Confusion about Tick Data used in ATS

Discussion in 'Data Sets and Feeds' started by aonelite, May 9, 2008.

  1. aonelite


    Hi, ATS.
    I have been confused about the tick data which is used to feed the program.
    By definition, What does "Tick by Tick" really mean? Some refer to only completed Trade (Trade time, size and price) some to Bid and Ask (both price ans size).
    However, In my trading strategy, I need tick data like this provided at the same time for example

    Time BidPrice BidSize AskPrice AskSize LastTrade LastSize
    09:30:00:01 21.01 200 21.05 400 21.02 100
    09:30:00:07 21.02 300 21.05 200 21.05 200

    Is there any data provider which supply the data like this? Both real time and historical.
    Thanks any suggestion.
  2. Tick data is the raw Time Of Sales.
    Bid/Ask data is what you provided an example with.
  3. maxpi


    They all do pretty much. In Openquant they divide it between trades and quotes, a trade is last + size and quotes are bid/ask/size, different software might use different terminology but essentially "data" is trades and quotes......