Clarification of what the tick data is

Historical data from Global Markets (such as FX) and those of global interest (such as Indicies, Commodities, etc)
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sbau7217
Posts: 2
Joined: Fri Jul 09, 2021 9:57 pm

Clarification of what the tick data is

Post by sbau7217 »

I am a big fan of this data being available but wanted to check on what precisely it is. As I understand:
* If in the application you select "Tick Data" then the default settings give you L1 quote data. I don't understand the volumes however as they are not always integers (so it is not number of securities/contracts available at each price). Also is there a table which shows what tradable asset each bid and offer corresponds to. For instance I guess the USA500.IDX corresponds to the SPY ETF.
* If I select a bucket then it transforms to bucketed trade data (not quotes). So the Open,High, Low,Close are trade prices within the bucket. But the volume cannot be number of shares as it is frequently not an integer.
Also is there anyway to get tick data for trades (and not just quote updates)?

tickstory
Posts: 4883
Joined: Sun Jan 06, 2013 12:27 am

Re: Clarification of what the tick data is

Post by tickstory »

Hi Sbau7217,

To answer your questions:

> If in the application you select "Tick Data" then the default settings give you L1 quote data. I don't understand the volumes however as they are not always integers (so it is not number of securities/contracts available at each price). Also is there a table which shows what tradable asset each bid and offer corresponds to. For instance I guess the USA500.IDX corresponds to the SPY ETF.

That's correct - tick data in this case is the quotes that are occurring on the books of the exchange. There is no depth information (yet). The volumes that are available are the bid/ask volumes that are against each price. In the case of FX pricing, the instruments are not traded on a specific exchange (like NYSE, for example) and therefore the trade information is not usually available and has limited use since it only pertains to that exchange.

> If I select a bucket then it transforms to bucketed trade data (not quotes). So the Open,High, Low,Close are trade prices within the bucket. But the volume cannot be number of shares as it is frequently not an integer.

Quotes and trades can be converted into bar data. In the case of quotes, you are going to get a much more "liquid" view of what was happening in the market since a quote/tick happens at every bid/ask price change. This is not the case for trades. If the exchange had few trades going on, then the information may be limited in terms of what your strategy would see intra-minute. This means if you are testing a strategy where this sort of data matters, you are much better off using tick data. Of course, if you are merely looking at 1+ minute charts, then trade data would likely also suffice.
That said, you are going to get the same quality of 1+ minute chart data from either quote or trade data.

Hope this helps.

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