Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [tick-data]

Questions related to tick by tick, high-frequency or intraday data.

Tick by tick data can be

  • "level one" (bid and ask prices and quantities), that are covered by Limit Orderbook and Request For Quotes markets (i.e. price-driven and size-driven auction mechanisms)
  • or "level two", the are only available for Limit Ordebooks and covers more than the first bid and ask limits.
110 questions
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Where can i find tick data for futures contracts

Looking for places which can give me historical tick data for free or for the cheapest price. Don't really need it to be live , can be delayed too. What are my options. Mainly looking for tick data for one contract - i.e. NYMEX WTI crude
novice
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Calculating spot level using tick data

What is a proper (or commonly used/accepted) way of calculating some spot value with tick data? At the moment I can think of two options: Take the latest available best bid, latest available best ask and find mid. (Trade represents both best bid…
sashkello
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Aggregating/Simplifying Tick Data

Disclosure: I have 0 background in economics, finance or any directly related field. I have been given multiple sets of supposedly daily tick data (I say supposedly because I could not tell if it wasn't), that I would like to simplify for analysis.…
Moritz
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Tick data-why the ask price and ask volume are 0, but the trade price exists and the trade price is still big? How to understand this?

How to understand the trade price and volume exists when ask price and volume are 0 but bid ones exist? I can't understand what happens under such condition? And also why sometimes bid price is higher than ask price? Thanks
LuckyBBB
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Tick by Tick stock data

let's suppose a stock 'X' is quoted in a particular market with a specific bid and ask price. I would like to see for all transactions within a day on stock X: The transaction time (in milliseconds) The transaction type (Bid (Sell) or Ask…
Fra92
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Real-time Tick Filtering

Is anybody aware of any papers regarding tick/quote filtering algorithms. I'm aware of the Olsen stuff, but I'd prefer something with fewer free parameters.
Craig
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How to store tick data for diffferent time frames?

I collect data every 30 seconds and store it in a DB. Suppose I want to do analysis for 30m,1H,4H and 1 day time frames, what's the best approach to have access to that data for each TF?
BHP
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How to understand this tickdata `askvolume` and `bidvolume` fields?

Here is 1 tick: Timestamp,Bid price,Ask price,Bid volume,Ask volume 20151127 00:05:00:592,1.06057,1.06061,1,1.5 Does ask volume 1.5 mean 1.5 million were actually sold or is it just an offer Another question. Here is some more tickdata: 20151127…
ronny vaiksaar
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