoo, we use the adjustment method as explained at this page: http://help.yahoo.com/l/us/yahoo/finance/quotes/quote-12.html
Our adjusted data will in most cases match Yahoo historical prices, except for the daily closing price which in our case is the last transaction during the regular trading session. On Yahoo that may be the transaction after the close.
Is volume adjusted?
Volume is adjusted in both intraday and daily files. It represents the actual number of shares, but only in the cases where there were no adjustments. In both adjusted and unadjusted data, the (price * volume) formula always gives the exact dollar amount exchanged during a specific time period. For example, if a price is 10 and the volume is 100 shares, after a 2:1 split the price is 5 and volume becomes 200:
Price,Volume
$10,100
<--- 2:1 split
$5,200
If a minute is missing in your data does that mean that there were no trades?
That does not mean the data is missing. If a minute is missing, then there were no trades. You will find this situation often during pre/after market sessions and with less liquid stocks.
How can I reconstruct the missing bars and always get 390 bars per market session?
If you need 390 bars per market session, you can use the previous bar to generate the missing bars. Here is an example:
Time,Open,High,Low,Close,Volume
------------------------------------------
15:00,10,10.5,9.5,10.4,100 <- has trades
15:01,10.4,10.4,10.4,10.4,0 <- missing bar
15:02,10.4,10.4,10.4,10.4,0 <- missing bar
15:03,10.4,10.4,10.4,10.4,0 <- missing bar
15:04,10.4,10.4,10.4,10.4,0 <- missing bar
15:05,10.4,10.6,10.2,10.5,200 <- has trades
Just use the last bar's close price for Open, High, Low and Close values and 0 for volume. If you later use this data to create technical indicators, such inserted bars are still logically correct and will not cause miscalculations. Also, make sure that in backtesting, you avoid placing orders during periods with no activity. Compare the hypothetical dollar amount on your entry and exit bars with the amount that was really traded.
Why do I sometimes see a gap at the beginning of the regular trading session?
Sometimes, the specialist on NYSE may decide to start the trading session for a particular instrument a few minutes after the 9:30 AM official open time. This may occur even for very liquid securities and the missing bars in such case do not represent gaps or missing data. If having 390 bars per day for every single stock is crucial for your analysis, then you can simply reuse the previous bar's close and create the missing bar with no volume.
Why the closing prices in your daily files sometimes do not match up with what I see in Bloomberg / Yahoo?
We use the last trade price in our files. There is a difference between the last trade price and the official closing price. The official closing price can be a transaction that occurred after the market close. In our daily data files the closing price for the day is the last price before 16:00 or the close price of the 15:59 bar in the intraday file. For less liquid stocks, this can be before 15:59, but it is always the last intraday bar during the regular market session. If you use both intraday and daily data in your analysis, this increases the accuracy of your calculations.
How does your data update service work?
We are offering daily, weekly and monthly historical data updates. Updates are provided via the Internet. Our central database is updated every day after the market close. You can download new data packages after logging in to your account.
Can I update my existing files with your data updates?
We have made the process of updating your existing data files very simple and automatic. After you download and start the self-extracting archive, your existing files are automatically updated by our "Kibot Updater" tool.
How much does the data update service cost?
Data update service is billed on a monthly basis. Also, with every purchase, you are entitled to free quarterly data updates for one year. If you realize that you need more frequent updates, you can subscribe to the data update service later. Please visit this web page for pricing.
Do you offer tick-by-tick data?
Not at the moment. Tick data requires many times as much space and resources as the regular one minute data. We are currently upgrading our software and hardware infrastructure in order to provide historical tick data as well.
Can I get different time intervals?
Intraday data is provided in a one-minute interval. The one-minute format can be scaled to any greater time interval. For example, one-minute file can be converted into a 2, 3, 5, 10, 30, 60 minute file and imported into your software. Many software products can also internaly convert one minute data into higher time frames. We can also convert data for you to any interval greater than or equal to 1 minute. For more information, please visit this web page.