Tick by Tick
Tick data records individual market observations in chronological order. Depending on the market and source, a tick may represent an executed trade or a price update. Available fields can include a timestamp, a price and, where supplied, volume or other market information.
This format preserves the sequence of observations without aggregating them into fixed time bars. It is suited to detailed intraday analysis, strategy development and backtesting. The exact fields and timestamp precision depend on the market and the selected dataset.
For stocks and ETFs across all markets, this format is provided raw, without adjustments for splits, reverse splits or dividends.
Tick Sample Data
Tick-by-tick price movement
Simulated price and volume · 60-second animation.
CSV file · simulation
One row per tick, synchronised with the chart. Simulated data.
Date,Time,Price,Volume
Trade Direction: understanding who initiates a trade
Every trade has both a buyer and a seller. Trade Direction identifies the side that takes available liquidity and triggers execution, rather than the side waiting with a resting order in the book.
- Aggressive buyer: the buyer takes liquidity offered for sale, generally at the Ask.
- Aggressive seller: the seller takes liquidity offered to buy, generally at the Bid.
Combined with each trade’s price and volume, this information supports executed order-flow analysis, separates buyer-initiated and seller-initiated volume, and allows you to calculate volume delta: buyer-initiated volume minus seller-initiated volume. Adding these deltas over time produces cumulative delta.
Applications include Footprint charts, analysing imbalances in aggressive buying and selling, and studying potential absorption: substantial aggressive volume with limited price progress. This adds context to market movements and strategy tests; positive delta does not guarantee rising prices.
For US futures, Trade Direction information is offered with Tick and Trades & Quotes data from 2019 onwards. It describes executed trades, not every participant’s intentions or cancelled orders.
Simulated data · trade price, volume and Trade Direction · 60 seconds.
● Buyer-initiated ● Seller-initiated
Dot size: executed volume. Below: trade volumes, buys above and sells below zero. Colour identifies the initiating side, not the direction of the price change.
CSV file · simulation
Simulated data synchronised with the chart. Accelerated playback for Minute and Daily bars.
Date,Time,Price,Volume,TradeDir
Tick-by-Tick example with Trade Direction
Six fictional trades with six fractional-second timestamp digits (microseconds). This example illustrates the format fields; it does not reproduce the trades in the animation.
| Date | Time | Trade | Volume | Trade Direction (Bid / Ask) |
|---|---|---|---|---|
| 10/28/2026 | 08:00:00.124237 | 3405.00 | 2 | ASK |
| 10/28/2026 | 08:00:00.254518 | 3405.25 | 5 | ASK |
| 10/28/2026 | 08:00:00.345764 | 3405.00 | 3 | BID |
| 10/28/2026 | 08:00:01.087419 | 3405.00 | 8 | BID |
| 10/28/2026 | 08:00:01.563892 | 3405.25 | 4 | ASK |
| 10/28/2026 | 08:00:02.219653 | 3405.50 | 6 | ASK |
ASK: buyer-initiated trade. BID: seller-initiated trade. This column identifies the trade’s execution side without adding Bid and Ask quote prices to the Tick file.
From tick-by-tick data to Volume Profile
Volume Profile displays traded volume at each price level over a selected period. Each trade adds its volume to its execution price: horizontal bars reveal where trading activity was concentrated.
Tick-by-tick data containing the price and volume of each trade lets you build this profile without approximating how a candle’s volume was distributed across its prices.
- POC — Point of Control: the price level with the highest accumulated volume.
- High- and low-volume areas: reference levels for studying trading concentration and rapid movement between prices.
- Analysis and backtesting: compare sessions, contextualize potential support and resistance, and study reactions around volume levels.
The profile describes observed trading; it does not predict future price movements. Quotes without trade volume cannot reconstruct actual traded volume. In spot Forex, a profile based on quote-update counts measures quote activity, not global traded volume.
Simulated trades · volume accumulating by price over 60 seconds.
In this example, the last three timestamp digits are simulated for illustration.
| Date | Time | Trade | Volume |
|---|---|---|---|
| 06/10/2010 | 08:00:00.124237 | 3405.0 | 2 |
| 06/10/2010 | 08:00:01.254518 | 3406.5 | 2 |
| 06/10/2010 | 08:00:01.345764 | 3407.0 | 1 |