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Quantitative Finance · Glossaire

Qu'est-ce que « Tick data » ?

Definition 2.1 Research, Data and Risk Platforms · Chapitre 2 — Capturing and Storing Tick Data

Tick data is the record of every event a venue publishes about its instruments — order additions, modifications, cancellations and executions, trades, quotes, status and trading-action messages — with the timestamps the venue put on them and the time the firm received them.

Three capture points on the market-data path. At the wire (a network tap or capture appliance, One Quant Book 14, chapter 5) the packets of both lines are kept as they arrived; after the feed handler’s arbitration each message appears once, in sequence; after conflation only the updates a consumer actually saw remain.
Figure 2.1. Three capture points on the market-data path. At the wire (a network tap or capture appliance, One Quant Book 14, chapter 5) the packets of both lines are kept as they arrived; after the feed handler’s arbitration each message appears once, in sequence; after conflation only the updates a consumer actually saw remain.
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