What is Tick Data

Tick data is the sequential listing of trades where each data point contains the trade time, price, and size (number of shares). In addition, it may also contain the type of trade that was executed and the exchange the trade was executed on. For example:

Format: {timestamp, price, volume, exchange}
2020-07-06 04:18:36:904,92.82,10,ARCX

Why Use Tick Data

Tick data has significant benefits over using intraday bar (open, high, low, close, volume) data which aggregates trades over a time period such as 1-minute.

Differentiating institutions from retail investors
Institutions usually trade on better information and are less prone to following trends than retail investors. Therefore in developing a trading strategy it is useful to know the type of trader that is executing the trade. End of day and bar data aggregates trades to it is difficult to know if institutions or individuals are executing the trades. Tick data, however, provides a volume for each trade and since institutions typically trade larger volumes, institutional trading can be inferred from looking at the volume of each tick.

Earlier signaling
As bars are aggregating trades over time, a trading signal cannot be generated until the end of the bar. Tick data, being a real-time replay of market data will provide an earlier signal. This is especially true during times of high volatility when sudden price or volume spikes can generate an early signal and give traders a better entry price into their trade.

Compresses periods of low trading activity
This primarily relates to charting the data, when displaying a chart of bar data, each bar is given equal weight space on the chart making it harder to visually identify periods of intense or low trading activity. By contrast, tick data will show a separate candle-stick for each trade and therefore periods of high trading volume will be easily be shown.

More accurate pattern recognition
If traders are generating trade signals from chart patterns aggregating the data can obscure patterns which would be visible if the individual trades were charted from tick data.