Historical Market Data
The foundation for backtesting, analysis and successful trading strategies – they enable the analysis of past market movements and the objective evaluation of decisions.
Whether stocks, futures, forex, indices or commodities: high-quality historical market data helps understand markets better and make sound decisions.
What is historical market data?
Historical market data is stored price and market data from the past. It documents the development of financial instruments over days, weeks, months or even decades. This includes:
- stock, futures and currency prices
- index levels and commodity prices
- tick data and trading volume
- bid and ask prices
- fundamental data
Why is historical market data important?
Markets do not move randomly. Many price patterns, market reactions and seasonal effects can only be identified through the analysis of historical data.
Backtesting
Objectively testing strategies against the past.
Risk analysis
Assessing drawdowns and volatility on solid grounds.
Market research
Identifying patterns, cycles and seasonal effects.
Performance comparisons
Comparing instruments and strategies.
Trading systems
Developing and testing rule-based systems.
Optimisation
Improving existing strategies in a targeted way.
What types of historical market data are there?
Different data types are used depending on the application area.
Tick data
Every single price change with timestamp, price and volume – ideal for day trading, scalping, order flow and HF research.
Intraday data
Price movements within a day in 1-, 5-, 15-, 30- or 60-minute units – for short-term strategies, swing trading and technical analysis.
Daily data (end-of-day)
Open, high, low, close and volume per trading day – ideal for long-term analysis and investment decisions.
Historical data by market
High-quality histories are available for all major asset classes.
Historical stock data
For trend and fundamental analysis, pattern recognition and portfolio optimisation.
- Deutsche Börse · Xetra
- NYSE · NASDAQ · Euronext
- Regional exchanges
Historical futures data
Long-term histories for market cycles, rollovers and seasonal patterns.
- Eurex · CME
- CBOT · NYMEX · COMEX
Historical forex data
For strategy testing, volatility analysis and market forecasts.
- EUR/USD · GBP/USD
- USD/JPY · USD/CHF · AUD/USD
Indices & commodities
For market comparisons, macro analysis and long-term cycles.
- DAX · Euro STOXX 50 · S&P 500 · NASDAQ 100
- Gold · silver · oil · natural gas · copper · wheat
Historical data for backtesting
Backtesting checks how a strategy would have performed in the past – to validate it, analyse risks, optimise rules and identify mistakes. Professional backtests require high-quality, ideally gap-free data sets.
Why data quality is decisive
Even small errors can significantly distort results. Typical problems:
- data gaps
- incorrect prices
- incomplete volume information
- incorrect timestamps
How many years of history are useful?
The required history depends on the strategy – the more market cycles covered, the more meaningful the results.
Historical data for quant, API & AI
Professional users use historical data for mathematical models, automated integration and AI training.
Quantitative analysis
- Factor investing
- Machine learning
- Risk models
- Portfolio optimisation
- Forecasting models
Retrieval via APIs
Direct integration into trading systems, databases, analysis platforms, dashboards and research projects.
Data for AI
- Price forecasts
- Pattern recognition
- Risk assessment
- Market classification
- Trading signals
Typical historical market data mistakes
Many market participants underestimate the importance of data quality – these mistakes significantly distort analyses and backtests.
- histories that are too short
- incomplete tick data
- missing volume data
- poor data cleaning
- stock splits not accounted for
- missing dividend adjustments
“Historical data explains the past – real-time data helps react to the current market.”
Historical data
- Analysis
- Backtests
- Strategy development
Real-time data
- current decisions
- market monitoring
- real-time signals
Who is historical market data for?
They form the basis for data-driven decisions and professional market analysis:
Frequently asked questions
How far back does historical market data go?
At TAI-PAN, daily data goes back to 1987 and tick data has been available since 2002 – depending on the market and instrument.
What is historical market data used for?
For backtesting, strategy development, research, trend analysis and testing trading systems under real historical conditions.
What data types are available historically?
Daily prices (OHLCV), minute data, hourly data and tick data – depending on the instrument and time period.
Why does the length of history matter for backtests?
The longer the history, the more market phases (crises, sideways markets, rallies) are covered – this makes strategy results significantly more robust.
The foundation of well-grounded market analysis
Whether stocks, futures, indices, forex or commodities – high-quality historical data enables deeper insight into market movements and creates the basis for better decisions.
Anyone looking to trade or invest successfully over the long term should pay attention to extensive history, high data quality and professional data supply.