RichardDale
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Tick is the minimum level you can "zoom" into when looking at intraday data.
On most markets a "tick" is generated each a trade is performed.
However, on some markets, trades are not reported (eg. spot forex) so a "tick" is generated when the bid or ask changes. On multicontributor data feeds (such as intraday forex from multiple interbank dealing desks) a "tick" is generated whenever a fresh bid/ask contribution is provided.
Depending upon the exchange involved, some intraday data vendors may aggregate multiple trades into a single tick as long as they're performed at the same time (typically within 1 second) and at the same price.
On most markets a "tick" is generated each a trade is performed.
However, on some markets, trades are not reported (eg. spot forex) so a "tick" is generated when the bid or ask changes. On multicontributor data feeds (such as intraday forex from multiple interbank dealing desks) a "tick" is generated whenever a fresh bid/ask contribution is provided.
Depending upon the exchange involved, some intraday data vendors may aggregate multiple trades into a single tick as long as they're performed at the same time (typically within 1 second) and at the same price.
Thank you! The difference between tick price and trade always confused me...One more question if you don't mind me asking. What does a tick data look like, if we capture a stream or feed from say NYSE (or should it be Reuters?)
RichardDale
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Typically it's just a record with:
date/time,price and volume in it
eg.
20091204110545,35.45,14500
How your charting software represents this is up to you.
Reuters is a data vendor that has data feeds. NYSE is an exchange. They both provide data feeds but Reuters will provide you with data feeds other than just NYSE. You should be aware that real-time/tick feeds are a few orders of magnitude more expensive compared to end of day data feeds. If you want a tick data feed across ALL listed stocks your budget should extend to tens of thousands of dollars per annum. If you are only interested in a limited number of stocks then the retail offerings may suffice.
In the US, any trades made on any stocks must be reported to the "Tape". This includes any trades for stocks that are traded on an exchange other than their listing exchange. eg. A huge amount of volume of NYSE-listed stocks is performed on other exchanges (such as NASDAQ, BATS etc.).
See:
http://www.batstrading.com/market_summary/
for some statistics on such events.
My expertise is in end-of-day data feeds but I have knowledge and experience of these other areas too.
date/time,price and volume in it
eg.
20091204110545,35.45,14500
How your charting software represents this is up to you.
Reuters is a data vendor that has data feeds. NYSE is an exchange. They both provide data feeds but Reuters will provide you with data feeds other than just NYSE. You should be aware that real-time/tick feeds are a few orders of magnitude more expensive compared to end of day data feeds. If you want a tick data feed across ALL listed stocks your budget should extend to tens of thousands of dollars per annum. If you are only interested in a limited number of stocks then the retail offerings may suffice.
In the US, any trades made on any stocks must be reported to the "Tape". This includes any trades for stocks that are traded on an exchange other than their listing exchange. eg. A huge amount of volume of NYSE-listed stocks is performed on other exchanges (such as NASDAQ, BATS etc.).
See:
http://www.batstrading.com/market_summary/
for some statistics on such events.
My expertise is in end-of-day data feeds but I have knowledge and experience of these other areas too.
