Trade-Level Timestamp Data and Tick Data Access

Summary

The document identifies tick data as the common term for records of individual trades without the identities of the parties. Such records may include timestamps at fine time scales, though the discussion does not compare timestamp precision or describe particular vendors, exchanges, or formats. It answers a newcomer’s question about what to search for when seeking transaction-level market data.

The response says that identifying information about trade participants is not generally available to the public and is held by exchanges, which share it with regulators. It also says tick data usually must be purchased. These are broad claims from a brief answer rather than a survey of markets or providers; access rules, available fields, and costs may vary by venue and jurisdiction. The note is useful chiefly for terminology and for setting expectations about public access to participant identities.

Key ideas

• Tick data is the common term for data describing individual trades without participant names.
• Trade records can carry timestamps at finer resolutions than daily or bar data.
• The answer says participant identities are held by exchanges and shared with regulators.
• Access to unnamed trade-level data may require paying a data provider.

Tags

# Data Sources for Timestamps of Individual Trades


# Data Sources for Timestamps of Individual Trades












Are there any data sources where I can get the timestamps of individual trades/transactions? I'd like them to be at the second level or even the millisecond/nanosecond level. Ideally, the trades would also be linked to anonymized user names too. Is there a name for this type of data?

I have found very broad questions about data sources, but none about this specific type of data, or at least the proper term for it for a newcomer.

## Answer by Bob Jansen (score 3, accepted)

https://quant.stackexchange.com/a/44102

Data that includes the names of the parties is definitely not freely available, only exchanges would have it and they will share it only with their regulators.

Regarding data without names, that is called tick-data as LocalVolatility states. To the best of my knowledge, you need to pay for this data.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.