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Questions related to tick by tick, high-frequency or intraday data.

Tick by tick data can be

  • "level one" (bid and ask prices and quantities), that are covered by Limit Orderbook and Request For Quotes markets (i.e. price-driven and size-driven auction mechanisms)
  • or "level two", the are only available for Limit Ordebooks and covers more than the first bid and ask limits.