kibot

Tick Data

Tick data records every individual trade in consecutive order, exactly as it happened. Each line is one trade with its real price and volume, alongside the prevailing National Best Bid and Offer (the bid and ask) at the moment the trade was reported. For US stocks and ETFs, the Kibot tick feed has been available since September 2009. This article describes the standard six-field layout and how the bid/ask quotes are sourced. A separate, experimental millisecond-timestamp variant is described at the bottom of the page.

Field Definitions

Each line in a tick file is a comma-separated record of six fields:

Field # Name Format Description
1 Date MM/DD/YYYY Trade date
2 Time HH:MM:SS Timestamp, to the second
3 Last Price Decimal Price at which the trade executed
4 Bid Price Decimal NBBO bid price at time of trade
5 Ask Price Decimal NBBO ask price at time of trade
6 Last Size Integer Number of shares or contracts traded

A representative row looks like this:

06/26/2024,11:37:41,19959.75,19959.25,19959.5,1

The Bid and Ask fields reflect the National Best Bid and Offer (NBBO), the highest bid and lowest ask across all US exchanges at the moment the trade was reported. Under SEC Regulation NMS, brokers must execute customer orders at or better than the NBBO. These consolidated quotes are disseminated through the Securities Information Processor (SIP), which aggregates quote data from all participating exchanges into a single national best bid and offer. The values stored in the Kibot feed come directly from that consolidated stream.

Availability

Standard tick data is available for US stocks and ETFs since September 2009. Files are updated daily and reflect every trade reported through the consolidated tape, in consecutive order, with the NBBO bid and ask attached to each print.

Key Takeaways

  • Standard tick data is the default tick format: every individual trade in consecutive order, with real price and volume.
  • Each row is six comma-separated fields: date, time (HH:MM:SS, to the second), price, bid, ask, volume.
  • The bid and ask are the NBBO, the consolidated national best bid and offer at the moment the trade was reported.
  • Available for US stocks and ETFs since September 2009, updated daily.
  • An experimental millisecond-timestamp variant exists for stocks and ETFs; it is not officially supported and is described below. For most work the standard format is the right choice.

Millisecond timestamps (experimental)

This is an experimental feature and is not officially supported. Kibot offers a variant of the tick feed with millisecond-precision timestamps, but it should be treated as a caution rather than a recommended upgrade.

What it changes: the only difference from standard tick data is the fractional-second precision added to the time field (HH:MM:SS.mmm instead of HH:MM:SS). The trade records themselves, price, bid, ask, volume, and the consecutive order of trades, are the same as the standard format.

Coverage and freshness: the millisecond set is available for US stocks and ETFs only, since September 2014, compared with September 2009 for the standard tick feed. Fewer servers are assigned to it, so it is updated less promptly than standard tick data and may have gaps or be less complete.

Futures: for futures, millisecond timestamps are not meaningful. The CME does not provide true millisecond execution times, so the fractional part of the timestamp is only the time the message was received from the exchange, not the time the trade actually executed. Relying on it as an execution time would be inaccurate. Standard and "millisecond" futures data therefore show effectively the same values, and the standard format is the one to use.

For most work, including any analysis that depends on accurate timestamps, the standard tick format described above is the recommended default.