Tick-by-Tick Data
Tick-by-tick data is the most granular form of market data, providing a record of every individual trade and quote change as it occurs in real time, including each executed price, quantity, and the full order book depth at every update — enabling Level 3 analysis and microsecond-resolution market structure research.
Market data is hierarchically classified by granularity. Level 1 data provides the best bid, best offer, and last traded price — the minimum required for a retail trader to monitor a stock. Level 2 data adds depth: the five or ten best bids and offers with their corresponding quantities, giving a view of the pending order book. Level 3 data — often conflated with tick-by-tick data — captures every order book update: every new order, every cancellation, every modification, and every execution, timestamped to the microsecond or nanosecond.
Tick-by-tick data is the raw material from which all higher-frequency analytical frameworks are constructed. Footprint charts, Volume Profile, order flow analysis, and VWAP calculations all derive from tick data. Any inaccuracy or delay in the tick feed propagates into all downstream analytics, which is why professional high-frequency trading firms invest substantially in data feed quality.
NSE offers a Tick-by-Tick (TBT) data feed as a licensed product, available either through co-location directly at the exchange data centre (the 'colocation TBT feed') or via authorised data vendors for use at remote locations. The co-location TBT feed is a multicast UDP broadcast, meaning all subscribers in the data centre receive the data simultaneously — an architectural design intended to prevent the preferential access that became the subject of the NSE co-location controversy.
The volume of tick-by-tick data is enormous. On a busy trading day, NSE's equity and derivatives segments can generate hundreds of millions of individual ticks. Storing and processing this data requires specialised time-series databases — commonly kdb+/q, Arctic, or ClickHouse — rather than conventional relational databases. Academic researchers and quantitative analysts in India typically access historical tick data through SEBI-registered data vendors such as Global Data Feed (GDF) or through NSE's own data products.
For retail participants, accessing full tick-by-tick data directly is economically impractical. Broker platforms provide aggregated representations — sub-minute candlesticks, real-time depth — that are constructed from the underlying tick feed. Direct tick data access is primarily the domain of proprietary trading firms, quantitative hedge funds, and academic researchers studying Indian market microstructure.