October 2011
Beginner
576 pages
16h 32m
English
Content preview from Equity Valuation and Portfolio ManagementBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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WHAT IS HIGH-FREQUENCY DATA?
High-frequency data, also known as “tick data,” is a record of live market activity. Every time a customer, a dealer, or another entity posts a so-called limit order to buy s units of a specific security with ticker X at price q, a bid quote 
is logged at time tb to buy 
units of X. (Market orders are incorporated into tick data in a different way as discussed below.) When the newly arrived bid quote 
has the highest price relative to all other previously arrived bid quotes in force, becomes known as “the best bid” available at time tb. Similarly, when a trading entity posts a limit order to sell s units of X at price q, an ask quote 
is logged at time ta to sell 
units of X. If the latest is lower than all other available ask quotes for security X, becomes known ...
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