Tick Data and OHLCV Data

Market data comes at different resolutions. Tick data records every individual trade, and sometimes every quote change, exactly as it happened. OHLCV bars summarise those ticks into fixed periods: the open, high, low and close prices plus volume for each minute, hour or day. Bars are compact and easy to work with, which is why most charts and backtests use them. Ticks preserve details that bars throw away, such as the order in which highs and lows happened. Choosing the right resolution affects both the cost of research and whether its results can be trusted.

What each contains#

How a bar is built#

For each period, take all trades inside it:

• Open: price of the first trade.
• High: highest trade price.
• Low: lowest trade price.
• Close: price of the last trade.
• Volume: sum of trade sizes.

This is exactly what a candlestick shows. See How to Read Candlesticks.

Bar labelling: start or end?#

Some vendors label a bar with its start time (10:00 for 10:00 to 10:01); others use the end time. If you treat a start labelled bar as complete at its label time, your backtest sees its close a full bar early. Always check the convention. See Timestamps, Time Zones and Daylight Saving and Look-Ahead Bias.

Other bar types#

Some researchers argue that volume and dollar bars produce returns with better statistical properties than time bars, since they sample more during busy periods.

Storage costs#

Tick data can be hundreds or thousands of times larger than minute bars. A liquid futures contract can print hundreds of thousands of trades in a busy day, and quote data is larger still. Columnar formats and compression help a lot. See Data Storage, Compression and Caching.

Which data do you need?#

Quotes versus trades#

Trade prices tell you what happened; quotes tell you what you could have traded at. A backtest using last trade prices for entries ignores the spread. For short term strategies, use bid and ask data to model buying at the ask and selling at the bid. See Bid-Ask Spread and Spread Costs.

Frequently asked questions#

What is tick data?#

A record of every individual trade, and sometimes every quote change, with its time, price and size.

What does OHLCV stand for?#

Open, high, low, close and volume, the summary values of a price bar.

Do I need tick data for backtesting?#

Not for most daily or hourly strategies. Short term strategies with tight stops and targets, or that depend on the spread, benefit from tick and quote data.

Next, learn how live data reaches your system in Real-Time, Delayed and Historical Data.