Tick ... Tick ... Tick ... Tick ... Tick ...

About twice a year I have a fit of ambition and sign up for listserves. Then, a few weeks later, I start getting those "your mailbox is over size limit" warnings and I unsubscribe. But I never give up, because I'm convinced listeserves are bursting with useful information that will make my job easier. It's just that when I spend time sorting through all that information I don't have time to do the job with which they ostensibly help.

Through it all, I have kept my subscription to the listserve from the Business & Finance Division of SLA, and last week it paid off again with a very useful discussion about intraday trading data.

A typical stock chart, whether acquired from Google Finance or Bloomberg, records the high, low, and closing price for one day's trading. If you need more detailed information about what went on during the trading day (bid, ask, individual trade size, etc.) you must use a more specialized source.

Intraday, of course, means during the course of one day. Intraday pricing is also known as tick-by-tick pricing. A tick is the minimum amount a stock exchange will let a security's price change. From 1792 until 1997 a tick was 1/8 of a dollar on every US stock exchange. In the 1990's that changed when the AMEX, and then the NYSE and the NASDAQ changed their minimum tick to 1/16 (also known as "a teeny"). This radical change lasted all of four years until the SEC blew it away by making the exchanges "decimalize" their trading - thus changing the minimum tick to one cent.

The collected wisdom of the SLA B&F list recommended the following sources (and I know of no others): NASDAQ Report Source, Francis Emory Fitch (which I always called plain old "Fitch"), and NYXdata. Fitch has the largest and deepest data. NYXdata is owned by the NYSE, but it covers NASDAQ otc, and the regional exchanges, NASDAQ Report Source only covers NASDAQ, but its cheaper than the others and you don't have to subscribe.