What is packet capture (PCAP) tick data?

Packet capture (PCAP) refers to collecting and storing the individual messages exchanged over a network. These messages (“packets”) form the raw data that reflects how events occur in real time. In Tick History – PCAP, market data is captured at the exchange as PCAP files, preserving the original, unaltered data and enabling accurate reconstruction of trading activity.

What’s the difference between Tick History and Tick History – PCAP?

Tick History provides normalised data for analysis across markets, while Tick History – PCAP offers packet-level data captured directly from exchanges, with high-precision timestamping. Tick History – PCAP is typically used for detailed microstructure analysis, precision modelling, and execution research, while Tick History supports broader historical data analysis.

Does Tick History – PCAP offer normalised data?

Yes. Tick History – PCAP also provides data in a lightly normalised format, enabling consistent analysis across feeds using a standard data dictionary. Normalised data is available in CSV.

Which exchanges and feeds are covered in Tick History – PCAP?

Tick History – PCAP includes data from more than 250 exchanges and over 400 feeds globally, across multiple asset classes. Request details to learn more.

How far back does the data go?

Tick History – PCAP provides access to historical market data as far back as 2014, supporting long-term analysis, back-testing, and model validation.

How can I access Tick History – PCAP data?

Tick History – PCAP can be delivered on-premises, in your cloud, or via LSEG as a shared storage managed service. Cloud-native access through S3 Direct enables immediate availability of data, while Tick History Workbench provides an environment for querying, exploration, and visualisation.

Do I need to download the data to analyse it?

No. Tick History – PCAP data can be analysed directly in the cloud, reducing the need to move or store large datasets locally.

How is Tick History – PCAP different from building an in-house capture solution?

Capturing and storing packet-level market data in-house requires significant investment in infrastructure, co-location, storage, support, and ongoing maintenance. Tick History – PCAP provides a managed alternative, with data captured using co-located infrastructure and made available in a scalable, cloud-based environment – reducing operational complexity and time to value.

Historical tick data

Tick History – PCAP

Lossless historical packet capture data – captured directly at the source, with GPS-synchronised, nanosecond precision timestamps for the highest levels of fidelity.

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Behind every market event lies a deeper level of detail. Whether decisions are made in microseconds or over longer-term horizons, understanding exactly what happened at the individual message level across order book interactions is critical.

Tick History – PCAP provides high-precision, packet-level historical market data captured directly from exchange sources.

Using co-located capture infrastructure and technology powered by LSEG Real-Time – Ultra Direct feed handlers, data is captured from more than 250 exchanges globally, preserving the sequencing and structure of market activity. GPS-synchronised timestamps with nanosecond precision support accurate reconstruction and replay of events.

With a dataset spanning hundreds of petabytes, Tick History – PCAP enables large-scale quantitative workflows, including backtesting, execution analysis, and market reconstruction across research, trading, and regulatory use cases.

Available in raw or normalised formats, it can be delivered on premises, in the cloud, or via LSEG as a shared storage managed service.

Tick History – PCAP can also be accessed via Tick History Workbench which provides an interactive environment for querying, exploration, and visualisation historical market data. Furthermore, Tick History – PCAP can be used independently for packet-level analysis, or alongside LSEG Tick History which provides a broader view of historical market activity.

Lossless capture and processing

Proprietary capture technology powered by LSEG Real-Time – Ultra Direct feed handlers collects and processes every tick without gaps or conflation. Using resilient, co-located infrastructure at primary and backup exchange data centres, market activity is preserved in its original sequence and structure for accurate replay and analysis.

GPS-synchronised, nanosecond timestamping

Each tick is timestamped using GPS-synchronised clocks with nanosecond precision, preserving the sequencing of market activity for accurate reconstruction and analysis.

Global, multi-asset coverage

Access data from more than 250 venues and over 400 feeds across the Americas, EMEA and APAC, spanning equities, derivatives, fixed income, FX and more.

Flexible data formats

Available in raw PCAP or normalised formats, including CSV, supporting a wide range of quantitative and analytical workflows.

Cloud and on-premises delivery options

Data can be delivered on-premises, via the cloud or as a manged service by LSEG, providing immediate access – with 24/7/365 support from a dedicated team of experts.

Analytics and visualisation

Tick History Workbench provides an optional environment for querying, exploration, and visualising Tick History – PCAP, supporting use cases such as backtesting, execution analysis, and market reconstruction.

Video: Introducing Tick History – PCAP
Key use cases

Hi. I'm Akansha Goyal.I'm the head of AI product for LSEG Workspace.Today I'm going to take youthrough our new search capability, which is now powered by AI.This has been in the hands of customers with very positive feedback,and is now ready for mass adoption.Traditionally, our users spend hours at creating insights in Workspace,but today they can simply ask a question in natural language using the searchand they would get a response pretty quickly.Here's a question that I've already drafted for you.As I start my day, I want to understand what's happened in the UK energymarket overnight, and I'm asking this question.I'm also asking for key insights from the latest earnings calland also asking to chart analyst price targets and action.You can see some of the systems thinking over here by simply clicking on this.It helps you understand what are the different tools and dataand APIs that the system called in the background to come to this response.And I get a pretty comprehensive response in just a couple of seconds.All of the data is grounded in our trusted,comprehensive, and exclusive data.Think about Reuters News, Aftermarket Research,Valuations, Deals, and so on.And every claim has a citation.For structured data in this instance, which is pricing,I can simply hover over this and click.On the right hand side you can see the actual formulathat was used to derive the price for BP.You can also see the definition.But in addition you can also see the metadata.What was the price, what was the currency, when was it last calculated, and so on.Giving our users complete transparencyand auditability that they need to do their jobs.As we scroll down, we also havedynamic charts and interactions in place.You can always export these into Excel or PowerPoint.For unstructured data,we also have citations that take youto the exact place in the document that has the claim.Saving our users multiple controlapps and searches that they would typically do to audit these claims.When you open the earnings call, you also have the flexibilityto toggle to the AI generated summary.So in case you didn't want to read the entire transcript, you always have thisAI generated summary readily available,saving our users a lot of time.The other things to note is that behind the scenes,we are actually using the best AI models,whether that's OpenAI or Anthropic,to create the best answers for our users.With our Microsoft partnership, these tools are not just availablein Workspace, but they're also available in the Microsoft ecosystembecause we are embedding Workspace into our customer tools.Thanks for watching.

Strategy development and backtesting: Use tick-by-tick data to develop trading strategies, test and evaluate algorithmic models, and assess performance under historical market conditions.
Quantitative research and model development: Perform detailed market analysis and develop proprietary models using microstructure-level data.
Market microstructure and liquidity analysis: Analyse spreads, depth, queue dynamics, order book behaviour, and venue characteristics.
Execution modelling, optimisation and validation: Refine trading algorithms, smart order routing, and venue selection, while stress testing and validating execution, pricing, and risk models.
Market making and pricing models: Support quoting behaviour, fair value estimation, and intraday pricing accuracy.
Surveillance and regulatory analysis: Reconstruct market events, detect unusual activity, and support market monitoring and compliance requirements.
Best execution and transaction cost analysis (TCA): Recreate order books and analyse execution quality to support best execution obligations and trading performance evaluation.

The new low latency equation: Speed, scale, and certainty

Explore how low latency strategies are being redefined by data scale, cloud delivery, and advanced capture technologies. In this article with The Trade, we uncover why speed alone is no longer enough to compete in today’s increasingly complex, data-driven global markets.

Download Read the article

PDF • 1.7MB

Market data normalisation for low latency environments: Addressing fragmentation challenges at scale

Fragmented market data continues to create hidden cost, risk and operational complexity in trading. In this expert talk we explore how firms are tackling market data fragmentation – and why LSEG treats a robust normalisation layer as core infrastructure rather than a downstream transformation step.

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Packet capture (PCAP) refers to collecting and storing the individual messages exchanged over a network. These messages (“packets”) form the raw data that reflects how events occur in real time. In Tick History – PCAP, market data is captured at the exchange as PCAP files, preserving the original, unaltered data and enabling accurate reconstruction of trading activity.
Tick History provides normalised data for analysis across markets, while Tick History – PCAP offers packet-level data captured directly from exchanges, with high-precision timestamping.

Tick History – PCAP is typically used for detailed microstructure analysis, precision modelling, and execution research, while Tick History supports broader historical data analysis.
Yes. Tick History – PCAP also provides data in a lightly normalised format, enabling consistent analysis across feeds using a standard data dictionary. Normalised data is available in CSV.
Tick History – PCAP includes data from more than 250 exchanges and over 400 feeds globally, across multiple asset classes. Request details to learn more.
Tick History – PCAP provides access to historical market data as far back as 2014, supporting long-term analysis, back-testing, and model validation.
Tick History – PCAP can be delivered on-premises, in your cloud, or via LSEG as a shared storage managed service. Cloud-native access through S3 Direct enables immediate availability of data, while Tick History Workbench provides an environment for querying, exploration, and visualisation.
No. Tick History – PCAP data can be analysed directly in the cloud, reducing the need to move or store large datasets locally.
Capturing and storing packet-level market data in-house requires significant investment in infrastructure, co-location, storage, support, and ongoing maintenance. Tick History – PCAP provides a managed alternative, with data captured using co-located infrastructure and made available in a scalable, cloud-based environment – reducing operational complexity and time to value.

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Tick History – PCAP

Reconstruct the market with packet-level precision

Useful links

Features & benefits

Video: Introducing Tick History – PCAP

Powering detailed market analysis and reconstruction workflows

Insights

The new low latency equation: Speed, scale, and certainty

Market data normalisation for low latency environments: Addressing fragmentation challenges at scale

FAQs

What is packet capture (PCAP) tick data?

What’s the difference between Tick History and Tick History – PCAP?

Does Tick History – PCAP offer normalised data?

Which exchanges and feeds are covered in Tick History – PCAP?

How far back does the data go?

How can I access Tick History – PCAP data?

Do I need to download the data to analyse it?

How is Tick History – PCAP different from building an in-house capture solution?

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