Frequently Asked Questions: JSE Historical Data

Who is the Johannesburg Stock Exchange (JSE)?

The Johannesburg Stock Exchange (JSE) offers secure, efficient primary and secondary capital markets across a diverse range of securities, supported by our post-trade and regulatory services. The JSE is the market of choice for local and international investors looking to gain exposure to the leading capital markets in South Africa and the broader African continent.

The JSE is currently ranked the 19th largest stock exchange in the world by market capitalization and is the largest exchange in the African continent.

What products are listed on the JSE?

The JSE operates markets across a broad range of asset classes. The JSE facilitates trading in equities, equity derivatives, currency derivatives, commodity derivatives, spot bonds and interest rate derivatives.

What is the file format of this data?

Historical tick data files are available for equities, equity derivatives and currency derivative data. Data is available as binary format data files that are zipped to save on file size.

What is the average daily file size?

The average data file sizes are as follows:

  • Equity – 200 MB
  • Equity Derivatives – 120MB
  • Currency Derivatives – 210MB

Note: Sizes may fluctuate due to market conditions

How many files are available per day?

Data for each product is produced in a single file per day.

What is the delivery frequency of the data?

Data files will be produced at the end of each JSE trading day.

 

What time will the files be delivered each day?

The expected average availability time is 3:30 p.m. Eastern Time.

Are the files compressed?

The data files are compressed by inline zipping the file.

Are sample files available?

How far back historically does each dataset go?

Equity Market Data - Starting September 1, 2016

Equity Derivatives data – Starting April 29, 2019

Currency Derivatives data – Starting April 29, 2019

Are there any missing dates to the data I should know? If so, what are they?

The JSE has identified 61 days over the full historical period that have partially missing or completely missing data.

Details on incomplete/missing days for all three markets is contained in supporting document JSE Missing or Incomplete Tick Data

The JSE is in the process of trying to recover this data and see what it can make available. As the JSE able to recover a day, it will make updates and publish an updated version.

Where can I find information on how to understand this data?

The JSE has made three specifications documents available as follows to help decoding efforts

Volume 5 – Market Data gateway (MITCH – UDP) – The API specifications document for the live Full Market Depth (Level 2) data feed. This document is v3.09 with a publication date of 31 Jan 2019 so applies to all three markets from 31 January onwards.

Volume 5 – Market Data gateway (MITCH – UDP) – An older version of the API specifications document for the live Full Market Depth (Level 2) data feed.  This document is V3.00 with a publication date of 29 Feb 2016 so applies to Equities Market data from 29 Feb 2016 to 30 Jan 2019.

Vonnegut Mitch Public Data Extract – The JSE collects and stores the data in a propriety format. This document applies to all data for all three markets.

Is there a certain process I must use to be able to use the data?

The data must be processed in the following sequence

  1. Unzip the daily data file that has an “gz” extension
  2. Expose the MITCH messages from the Vonnegut storage format by referring to the Vonnegut document
  3. Process the MITCH messages by referring to the relevant MITCH market data feed specifications version