Hot answers tagged


What Tick data you have in mind? NASDAQ ITCH is tick data but you have to construct the limit order book yourself to keep track of the best bid and ask price for each stocks. Not a trivial task. If you get TAQ data, you will get the best bid and ask (NBBO) but TAQ data has some issues like no odd-lot trades and trades are not mark buyer or seller initiated.

Only top voted, non community-wiki answers of a minimum length are eligible