Clarification of what the tick data is
Posted: Fri Jul 09, 2021 10:11 pm
I am a big fan of this data being available but wanted to check on what precisely it is. As I understand:
* If in the application you select "Tick Data" then the default settings give you L1 quote data. I don't understand the volumes however as they are not always integers (so it is not number of securities/contracts available at each price). Also is there a table which shows what tradable asset each bid and offer corresponds to. For instance I guess the USA500.IDX corresponds to the SPY ETF.
* If I select a bucket then it transforms to bucketed trade data (not quotes). So the Open,High, Low,Close are trade prices within the bucket. But the volume cannot be number of shares as it is frequently not an integer.
Also is there anyway to get tick data for trades (and not just quote updates)?
* If in the application you select "Tick Data" then the default settings give you L1 quote data. I don't understand the volumes however as they are not always integers (so it is not number of securities/contracts available at each price). Also is there a table which shows what tradable asset each bid and offer corresponds to. For instance I guess the USA500.IDX corresponds to the SPY ETF.
* If I select a bucket then it transforms to bucketed trade data (not quotes). So the Open,High, Low,Close are trade prices within the bucket. But the volume cannot be number of shares as it is frequently not an integer.
Also is there anyway to get tick data for trades (and not just quote updates)?