Tick Data Visualization

About Tick Data & Market Microstructure

Tick data represents every individual trade that occurs in a financial market, providing the most granular view of price action and liquidity.

Key concepts:

• Tick Frequency: How often trades occur (lower values mean more frequent trades)
• Bid-Ask Spread: The difference between the highest bid and lowest ask prices
• Order Flow: The sequence of buy and sell orders affecting price movements

Impact on Options Pricing:

High-frequency tick data can reveal:

• Short-term volatility patterns
• Liquidity imbalances

The Black-Scholes formula for options pricing assumes continuous trading, but tick data shows discrete jumps:

C = S₀N(d₁) - Xe⁻ʳᵗN(d₂)

Where:

• C = Call option price
• S₀ = Current stock price (from tick data)
• X = Strike price
• r = Risk-free interest rate
• t = Time to expiration
• N(d) = Cumulative normal distribution