Scope of every tick
Specify which source events qualify: quote changes, trades or book increments. Completeness is relative to that subscribed dataset; an OTC quote stream should not be described as every trade in an entire market.
Market data · deployment planning
Tick-by-Tick Market Data
Tick-by-tick delivery preserves the agreed event stream instead of conflating observations into periodic samples.
Capacity and integrity
Measure peak event rates and consumer queue age. Define sequence or event-key checks, reconnect recovery and the policy for missing ranges; silently dropping updates changes the dataset and should be visible to downstream consumers.
Requirements to confirm
- Qualifying event definition
- Peak-rate capacity
- Sequence and gap detection
- Recovery and loss reporting
Bring the proposed instrument list, source documentation and consumer workflow to a technical discussion. The agreed integration specification defines coverage, fields, usage permissions and acceptance tests.
Integration brief
Tick-by-Tick Market Data: what to agree before connecting
| Dataset definition | Confirm raw ticks, bid/ask events, trades or OHLC bars and the source instrument. |
|---|---|
| Time and ordering | Define UTC boundaries, timestamp precision, sequence ordering and duplicate policy. |
| Quality and gaps | Document missing intervals, corrections and any backfill or normalization applied. |
| Export and retention | Agree format, pagination, permitted storage and the consumers allowed to use the dataset. |
Keep history traceable to its source
Historical data for your instrument universe needs an instrument definition and provenance. Tick history, aggregated bars and replay events are different outputs. Record which prices form each bar, how gaps are represented and whether corrections can change an earlier result.
What to test
- Replay a known interval and compare event order and instrument identity.
- Inspect a quiet interval and a deliberately missing interval separately.
- Verify candle boundaries or replay timing against the documented rule.