Historical tick data
Historical tick data is the archived per-trade record of past sessions, served by a broker, a data vendor or a local cache, with each trade's time, price, size and side. It is the input for tick-by-tick replay and for backtests of orderflow rules, and its availability on a given login is an entitlement separate from live tick data.
Senzoukria · Glossary · Updated September 2026
Where it comes from
Three sources are common. A broker or clearing connection such as Rithmic may serve historical ticks from its archive when the account is entitled to it. A data vendor such as Databento licenses recorded datasets per exchange and per product, live and historical checked separately. And an application may cache what it received live, so that a session watched today is available tomorrow without downloading it again.
Each source has its own reach backwards in time, its own gaps, and its own convention for the aggressor side. A backtest that mixes sources across the test window inherits all three sets of differences.
Coverage before results
A result computed on a window with missing days is a result on a different window than the one requested. Before evaluating a rule, the sessions actually present should be counted, the missing ones listed, and the run either restricted to the covered range or explicitly annotated. Empty history is not proof that the market was closed; it may be a refused request, an archive that does not reach that far, or a contract the account does not carry.
- List the sessions present and absent in the requested interval.
- Keep the broker's response code when a request is refused.
- Record the source, contract month and session boundaries with every result.
In Senzoukria
The Replay screen replays a past CME session tick by tick, pulling its ticks from the broker on first load and keeping them on disk afterwards; the screen shows the number of sessions on disk and the space they use, and a session can be deleted and re-downloaded. The automatic backtest measures coverage before running: its panel reports how many sessions are missing and offers to run on what is present. Its messages distinguish three situations: the broker served no bars for the window, the broker refused the request with a permission code, and the broker returned no ticks; the refusal message states that historical bars are a broker entitlement, not an application setting.
Databento is listed in the connection manager as bringing CME tick history and depth for backtests and replay, per dataset licence, and as optional.
Common mistakes
- Assuming that because the live feed works, the archive is included.
- Backtesting a footprint rule on bars because the ticks were unavailable, then reporting it as a tick-level result.
- Ignoring contract rolls: historical ticks belong to a specific contract month, and joining months is a decision that has to be stated.
Related
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Frequently asked questions
- Why does the replay work but the auto backtest refuses history?
- Because they can use different requests. Manual replay loads historical ticks for one session; the auto backtest may request historical bars for a range, and an account can be entitled to one and not the other. Senzoukria's backtest panel names the refused request and its code so the missing entitlement can be identified with the broker.
- Does historical tick data include the order book?
- No. Historical ticks are transactions only: what traded, when, at what price and size, and on which side. Resting orders and their changes are historical depth, a separate dataset that is licensed separately and cannot be rebuilt from the trades.