What is tick data actually?

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My apologies if this sounds very basic to some.

I just wanted to know what actually tick data is?


The below blog posts defines it as;

  • https://www.mql5.com/en/blogs/post/749488 = How a tick is generated? : When you press buy or sell button to initiate or end any trade, it searches for bid and ask price in book depth. When your order is matched with bid or ask then a tick is generated
this says orders which are deals closed.
  • https://www.mql5.com/en/blogs/post/756659 = Definition: Tick data represents each individual transaction or trade that occurs in a market, regardless of the size of the trade. It includes information such as the trade price, trade volume, and the time at which the trade occurred.
  • https://quant.stackexchange.com/questions/3612/tick-data-collection#:~:text=Tick%20data%20are%20generally%20not,not%20just%20best%20bid%2Foffer. =  Tick data are generally not just trades but changes on the bid and offer as well. 

these says all transactions. pending, market orders and closed deals.


Below sample in MT5 format . (bid and ask orders in the same time?)

02Aug2024 10:00:02.100  Bid: 100  Ask: 105

02Aug2024 10:00:01.103  Bid: 103  Ask: 108

02Aug2024 10:00:00.103  Bid: 99  Ask: 104


thanks in advance.

Tick Data vs OHLC Data
Tick Data vs OHLC Data
  • www.mql5.com
There are many questions about which data is reliable at what condition. There are basically two types of data available in market for analysis. Tick data and OHLC data, we will discuss both data
 

It's the prices (asks and bids) that occur in the market before the OHLC data is generated. But it's not only bids and asks. A "tick" is any kind of change in a price security (a new bid, a new ask, a transaction at a trade price, a change in volume).

In terms of tick data that can be retrieved, you can choose what kind of tick data should be retrieved in the software.

 
umad:

My apologies if this sounds very basic to some.

I just wanted to know what actually tick data is?


The below blog posts defines it as;

  • https://www.mql5.com/en/blogs/post/749488 = How a tick is generated? : When you press buy or sell button to initiate or end any trade, it searches for bid and ask price in book depth. When your order is matched with bid or ask then a tick is generated
this says orders which are deals closed.

these says all transactions. pending, market orders and closed deals.


Below sample in MT5 format . (bid and ask orders in the same time?)

02Aug2024 10:00:02.100  Bid: 100  Ask: 105

02Aug2024 10:00:01.103  Bid: 103  Ask: 108

02Aug2024 10:00:00.103  Bid: 99  Ask: 104


thanks in advance.

The article I wrote says what it is.
It's an unprocessed data.

It's difficult to record every tick accurately which is passed and if one tries to do it, it may take lots of storage and requires direct websocket api connection from broker and fast internet speed.

Ticks may lose information due to data exchange  limit set by broker so unreliable if not fetched directly from exchange.

High amount of storage for tick (bid,ask) and order book (which may have depth upto 25 or 50 ) makes tick data very precious and those who store sells at high cost.

Even biggest crypto exchange do not provide end user historical tick data for study.

Most of retail traders relies and make trading decision on OHLC processed data due to unavailability and inaccuracy of ticks unless they are fetching something meaningful info from ticks.
 
WARNING: The information provided in this thread, and both links to blog posts, are mostly inaccurate, when they are just not wrong.
 
Alain Verleyen #:
WARNING: The information provided in this thread, and both links to blog posts, are mostly inaccurate, when they are just not wrong.
Please describe which information is inaccurate and/or wrong and provide evidence therefor.  😁
 
Ryan L Johnson #:
Please describe which information is inaccurate and/or wrong and provide evidence therefor.  😁

As an experienced trader I am sure you know what a tick, isn't it ?

The topic has been discussed numerous time, on this forum, there are several very interesting topics about ticks. Unfortunately I don't have time to summarize that myself. Maybe one day.

Please also note that the warning is an invitation to people read it to think for themselves, and search for better answers.

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