Tullett Prebon Information (TPI), the market data division of inter-dealer broker Tullett Prebon, has made its historical tick-based price data available through information services provider Thomson Reuters’ Datascope Tick History (RDTH).
The distribution agreement is an extension of the TPI real-time and end-of-day data already available through Thomson Reuters services. According to the two firms, the new offering was created in response to the important role that historical tick-based data plays in automated and algorithmic trading as well as trade validation.
Thomson Reuters’ clients will be able to receive TPI data packages for rates, fixed income, money, foreign exchange, volatility and inflation. The data consists of global tick history for interest rate derivatives, sovereign debt, mortgage-backed and agency securities, currency deposits, spot FX, deliverable and non-deliverable FX forwards, FX options, interest rate options and inflation swaps.
Financial institutions’ accounting and compliance functions use tick-based price data from independent providers for trade validation by comparing the bid-offer range of the instrument to the execution price at the time of the trade. Algorithmic and quantitative trading desks can use the data to back-test their financial models.
“We view this as an important initiative in that market participants can streamline the process of accessing tick-based data. We will continue to work with Thomson Reuters to expand the range of TPI content available on the RDTH platform,” said Mike Kirby, head of TPI, Americas.
Thomson Reuters’ RDTH product offers customers a historical archive and real-time data sets with analytical tools for quantitative investment strategies.