Complete list
TBT Data
Introduction
In tick-by-tick (TBT) data, the exchange provides data for every tick received by the exchange from various market participants. Most of the exchanges provide snapshot as well as TBT data.
Tick by Tick data includes:
- A new order accepted and added to the order book.
- Any order modified and added to the order book. Price and quantity of the order.
- Any executed order, whether partially or fully executed.
- Any cancelled order.
There are various benefits related to the availability of TBT data to the traders:
- Better understanding of Market Microstructure - Using OHLC data or daily data, there is limited analysis of the market. Using TBT data one can analyze the market better.
- Better understanding of liquidity - TBT data helps in understanding spreads to a micro level. This in turn helps traders to infuse liquidity with lower spreads.
- Improved market efficiency - As more data is available, and the ability to analyze and respond to such data makes the market more efficient.
Visual representation of tick by tick data
Usually, the tick by tick data consists of numerical information such as price, volume, and timestamps for each trade. However, if you're interested in visualising tick-by-tick data in the form of images, you may consider using charts or graphs to represent the market activity.
A candlestick chart is one of the examples that is commonly used to visualise the price movements. You can see the candlestick chart pattern below.
Each candlestick shows a specific time period. The candlestick represents the Open, High, Low and Close prices of that period. Usually, a candlestick chart helps to represent the price trends and patterns.
Another example of the visual representation for tick by tick data is a heatmap. The heatmap can be used to visualise tick-by-tick data by representing each value with a specific colour.
Hence, you could use a heatmap to represent the intensity or frequency of trades at specific price levels or time intervals.
In the image below, you can see what heatmap looks like in trading.
Source: TraderFeed
Snapshots data vs tick by tick data
Also, you can explore all about seconds snapshots data vs tick by tick data with this informative short video.
Let us see the difference between snapshots data and tick by tick data with this table below.
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It captures every individual trade or transaction that occurs in the market, including the price, volume, and time stamp of each trade. |
This type of data captures the state of the market at regular time intervals, such as every second, minute, or hour. They provide a snapshot of the market at a specific point in time. |
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This type includes detailed information on each trade, providing a comprehensive view of market activity for each trade and not time interval unline snapshot data |
This type typically includes information such as the opening price, closing price, high and low prices, and trading volume for each time interval. |
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It captures every trade, regardless of the time interval between trades. It provides a highly granular view of market activity, capturing every price movement and transaction. |
Snapshots are captured at regular time intervals, regardless of trading activity. Hence, if snapshots are taken every minute, the data will be recorded at fixed one-minute intervals, regardless of the number of trades occurring within that minute. |
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It requires significantly more storage space and computational power to process due to its detailed nature and larger volume of data. |
Since it captures data at predetermined time intervals, snapshots data requires less storage space and computational power to process. |
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Tick-by-tick data is commonly used by high-frequency traders, algorithmic trading systems, and researchers who require a deep understanding of market microstructure, liquidity patterns, and precise price movements. |
Snapshots are commonly used for historical analysis, technical analysis, and generating charts such as candlestick charts or OHLC (Open-High-Low-Close) charts. |
You can explore the course on Trading in Milliseconds: MFT Strategies & Setup to learn all about tick trading in detail. In this course you will learn how to utilise tick data research, especially for creating MFT trading strategies.