High frequency data

"Trading data" redirects here. For the practice that utilizes this data, see High-frequency trading.
For the level of radio frequency range, see High frequency.

High frequency data refers to time-series data collected at an extremely fine scale. As a result of advanced computational power in recent decades, high frequency data can be accurately collected at an efficient rate for analysis. Largely used in the financial field, high frequency data provides observations at very frequent intervals that can be used to understand market behaviors, dynamics, and micro-structures.

High frequency data collections were originally formulated by massing tick-by-tick market data, by which each single 'event' (transaction, quote, price movement, etc.) is characterized by a 'tick', or one logical unit of information. Due to the large amounts of ticks in a single day, high frequency data collections generally contain a large amount of data, allowing high statistical precision. High frequency observations across one day of a liquid market can equal the amount of daily data collected in 30 years.

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