I am new to this. I am confused on what consists of a tick data.
I have a trading platform in which I could collect data of exchange traded product like futures and stocks. While I am intending to use the platform for trading, I think I could collect the data directly from platform. The data consist of:
- Every traded quantity + time of transaction at exchange
- Every changes in the bid quantity, bid price, ask quantity, ask price + time at which these data reach my computer
While referring to some websites and literature regarding tick data, I am not sure:
- Is tick data consist of 1 or 2 or the combination of 1 and 2? Which data should I build my model on?
- Also, if I am using the combination of 1 and 2, any ideas on how to combine the two series as the timestamp of 1 and 2 is different (there is time lag between the traded time and the changes to bid and ask QUANTITY reflected on my comp)