Most trading software does that since the data is aligned longitudinally by security. The data set of interest to me aligns the data cross-sectionally; each trading day is a separate callable entity, not strung together as a sequence of trading days. That way I could compare NQ for all days when there was a Payroll number or an FOMC meeting. I've built that data set and suspect others have too but I wonder if some of the specialized trading services have offered such a product.