The IIM Calcutta Data Centre : A Retrospective, Programming Tutorial and Future Directions

Abstract

The Data Centre was at the Finance Research and Trading Laboratory, IIM Calcutta, was initiated in April 2010. This data centre is now a unique repository of Indian tick data, from which a stream of academic research in asset pricing and microstructure has started emerging. The data is also used by students inclined towards trading careers to devise strategies in partnership with financial firms. The time now seems appropriate to take stock of the data centre’s achievements over the past two and a half years, and to critically re-examine the rationale for various design choices made at the time. Also, this article provides short programming vignettes which demonstrate best practices for using this data. It concludes with some suggestions on how to develop this resource in the years to come.