Tick Data

Tick data represents the most granular level of market data, recording every single trade and price change as it occurs. Unlike aggregated data, which summarizes price changes over time, tick data captures the exact sequence of events in the market.

This is essential for backtesting high-frequency strategies and understanding the fine-grained dynamics of order flow. Analysts use tick data to reconstruct order books and analyze the behavior of market participants in real-time.

It is the primary data source for rigorous quantitative finance and microstructure research.