tickbytick

Tick-by-tick data refers to the most granular form of price and trade information in financial markets, recording every trade as it occurs. Each entry typically includes a timestamp, price, traded volume, and the exchange or venue, and may also include trade direction and whether the trade was buyer- or seller-initiated when available. Tick-by-tick data contrasts with aggregated formats such as time- or volume-based bars (seconds, minutes, or fixed-size candles) and is used to study market microstructure and to support high-frequency trading and research.

Data sources and formats include exchange feeds and vendor-provided historical tick data; common protocols include ITCH and OUCH used by U.S. equity markets, while foreign exchange and futures markets have their own feeds. Access is typically licensed and may carry significant cost; data quality issues include timestamp alignment, missing trades, and corrections. Tick-by-tick data often requires careful normalization when combining data from multiple venues.

Applications include backtesting of pricing models and execution algorithms, reconstruction of order books, measurement of bid-ask spreads, market impact, and liquidity analysis. It enables researchers to analyze latency, price formation, and the effects of trades on prices. In practice, tick-by-tick data supports detailed market microstructure research and can inform trading strategies that rely on precise, time-stamped information about each trade.

Challenges include storage requirements, computing power, data cleaning, and regulatory constraints. Analysts must manage time synchronization, market holidays, and corporate actions that affect history. Overall, tick-by-tick data is essential for those needing the most precise view of price formation, but it is more resource-intensive and depends on licensing and data quality.