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by throwaway283719
4260 days ago
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I would say a "tick" comprises the timestamp (stored as a long int) and ten levels of the order book (bid price, ask price, bid size, ask size) each stored as a double-precision float or a long int, so that's (1 + 4 * 10) * 8 = 328 bytes
per tick, so 1KB isn't far off. Obviously not every level changes on every tick, so there are opportunities for compression, that can be significant.Note that the "tick data" from histdata.com gives you prices sampled every 1 second (so not every tick) for the top level of the order book, and doesn't give you any size information at all. |
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