What is the minimum time step on the NYSE and Nasdaq?

kmiklas said:
Whoa... one nanosecond timestamps?? :wtf:

So for every equity on the exchange, 1,000,000,000 price quotes per second are generated and logged!?

Zomg the data storage cost is mind-boggling. Assuming that each price quote requires 2 bytes of storage, that's 2GB of data generated per second, per equity!
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Only if 1 Bil people trade that stock in that exact second so 1/7th of the planet sit down and exactly 13:00 EST say place there MSFT order.

Having watched DOM's and Tick data I'd say it's rare to get more than 10ticks per second, BAD news, flash crash maybe you'll get 100ticks in a second ??

Only an opinion ofcourse, no idea where to find, average ticks per second data. ( not even going to try googling )
 
kmiklas said:
Anyone know the fastest available tick time for historical data?
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You can I believe get full tick data, so a live replay down to the Nano second if your willing to pay for it.

Someone get me a few days of that data for MSFT, GOOG and I'll write some code and find your avg tick per second and max ticks.
 
tickdata.com offers historical data down to the millisecond.

tickdata.com said:
  • Time stamped to the millisecond
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I wonder what it costs, and if they are a value-added re-seller for the exhanges?
 
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