Definition
Tick-by-Tick Data Feed
A tick-by-tick (TBT) data feed broadcasts every order book event, additions, modifications, cancellations and trades, in real time, giving the most detailed live view of market microstructure.
The NSE TBT feed was central to the co-location controversy, where allegations that some members received market data faster than others led to SEBI investigations and penalties. To address this, the exchange moved to a multicast TBT feed intended to deliver data to all co-located members simultaneously.
TBT data is the lifeblood of HFT and latency-arbitrage strategies, which depend on seeing order-book changes the instant they happen. For researchers, the recorded TBT stream is also the highest-fidelity source for studying liquidity, queue dynamics and market impact.
Related terms
- High-Frequency Trading (HFT)High-frequency trading is a subset of algorithmic trading characterised by extremely high order submission rates, very short holding periods and reliance on ultra-low-latency infrastructure to capture tiny, fleeting price discrepancies.
- Co-locationCo-location is the practice of placing a trading member's servers physically inside or immediately adjacent to the exchange's data centre so that orders reach the matching engine with the lowest possible latency.
- Latency ArbitrageLatency arbitrage is a strategy that profits from being faster than other participants to act on the same information, capturing price differences between venues or instruments before they realign.
- Tick DataTick data is the most granular form of market data, recording every individual trade and quote change with a timestamp, price and size, as opposed to aggregated bars like minute or daily data.
Plain-English explainer from The Dispatch Investors Encyclopedia. General information, not financial advice.