Tick-by-tick (TBT) data Meaning

Tick-by-tick (TBT) data is a highly granular form of market data that records every individual trade and quote update as it occurs in real time. Unlike aggregated data formats such as candlesticks or time-based bars, TBT data captures each event sequentially, including price changes, trade sizes, timestamps, and order book updates. This level of detail makes TBT data essential for advanced trading analysis, market microstructure research, and algorithmic strategy development.

Each “tick” represents a discrete market event, such as a trade execution or a change in the best bid or ask. By analyzing these events in sequence, traders and researchers can reconstruct the exact evolution of the order book and understand how supply and demand interact at a micro level. This enables insights into liquidity dynamics, order flow imbalance, and short-term price formation that are invisible in lower-resolution data.

Tick-by-tick data is widely used in high-frequency trading, execution optimization, and backtesting of latency-sensitive strategies. Traders rely on it to model slippage, measure fill probabilities, and simulate realistic execution conditions. For market makers, TBT data helps refine quoting behavior and manage inventory risk in fast-moving markets.

In crypto markets, access to reliable tick-by-tick data varies by venue. Centralized exchanges typically provide TBT feeds via APIs or data services, while decentralized exchanges require on-chain event indexing to reconstruct equivalent datasets. Data quality is critical, as missing ticks, inconsistent timestamps, or out-of-order events can significantly distort analysis.

Despite its analytical power, TBT data comes with challenges. It is storage-intensive, computationally demanding, and costly to process at scale. Latency, synchronization, and normalization across venues further complicate its use.

As a result, many market participants aggregate tick data into derived metrics unless ultra-precise analysis is required. Overall, tick-by-tick data represents the most detailed lens through which market behavior can be observed, offering unmatched visibility into how trades actually occur.