How do STV ticks differ from STK ticks? - briefly
STV ticks represent price updates for a specific security’s trade volume, while STK ticks record changes in the underlying stock’s market data such as bid/ask quotes. The former focuses on transaction-level activity, the latter on market-level price information.
How do STV ticks differ from STK ticks? - in detail
STV tick records capture each executed transaction for a security. Each entry contains the execution price, the number of shares exchanged, the exact time of the trade, and often a unique identifier for the order that generated the trade. Because the data is generated only when a trade occurs, the interval between consecutive STV ticks varies with market activity; high‑volume periods produce dense streams, while quiet periods may leave gaps of seconds or minutes. The primary purpose of this tick type is to provide a precise chronology of price formation and volume accumulation, which is essential for constructing accurate trade‑by‑trade price series, calculating realized volatility, and performing post‑trade analysis.
STK tick, by contrast, represents quote updates for a security. A single STK tick includes the best bid price, best ask price, associated quantities, and a timestamp marking the moment the quote changed. Quote updates are emitted whenever any participant modifies their order book, leading to a much higher tick frequency than trade ticks, especially in liquid markets where the order book can change dozens of times per second. STK ticks are used to build the market depth view, feed real‑time pricing engines, and support algorithms that react to order‑book dynamics rather than to executed trades.
Key distinctions:
- Content: STV ticks record trade execution details; STK ticks record bid/ask quote changes.
- Generation trigger: STV ticks fire on trade execution; STK ticks fire on any order‑book modification.
- Frequency: STV tick frequency depends on trade activity; STK tick frequency is generally higher, reflecting continuous quote updates.
- Use cases: STV ticks support trade‑based analytics (e.g., volume‑weighted average price, realized variance); STK ticks support quote‑based strategies (e.g., market‑making, spread monitoring).
- Data volume: STK tick streams typically require more storage and processing bandwidth due to their higher rate of generation.
Understanding these differences enables developers and analysts to select the appropriate tick type for a given application, ensuring that data pipelines capture the necessary granularity without incurring unnecessary overhead.