Definition
Tick Data
Tick 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.
Indian quant and HFT research depends on high-quality tick data from NSE and BSE to study microstructure, model slippage, and build short-horizon signals. Storing and processing tick data is demanding because a single active day can contain millions of events per instrument.
Clean, accurately timestamped tick data is essential; gaps, out-of-order messages or incorrect adjustments can ruin a microstructure study or a backtest. The exchange's tick-by-tick data feed is the rawest source, and access to it, especially via co-location, has been a recurring fairness issue in India.
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.
- Slippage ModellingSlippage modelling is the quantitative estimation of expected execution costs, including spread, market impact and timing effects, so that a backtest or live strategy reflects realistic, achievable prices.
- BacktestingBacktesting is the process of simulating a trading strategy on historical data to estimate how it would have performed, including returns, drawdowns and risk, before committing real capital.
- Tick-by-Tick Data FeedA 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.
Plain-English explainer from The Dispatch Investors Encyclopedia. General information, not financial advice.