Where is a tick analysis taken? - briefly
A tick analysis is conducted on the raw tick data produced by an exchange or market data provider, usually within dedicated analytics software or a proprietary trading platform. The process extracts and evaluates each price update to generate insights about market micro‑structure.
Where is a tick analysis taken? - in detail
Tick analysis originates from real‑time market data streams that record each price change, trade, or quote as it occurs. The primary sources include:
- Direct exchange feeds, such as NASDAQ, NYSE, CME, or other regulated venues, which deliver millisecond‑level information on every executed order.
- Consolidated market data services (e.g., Bloomberg, Refinitiv, ICE Data Services) that aggregate feeds from multiple exchanges and provide standardized formats.
- Broker‑dealer APIs (e.g., Interactive Brokers, CQG, Rithmic) that forward raw tick data to client applications.
- Alternative trading systems and dark pools, which supply proprietary tick streams for participants with access rights.
The data flow follows a consistent pipeline: the exchange generates a timestamped message for each event, the message is transmitted via dedicated fiber or microwave links to data vendors, the vendor normalizes and timestamps the records, and the client system receives the stream for analysis. Analytical processes typically involve:
- Parsing the incoming feed to extract price, size, and direction.
- Aligning timestamps across multiple venues to ensure chronological integrity.
- Storing the cleaned ticks in high‑performance databases or time‑series structures for rapid retrieval.
- Applying statistical or algorithmic techniques—such as moving averages, volatility estimators, or order‑flow models—to derive insights.
Because tick data captures the finest granularity of market activity, its reliability depends on low latency transmission, accurate time synchronization (often using GPS or atomic clocks), and comprehensive coverage of all relevant trading venues. Consequently, professionals seeking precise tick‑level analysis must secure direct exchange connections or reputable data‑distribution services that guarantee minimal data loss and precise timestamp fidelity.