Tick data
Tick data vs 1-minute bars: what your backtest needs
Tick data records every trade; bars summarise them. For most strategies clean 1-minute bars are enough, and far cheaper to store and test.
What tick data is
Historical tick data lists every trade (time, price, size, exchange), and sometimes every quote. A liquid US stock prints tens of thousands of trades a day, so years of tick history run to terabytes.
When you need tick data, and when you don't
- Needed: market making, latency-sensitive execution research, microstructure and order-flow studies
- Usually not needed: intraday momentum, mean reversion, opening-range and event strategies that act on 1-minute or slower signals
For the second group, 1-minute bars with correct splits, dividends and delisted names matter more than tick resolution.
Tick data at FinzData
Today FinzData serves 1-minute, 5-minute and hourly bars back to 2000. Tick data is being added to the Institutional plan. To be told when it is available, or to discuss a tick-level dataset for a specific universe, email [email protected].
Frequently asked questions
Is tick data the same as 1-minute data?
No. Tick data is every individual trade; 1-minute bars aggregate those trades into open, high, low, close and volume for each minute.
Does FinzData sell tick data?
Tick data is coming to the Institutional plan. 1-minute bars back to 2000 are available now.
How big is US stock tick data?
Very large: years of trades for the full US market run to terabytes, which is why most backtests use bars.