Tick Data

Tick data records the market at its finest grain: every trade that prints and every change to the best bid and offer, each stamped with a precise timestamp. A single liquid instrument can generate millions of ticks in a day, and a full market tape runs to terabytes, which is why storing, querying, and replaying tick data is an infrastructure discipline in its own right.

Exchanges disseminate it through low-level binary protocols, and precise timestamps - often nanosecond resolution captured off the wire - are what let researchers reconstruct the exact sequence of events. Tick data is the raw material for market-microstructure research and for building any lower-frequency series, since bars and daily prices are just aggregations of it. The cost is handling the volume without losing the ordering that gives it meaning.