Ticklevel

Ticklevel, or tick level, refers to the granularity of financial market data at the level of individual events. In tick-level data, each price change, trade, or quote update is recorded as its own entry, rather than being aggregated into bars or candles.

A typical tick-level record includes a timestamp, price, and size for trades; for quotes it includes bid and ask prices and sizes, as well as venue identifiers and possibly depth information from the order book.

Common uses include high-frequency trading, market microstructure research, and latency-sensitive backtesting, where precise timing and order-level details matter for strategy evaluation and risk assessment.

Tick data is sourced from exchanges and data vendors and can be delivered in binary, specialized formats, or as CSV. Timestamps are often high precision (microseconds or nanoseconds) to preserve the sequence of events across venues.

Challenges include very high data volumes, storage and processing demands, data quality issues, and the need for consistent symbol mapping and time synchronization across sources. Users must consider licensing, data normalization, and missing data handling when working with tick-level datasets.

Related concepts include bar data, Level I/II quotes, and market microstructure. Tick-level data is most applicable where the sequence and timing of individual market events are critical to analysis or strategy development.