The presentation "Tick by Tick Market Data" offers a comprehensive overview of market data, specifically focusing on the intricacies and applications of tick-by-tick (TbT) and snapshot data. Designed for financial professionals, traders, analysts, and data scientists, this PowerPoint presentation is an essential resource for anyone interested in understanding the dynamics of financial data in trading.
Introduction to Market Data: The presentation starts with a foundational overview of market data. It differentiates between TbT data and snapshot data, establishing a base for the detailed exploration that follows.
Tick-by-Tick Data Users: A section dedicated to users of TbT data provides insights into its importance and applications in financial markets. This segment is crucial for understanding the role of TbT data in real-time trading and analysis.
Snapshot Data Users: Similarly, the presentation discusses the use of snapshot data in financial markets, offering a clear comparison to TbT data. This part is tailored to those interested in the broader applications and implications of snapshot data in market analysis.
Comparative Analysis: A unique feature of this presentation is its direct comparison of TbT and snapshot data. This comparison is invaluable for professionals who need to understand the strengths, limitations, and appropriate applications of each data type.
Challenges in Offering TbT Data: Addressing the practical aspects of market data, this section delves into the challenges of providing TbT data. It's particularly insightful for understanding the technical and operational complexities involved in handling such detailed market data.
Expert Insights on TbT vs. Snapshot Data: Featuring insights from Shrini Viswanath, a prominent figure in the field and co-founder of Upstox, this part of the presentation adds depth to the discussion. Viswanath's experience in low-latency, high-frequency algorithmic trading enriches the presentation with practical insights.
Snapshot Data in Trading Charts: The final section of the presentation illustrates how snapshot data is used in trading charts, providing a visual representation and understanding of how this data type is applied in real-world trading scenarios.
Overall, "Tick by Tick Market Data" is a valuable and accessible resource for anyone involved in financial markets, offering a clear, detailed, and practical exploration of market data types. Its targeted content, expert insights, and comparative analysis make it a crucial tool for professionals seeking to enhance their understanding of financial data and its applications in modern trading environments.
2. About the author 2
Shrini Viswanath
💼Cofounder @Upstox
🎓University of Illinois (Urbana-Champaign) ‘07
Prior to building Upstox for investors, I built and managed
low-latency, high-frequency algorithmic trading where
access to market data was extremely critical to be
successful.
3. Intro to
Market data
● Market data is the information you get on your
trading platform that shows the latest
informationon a particular stock
● It can be as simple as seeing the price change
few times a day to as granular as getting price
changes as trades happen
● For the most part, trading platforms around
the world won’t record price changes as they
happen
● They record price changes that happen over a
period of time and give you the summary
4. What is Tick-by-
Tick(TbT) data?
Tick-by-Tick is a type of data feed that records each and every market event
including:
● Any buyer who places or cancels a bid
● Any seller who places or cancels an ask
● Any trade that gets matched (price at which a trade gets executed, also
known as the Last Traded Price [LTP])
5. What is Snapshot
data?
Snapshot data takes TbT as an input and then samples the data to send a
summarised view or a sampled view.
It’s like taking a “picture” of the market at regular intervals. Normally this
happens every 200 milliseconds.
That means that:
● You will miss some of the information in between related to buyer and seller
activity
● You will miss information on trades that happen between snapshots
6. Who uses TbT?
Traditionally Tick-by-Tick data is used by following professionals only:
● Proprietary traders
● Institutional brokers
● High frequency traders
● Arbitrageurs
● Market makers
They require high quality market data to ensure that their strategies get executed at the
best price before other participants.
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7. Who uses Snapshot data?
Everybody else.
All retail customers and traders consume Snapshot data on their web, mobile, desktop and
APIs platforms.
Simply put, if you don’t have a direct connection to the exchange, you are getting a
summarised view of the market.
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8. Comparison
Tick-by-Tick Snapshot
Granularity Extreme Low - Medium
Used by
HFT traders, proprietary firms,
arbitrageurs, market makers
Investors, traders for long term trends
Volume
Extremely large, requires colocated high-
performance servers to process
Smaller, manageable, less processing
power required
Peak Data Usage 1 Gbps+ 15 Mbps
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9. Why can’t everybody offer TbT data? 9
Logistics and setup
to procure TbT data
is expensive
The broker needs to have
infrastructure colocated with each
exchange
The broker has to invest in data lines
that are 100x bigger than what is
required for Snapshot data
To stream TbT to the end consumer,
the internet costs for brokers are also
much more expensive
Processing TbT
data is not feasible
Given the massive size of data that
gets pushed out of the exchange, it’s
not feasible to send each and every
packet from the exchange to the
customer in real-time
Sending all this data over the internet
is extremely unreliable
To consume TbT in its entirety the
broker has to also be colocated in the
exchange
10. TbT data vs Snapshot data
TBT consumed >850 mbit/s at its peak…
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11. TbT data vs Snapshot data
… versus Snapshot consuming 16 mbps at peak.. a 57x difference!
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12. 12
Can I stream TbT to my
device?
No! Bandwidth constraints make it next to impossible to
stream the entire data if your servers are closely located
to the source…
… however we can unlock the power of TbT by processing it
at the broker’s end and enabling powerful features for
retail traders.
13. 13
How TbT can be useful
for retail traders?
☞Accurate charting data
OHLC charts created by TbT will naturally display higher highs and lower lows
☞ Better alerts and triggers
Snapshotdata will miss triggering alerts and GTTs on volatile instruments (like BANKNIFTY
options). By running alerts at the broker’s end connected to TbT data, your triggers will get hit
whenothers won’t even register the price update!
☞ Enhanced backtesting
Your backtesting results will be much more accurate with historical candles for volatile
instruments
☞ Greater transparency
With the access to every trade, you get a more clear picture of market activity
17. 📓
Summary
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● Tick-by-Tick (TbT) and Snapshot data are both types
of market data
● TbT is the ‘raw’ unfiltered view of what’s happening in
the market
● Snapshot data is where an intermediary sits between
the raw data and the end customer to give a
summarised view of market activity
● Snapshot data exists because sending TbT data to the
end consumer is expensive, time consuming and may
not serve the purpose for all investors
● TbT data is useful because it provides greater
transparency and high precision data which can be an
enabler for better market alerts and backtesting
● Charts powered by TbT will display higher highs and
lower lows than charts powered by traditional
snapshot feeds
