Data availability
Coverage, identifiers, history, intervals and delivery, the procurement answers in one place, with the 2024 methodology change stated rather than buried.
- Universe
- 13,000+
- History
- 13 years
- Refresh
- 10 min
What this page is for
If you are evaluating, licensing or integrating a Vanda dataset, this is the short version. It states what is covered, which identifiers are used, how far back the history goes, at what intervals the data is available, and how it can be delivered.
Where a figure is not published here, it is because it has not been verified for external use, not because it is being withheld. Those items are listed under coverage on request, and we would rather tell you plainly than give you a number you would later have to correct in a paper.
VandaTrack coverage and identifiers
VandaTrack is the product with published figures. Everything in this table is a verified fact.
| Attribute | VandaTrack |
|---|---|
| Universe | 13,000+ US-listed stocks and ETFs covered |
| Instrument scope | US-listed common stocks and ETFs, plus listed options flow |
| Identifiers | US stock ticker symbols, all traded securities ex pink sheet |
| Investor scope | Self-directed retail investors' turnover, with a global investor origin |
| Equity history from | 2012 |
| Options history from | 2017 |
| History depth | 13 years |
| Update cadence | 10 min: refresh through the US session |
| Intraday intervals | 10m / 30m / 1H |
| Delivery | REST API, AWS S3, SFTP, Excel export |
Reading the two history rows together: an equity flow series can be tested back to 2012, an options flow series to 2017. Do not assume a single start date across both.
Delivery methods
The same data, four routes plus the platform. Most firms take two: one for the model and one for the desk.
| Method | Shape | Typical use |
|---|---|---|
| REST API | Request-driven, programmatic access | Model and application integration, scheduled pulls |
| AWS S3 | File delivery to a bucket | Bulk history and recurring loads into a warehouse |
| SFTP | Ad-hoc file transfer | Environments where an outbound API call is not permitted |
| Excel export | Spreadsheet download from the platform | Discretionary users and one-off analysis |
| Vanda Analytics platform | Browser, no integration required | Evaluation, daily desk use, and questions that are faster to click than to code |
Entitlement is per user for the platform and per system for programmatic delivery. Credentials and API keys are not shareable, see the Terms and Conditions.
The 2024 methodology change
In 2024 we upgraded how executions are classified and how flow is constructed. It is documented here rather than applied silently, because anyone running a long backtest needs to know where the series changes and why.
The change points:
- Consolidation of fragmented microstructure prints into behavioral trade events
- Reduction of artificial flow inflation from fragmented trades
- Controls applied to anomalous large executions
- Improved signal stability in lower-liquidity intervals
Continuity and restatement
Where a methodology change materially affects the interpretation of a series, we document it and tell entitled clients. If you are building a model that spans the change point, ask us before you assume the series is homogeneous across it, that is a five-minute conversation that saves a rebuild.
Series metadata in the Data Library carries start date and last update for every series, so the vintage of what you are pulling is visible rather than inferred.
Coverage details on request
Three products do not yet have externally published coverage figures. Rather than publish an estimate, we give you the real numbers directly, under the terms of an evaluation.
VandaXAsset
Coverage details on request
Cross-asset positioning, held in one consistent frame.
VandaMacro
Coverage details on request
The macro backdrop, quantified rather than narrated.
No coverage counts, history depths, asset-class lists or update frequencies are published for these products, and any figure you see quoted for them elsewhere should be confirmed with us before it is used.
Asked in almost every evaluation
The four questions a market data team opens with, answered in the same words we would use on a call.
- What type of data is this?
- Self-directed retail investors' turnover in US securities, with a global investor origin.
- Where is your data from?
- All traded securities ex pink sheet across the US market, using stock ticker symbols as identifiers.
- Can I add this data into my own models?
- Yes, via REST API, AWS S3, or ad-hoc SFTP.
- How far back does the history go?
- Over 14 years. Equity data begins in 2012 and options data in 2017.
Entitlement, trials and licensing
Licensing scope, permitted use, redistribution and derived-data questions go to sales@vanda.com, which reaches the commercial team directly rather than a general inquiry queue. Bring the intended use case with you, internal research, a systematic strategy, a client-facing product, because it determines the license rather than the price alone.
Trials are scoped to a real universe and a real delivery route, not a sample file, so that what you evaluate is what you would receive.
Evaluating Vanda data?
Data and licensing: sales@vanda.com. Research and methodology: research@vanda.com.
Other resources
Platform Guides
How to get from a login to a decision in each of the three data products, the surfaces to start on, the controls that matter, and what the numbers on screen mean.
Resource Library
What is in the library, how it is organized, and the vocabulary you need to find a series or an article without knowing its name in advance.
Trade Updates
What a trade update is, what sits inside one, how often they arrive, and how to read a positioning-led view without mistaking it for a forecast.